Pengaruh Inflasi, Ekspor, Impor dan Suku Bunga Luar Negeri Terhadap Nilai Tukar Rupiah Atas Dolar Amerika Periode Januari 2014 s.d.Desember 2018
Keywords:
inflation, export, import, foreign interest rates, rupiah exchange rate, time series, Vector Autoregression-Vector Error Correctio Model (VAR-VECM)Abstract
Unstable Fluctuation in the rupiah exchange rate against the US dollar can be affected
by domestic and global economic conditions. The condition of these macroeconomic factors
can make the exchange rate depreciate or appreciate.
The model in this study uses a Vector Auto Regression-Vector Error Correction Mode
(VAR-VECM) to see the effect of short and long term and the surprise of each variable on the
response period January 2014 to December 2018.
Based on the hypothesis's result, the VAR-VECM model shows in the long run that
exports have significance and foreign interest rates have a significant and negative effect on
the rupiah exchange rate against the dollar. At the same time, other inflation variables do not
have a substantial and positive impact on the rupiah exchange rate against the dollar. In the
short term, only the variable rupiah exchange rate variable against the dollar is significant to
itself in the 1st
, 3
rd, and 5th lags, the imported variable in the 3rd lag, and the foreign interest
variable in the 5th lag. At the same time, other variables do not have a significant effect in the
short term.
Based on the highest Response Impulse analysis, the rupiah exchange rate response to
the dollar shows an overall positive response and will be relatively stable at around 0,12%.
The next highest answer is that inflation shows a positive response and will be relatively
stable at about 0,07%. The export response was relatively stable in the range of 0,10% but
showed a negative response. Then the import response shows a negative and will be
relatively stable at around 0,01%. The last reply to foreign interest rates showed a postive
reaction and was relatively stable at about 0,01%.
Based on the analysis Variance Decomposition, the most significant contribution to the
variable exchange rate of the rupiah against the US dollar is the variance of the rupiah
exchange rate against itself, followed by the second-largest gift, namely inflation, followed by
the conflict of exports, imports, and foreign interest rates respectively.
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