Early Detection of Currency Crisis in Indonesia Using Real Interest Rate on Deposits

摘要

Indonesian currency crisis that occurred in middle of 1997 led to the prolonged economic crisis. The crisis was happened because a number of macroeconomic indicators fluctuated very high and their structure changes (regime). Combined volatility and Markov Switching models suited to describe the crisis.This article used the indicator of real interest rate on deposits from 1990 to 2018. The model that can explain the currency crisis is MRS-ARCH (2,1). Based on this model, it is predicted that in 2019 there was no sign of a crisis.