Perhitungan Nilai Tukar Keseimbangan di Indonesia: periode 2001:06-2007:06

Resnawati, Kikies, Amirullah S Hardi, S.E., M.Ec.

2007 | Skripsi | S1 Economics

Sistem nilai tukar mengambang bebas membuat nilai tukar menjadi sulit untuk diprediksi. Penting untuk mengetahui apakah nilai tukar efektif riil telah berada pada nilai keseimbangannya. Penelitian ini mengestimasi nilai tukar riil keseimbangan di Indonesia selama periode 2001 sampai 2007 menggunakan pendekatan behavioral equilibrium exchange rate (BEER) dan metodologi kointegrasi Johansen. Diperoleh hasil sebagai berikut: (i) the differentials in interest rates, terms of trade, country risk, traded non traded goods dan net foreign assets mempengaruhi nilai tukar efektif rupiah secara signifikan; (ii) secara rata-rata, nilai tukar efektif riil aktual dan nilai fundamentalnya bergerak sangat dekat dan tidak terdapat misalignment secara terus-menerus; (3) rupiah mengalami kondisi overvalued pada hampir semua periode akhir estimasi. Kata kunci: Nilai tukar riil keseimbangan, BEER, Misalignment

Free floating system makes exchange rate become unpredictable. Therefore, important to know whether the real effective exchange rate is misaligned. This paper estimates the equilibrium real exchange rate in Indonesia during the period 2001 to 2007 using the behavioral equilibrium exchange rate (BEER) approach and Johansen cointegration methodology. The results indicate that: (i) the differentials in interest rates, terms of trade, country risk, traded non traded goods and net foreign assets have significant influence on the rupiah effective exchange rate; (ii) on average, the actual real effective exchange rate and the fundamental real effective exchange rate move closely together and there is no evidence of any persistent misalignment; (3) and it finds that the rupiah was overvalued for almost the entire estimation period. Keywords: Equilibrium real exchange rate, BEER, Misalignment

Kata Kunci : Perhitungan Nilai Tukar; Nilai Tukar Keseimbangan