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Optimalisasi Investasi Asing Langsung dan Keterbukaan Ekonomi terhadap Nilai Tukar Efektif Riil di Indonesia
Mohammad Aliman Shahmi, Rinaldi Irawan, Tamara Suria Nengsi, Yunadia Fauziah, Stevan Abdullah, Salsabilla Oktafannisa
Abstract
Penelitian ini bertujuan untuk menganalisis pengaruh dan keseimbangan investasi asing langsung, ketebukaan ekonomi, stabilitas harga dan neraca transaksi berjalan di Indonesia dalam jangka panjang dan jangka pendek di Indonesia dari tahun 1993-2022. Penelitian ini sepenuhnya menggunakan data sekunder yang dikumpulkan dari World bank dan Fred Economics data. Penelitian ini menggunakan pendekatan error correction model (ECM). Hasil penelitian ini menujukkan bahwa investasi asing langsung, keterbukaan ekonomi dan Tingkat harga berpengaruh signifikan terhadap real effective exchange rate di Indonesia dalam jangka panjang. Sementara itu, Neraca transaksi berjalan tidak berpengaruh signifikan terhadap nilai tukar efektif riil. Dalam jangka pendek, Keterbukaan ekonomi dan investasi asing langsung berpengaruh signfikan terhadap nilai tukar efektif riil di Indonesia, sementara itu Tingkat harga dan neraca transaksi berjalan tidak berpengaruh signifikan terhadap nilai tukar efektif riil di Indonesia. Perubahan pada Tingkat harga dan neraca transaksi berjalan menjadi pengganggu keseimbangan nilai tukar efektif riil dalam jangka pendek. Namun,Tingkat harga melakukan penyesuaian dalam janga panjang. Sementara itu, keterbukaan ekonomi dan investasi asing lansung menunjukkan pengaruh optimal terhadap perubahan nilai tukar efektif riil di Indonesia.
Keywords
ECM,FDI,Keterbukaan Ekonomi, REER
References
Affandi, Y., & Mochtar, F. (2013). Current Account and Real Exchange Rate Dynamics in Indonesia. Procedia Economics and Finance, 5, 20–29. https://doi.org/10.1016/S2212-5671(13)00005-1
Altayligil, Y. B., & Çetrez, M. (2020). Macroeconomic, institutional and financial determinants of current account balances: a panel data assessment. Journal of Economic Structures, 9(1), 49. https://doi.org/10.1186/s40008-020-00225-1
Azhgaliyeva, D., Kapsalyamova, Z., & Mishra, R. (2022). Oil price shocks and green bonds: An empirical evidence. Energy Economics, 112, 106108. https://doi.org/10.1016/j.eneco.2022.106108
Banerjee, R., & Majumdar, S. (2021). The Effect of Non-Oil Diversification on Stock Market Performance: The Role of FDI and Oil Price in the United Arab Emirates*. Journal of Asian Finance, Economics and Business, 8(4), 1–9. https://doi.org/10.13106/jafeb.2021.vol8.no4.0001
Barkan, O., Benchimol, J., Caspi, I., Cohen, E., Hammer, A., & Koenigstein, N. (2023). Forecasting CPI inflation components with Hierarchical Recurrent Neural Networks. International Journal of Forecasting, 39(3), 1145–1162. https://doi.org/10.1016/j.ijforecast.2022.04.009
Ben Cheikh, N., Ben Zaied, Y., & Ben Ameur, H. (2023). Recent developments in exchange rate pass-through: What have we learned from uncertain times? Journal of International Money and Finance, 131, 102805. https://doi.org/10.1016/j.jimonfin.2023.102805
Bigerna, S. (2023). Energy price shocks, exchange rates and inflation nexus. Energy Economics, 128, 107156. https://doi.org/10.1016/j.eneco.2023.107156
Cuestas, J. C., Monfort, M., & Ordóñez, J. (2024). Gas price shocks, the current account, and the real exchange rate: An empirical analysis for the EU. Finance Research Letters, 60, 104840. https://doi.org/10.1016/j.frl.2023.104840
Dainauskas, J. (2023). Time-varying exchange rate pass-through into terms of trade. Journal of International Money and Finance, 137, 102905. https://doi.org/10.1016/j.jimonfin.2023.102905
Gruhle, T., & Harms, P. (2022). Producer Services and the Current Account. Journal of International Money and Finance, 121, 102514. https://doi.org/10.1016/j.jimonfin.2021.102514
Harkmann, K., & Staehr, K. (2021). Current account drivers and exchange rate regimes in Central and Eastern Europe. Journal of International Money and Finance, 110, 102286. https://doi.org/10.1016/j.jimonfin.2020.102286
