KETERKAITAN INFLASI DENGAN NILAI TUKAR RIIL : ANALISIS KOMPARATIF ANTARA ASEAN+3, UNI EROPA DAN AMERIKA UTARA

Inflation has always been one of the most important macroeconomic issues. Due
to this importance, a study concerning the factors associated with the behavior of
inflation needs to be done. This paper will be devoted to analyze the relevance of
inflation with the exchange rates. The research will try to compare the response or
sensitivity of inflation to the changes in real exchange rates in Asia (ASEAN +3)
and compare the result with those of the EU and North America.
Using explorative statistical analysis and Granger-causality test, we found that
there is a strong correlation between the movements of inflation with real exchange
rate in most countries to be analyzed. For Asia, there is a significant one-way
causal relationship, where the nominal and real exchange rates have a significant
impact on the rate of inflation. On the other hand, in the Non-Asian regions, the
causal relationship seems to be in the opposite direction. Furthermore, using panel
data model with fixed effects, we found that the response or sensitivity of inflation
to the changes in exchange rates in Asia is higher in compare to those in the EU
and North America.
Keywords: inflation, exchange rates, panel data