ANALISIS PENGARUH VOLATILITAS NILAI TUKAR TERHADAP NERACA PERDAGANGAN DI LIMA NEGARA ANGGOTA OKI (INDONESIA, MALAYSIA, KUWAIT, MESIR, TURKI)

Nurmi Suhari, Akhmad Akbar Susamto, S.E., M.Phil., Ph.D.

2022 | Skripsi | S1 ILMU EKONOMI

Globalisasi dan liberalisasi pada perdagangan internasional telah memberikan nilai tukar peran yang penting, tidak hanya sebagai intermediary role tetapi juga memiliki peran terutama dalam mempengaruhi perubahan kuantitas perdagangan suatu negara. Namun pergeseran rezim nilai tukar dari rezim fix exchange rate ke rezim flexible exchange rate yang dianut oleh sebagian besar negara di dunia, telah menghasilkna volatilitas yang tidak bisa diprediksi pada nilai tukar. Tertutama pada negara yang memiliki mata uang yang dikategorikan sebagai soft currency. Penelitian ini bertujuan untuk mengetahui pengaruh volatilitas pada nilai tukar terhadap neraca perdagangan dengan menggunakann data time series pada lima negara anggota Organisasi Konferensi Islam (OKI), yaitu Indonesia, Malaysia, Kuwait, Mesir, dan Turki selama periode 2000-2018. Variabel PDB, harga, dan nilai tukar juga dimasukan sebagai variabel kontrol. Untuk mengukur volatilitas pada masing-masing nilai tukar, penelitian ini menggunakan model Generalized Autoregressive Conditional Heteroscedasticity (GARCH). Kemudian pada estimasi tahap akhir penelitian ini menggunakan metode autoregressive distributed lag (ARDL) untuk melihat hubungan jangka panjang , dan menggunakan pendekatan uji kausalitas Granger untuk melihat hubungan jangka pendek. Hasil dari penelitian ini menunjukan bahwa volatilitas pada nilai tukar sama sekali tidak mempengaruhi neraca perdagangan semua negara.

Globalization and liberalization in international trade have given the exchange rate an important role, not only as an intermediary role but also has a role especially in influencing changes in the quantity of a country's trade. However, the shift in the exchange rate regime from a fixed exchange rate regime to a flexible exchange rate regime adopted by most countries in the world, has resulted in unpredictable volatility in exchange rates. Especially in countries that have a currency that is categorized as a soft currency. This study aims to determine the effect of volatility on the exchange rate on the trade balance by using time series data in five member countries of the Organization of the Islamic Conference (OIC), namely Indonesia, Malaysia, Kuwait, Egypt, and Turkey during the period 2000-2018. GDP, price, and exchange rate variables were also included as control variables. To measure the volatility of each exchange rate, this study uses the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. Then in the final estimation stage, this research uses the autoregressive distributed lag (ARDL) method to see the long-term relationship, and uses the Granger causality test approach to see the short-term relationship. The results of this study indicate that volatility in the exchange rate does not affect the trade balances of all countries.Globalization and liberalization in international trade have given the exchange rate an important role, not only as an intermediary role but also has a role especially in influencing changes in the quantity of a country's trade. However, the shift in the exchange rate regime from a fixed exchange rate regime to a flexible exchange rate regime adopted by most countries in the world, has resulted in unpredictable volatility in exchange rates. Especially in countries that have a currency that is categorized as a soft currency. This study aims to determine the effect of volatility on the exchange rate on the trade balance by using time series data in five member countries of the Organization of the Islamic Conference (OIC), namely Indonesia, Malaysia, Kuwait, Egypt, and Turkey during the period 2000-2018. GDP, price, and exchange rate variables were also included as control variables. To measure the volatility of each exchange rate, this study uses the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. Then in the final estimation stage, this research uses the autoregressive distributed lag (ARDL) method to see the long-term relationship, and uses the Granger causality test approach to see the short-term relationship. The results of this study indicate that volatility in the exchange rate does not affect the trade balances of all countries.Globalization and liberalization in international trade have given the exchange rate an important role, not only as an intermediary role but also has a role especially in influencing changes in the quantity of a country's trade. However, the shift in the exchange rate regime from a fixed exchange rate regime to a flexible exchange rate regime adopted by most countries in the world, has resulted in unpredictable volatility in exchange rates. Especially in countries that have a currency that is categorized as a soft currency. This study aims to determine the effect of volatility on the exchange rate on the trade balance by using time series data in five member countries of the Organization of the Islamic Conference (OIC), namely Indonesia, Malaysia, Kuwait, Egypt, and Turkey during the period 2000-2018. GDP, price, and exchange rate variables were also included as control variables. To measure the volatility of each exchange rate, this study uses the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. Then in the final estimation stage, this research uses the autoregressive distributed lag (ARDL) method to see the long-term relationship, and uses the Granger causality test approach to see the short-term relationship. The results of this study indicate that volatility in the exchange rate does not affect the trade balances of all countries.

Kata Kunci : Neraca Perdagangan, Ekspor, Impor, Volatilitas Nilai TukarNeraca Perdagangan, Ekspor, Impor, Volatilitas Nilai Tukar