Hassan, R., Loualiche, E., Pecora, A. R., & Ward, C. (2023). International trade and the risk in bilateral exchange rates. Journal of Financial Economics, 150(2), 103711. https://doi.org/10.1016/j.jfineco.2023.103711
Kamalyan, H. (2023). Real exchange rate dynamics in the New-Keynesian model. International Economics, 174, 250–255. https://doi.org/10.1016/j.inteco.2023.04.004
Kataria, N., & Gupta, A. (2018). Determinants of Real Effective Exchange Rates in Emerging Market Economies. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3144172
Kurniadi, A. P., Randa, F., Aimon, H., & Sentosa, S. U. (2019). The Exsistence of Economic Openness and the Strength of Real Exchange Rate. Asia Proceedings of Social Sciences, 4(3), 89–92. https://doi.org/10.31580/apss.v4i3.866
Kwon, J., & Shin, W. (2023). Nonlinear exchange rate pass-through and monetary policy credibility: Evidence from Korea. Economics Letters, 230, 111234. https://doi.org/10.1016/j.econlet.2023.111234
Liu, R., Sheng, L., & Wang, J. (2023). Faking trade for capital control evasion: Evidence from dual exchange rate arbitrage in China. Journal of International Money and Finance, 138, 102926. https://doi.org/10.1016/j.jimonfin.2023.102926
Liu, T.-Y., & Ma, J.-T. (2023). Exchange rate and inflation between China and the United States: A bootstrap rolling-window approach. Economic Systems, 101152. https://doi.org/10.1016/j.ecosys.2023.101152
Mesagan, E. P., Alimi, O. Y., & Vo, X. V. (2022). The asymmetric effects of exchange rate on trade balance and output growth. The Journal of Economic Asymmetries, 26, e00272. https://doi.org/10.1016/j.jeca.2022.e00272
Purusa, N. A., & Istiqomah, N. (2018). Impact of FDI, COP, and Inflation to Export in Five ASEAN Countries. Jurnal Ekonomi Pembangunan: Kajian Masalah Ekonomi Dan Pembangunan, 19(1), 94. https://doi.org/10.23917/jep.v19i1.5832
Sasaki, Y., Yoshida, Y., & Otsubo, P. K. (2022). Exchange rate pass-through to Japanese prices: Import prices, producer prices, and the core CPI. Journal of International Money and Finance, 123, 102599. https://doi.org/10.1016/j.jimonfin.2022.102599
Shahmi, M. A., Andriany, V., Erpita, E., Bimantara, W., & Toibun, M. (2023). The 6 th International Seminar on Business , Economics , Social Science , and ANALYSIS OF MONETARY POLICY INTERVENTION AND MACROECONOMIC VARIABLE SHOCKS AGAINST CAPITAL INFLOW IN 4 EMERGING COUNTRIES ASEAN The 6 th International Seminar on Business , Econ. 3, 191–195.
Varlik, S., & Berument, M. H. (2020). Oil price shocks and the composition of current account balance. Central Bank Review, 20(1), 1–8. https://doi.org/10.1016/j.cbrev.2020.02.002
DOI: https://doi.org/10.24967/ekombis.v9i1.2778
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Mohammad Aliman Shahmi, Rinaldi Irawan, Tamara Suria Nengsi, Yunadia Fauziah, Stevan Abdullah, Salsabilla OktafannisaAbstract
Keywords
References
Affandi, Y., & Mochtar, F. (2013). Current Account and Real Exchange Rate Dynamics in Indonesia. Procedia Economics and Finance, 5, 20–29. https://doi.org/10.1016/S2212-5671(13)00005-1
Altayligil, Y. B., & Çetrez, M. (2020). Macroeconomic, institutional and financial determinants of current account balances: a panel data assessment. Journal of Economic Structures, 9(1), 49. https://doi.org/10.1186/s40008-020-00225-1
Azhgaliyeva, D., Kapsalyamova, Z., & Mishra, R. (2022). Oil price shocks and green bonds: An empirical evidence. Energy Economics, 112, 106108. https://doi.org/10.1016/j.eneco.2022.106108
Banerjee, R., & Majumdar, S. (2021). The Effect of Non-Oil Diversification on Stock Market Performance: The Role of FDI and Oil Price in the United Arab Emirates*. Journal of Asian Finance, Economics and Business, 8(4), 1–9. https://doi.org/10.13106/jafeb.2021.vol8.no4.0001
Barkan, O., Benchimol, J., Caspi, I., Cohen, E., Hammer, A., & Koenigstein, N. (2023). Forecasting CPI inflation components with Hierarchical Recurrent Neural Networks. International Journal of Forecasting, 39(3), 1145–1162. https://doi.org/10.1016/j.ijforecast.2022.04.009
Ben Cheikh, N., Ben Zaied, Y., & Ben Ameur, H. (2023). Recent developments in exchange rate pass-through: What have we learned from uncertain times? Journal of International Money and Finance, 131, 102805. https://doi.org/10.1016/j.jimonfin.2023.102805
Bigerna, S. (2023). Energy price shocks, exchange rates and inflation nexus. Energy Economics, 128, 107156. https://doi.org/10.1016/j.eneco.2023.107156
Cuestas, J. C., Monfort, M., & Ordóñez, J. (2024). Gas price shocks, the current account, and the real exchange rate: An empirical analysis for the EU. Finance Research Letters, 60, 104840. https://doi.org/10.1016/j.frl.2023.104840
Dainauskas, J. (2023). Time-varying exchange rate pass-through into terms of trade. Journal of International Money and Finance, 137, 102905. https://doi.org/10.1016/j.jimonfin.2023.102905
Gruhle, T., & Harms, P. (2022). Producer Services and the Current Account. Journal of International Money and Finance, 121, 102514. https://doi.org/10.1016/j.jimonfin.2021.102514
Harkmann, K., & Staehr, K. (2021). Current account drivers and exchange rate regimes in Central and Eastern Europe. Journal of International Money and Finance, 110, 102286. https://doi.org/10.1016/j.jimonfin.2020.102286
Hassan, R., Loualiche, E., Pecora, A. R., & Ward, C. (2023). International trade and the risk in bilateral exchange rates. Journal of Financial Economics, 150(2), 103711. https://doi.org/10.1016/j.jfineco.2023.103711
Kamalyan, H. (2023). Real exchange rate dynamics in the New-Keynesian model. International Economics, 174, 250–255. https://doi.org/10.1016/j.inteco.2023.04.004
Kataria, N., & Gupta, A. (2018). Determinants of Real Effective Exchange Rates in Emerging Market Economies. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3144172
Kurniadi, A. P., Randa, F., Aimon, H., & Sentosa, S. U. (2019). The Exsistence of Economic Openness and the Strength of Real Exchange Rate. Asia Proceedings of Social Sciences, 4(3), 89–92. https://doi.org/10.31580/apss.v4i3.866
Kwon, J., & Shin, W. (2023). Nonlinear exchange rate pass-through and monetary policy credibility: Evidence from Korea. Economics Letters, 230, 111234. https://doi.org/10.1016/j.econlet.2023.111234
Liu, R., Sheng, L., & Wang, J. (2023). Faking trade for capital control evasion: Evidence from dual exchange rate arbitrage in China. Journal of International Money and Finance, 138, 102926. https://doi.org/10.1016/j.jimonfin.2023.102926
Liu, T.-Y., & Ma, J.-T. (2023). Exchange rate and inflation between China and the United States: A bootstrap rolling-window approach. Economic Systems, 101152. https://doi.org/10.1016/j.ecosys.2023.101152
Mesagan, E. P., Alimi, O. Y., & Vo, X. V. (2022). The asymmetric effects of exchange rate on trade balance and output growth. The Journal of Economic Asymmetries, 26, e00272. https://doi.org/10.1016/j.jeca.2022.e00272
Purusa, N. A., & Istiqomah, N. (2018). Impact of FDI, COP, and Inflation to Export in Five ASEAN Countries. Jurnal Ekonomi Pembangunan: Kajian Masalah Ekonomi Dan Pembangunan, 19(1), 94. https://doi.org/10.23917/jep.v19i1.5832
Sasaki, Y., Yoshida, Y., & Otsubo, P. K. (2022). Exchange rate pass-through to Japanese prices: Import prices, producer prices, and the core CPI. Journal of International Money and Finance, 123, 102599. https://doi.org/10.1016/j.jimonfin.2022.102599
Shahmi, M. A., Andriany, V., Erpita, E., Bimantara, W., & Toibun, M. (2023). The 6 th International Seminar on Business , Economics , Social Science , and ANALYSIS OF MONETARY POLICY INTERVENTION AND MACROECONOMIC VARIABLE SHOCKS AGAINST CAPITAL INFLOW IN 4 EMERGING COUNTRIES ASEAN The 6 th International Seminar on Business , Econ. 3, 191–195.
Varlik, S., & Berument, M. H. (2020). Oil price shocks and the composition of current account balance. Central Bank Review, 20(1), 1–8. https://doi.org/10.1016/j.cbrev.2020.02.002
Ekombis Sains: Jurnal Ekonomi, Keuangan dan Bisnis is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License
