Analisis Pengaruh Volatilitas Nilai Tukar terhadap Penanaman Modal Asing di Indonesia

AHMAD JIBRIL ABDUL AZIZ, Hengki Purwoto, S.E., M.A.

2026 | Skripsi | ILMU EKONOMI

Penelitian ini bertujuan untuk menganalisis pengaruh volatilitas nilai tukar Rp/USD terhadap penanaman modal asing langsung di Indonesia menggunakan data deret waktu kuartalan periode 1993:Q1-2024:Q4. Analisis dilakukan dengan pendekatan Autoregressive Distributed Lag-Error Correction Model (ARDL-ECM), sementara volatilitas nilai tukar diestimasi menggunakan metode GARCH. Model empiris disusun dengan penanaman modal asing langsung sebagai variabel dependen dan volatilitas nilai tukar, nilai tukar nominal, produk domestik bruto, inflasi, suku bunga, keterbukaan perdagangan, serta variabel dummy perubahan struktural sebagai variabel independen. Hasil estimasi menunjukkan bahwa dalam jangka pendek volatilitas nilai tukar berpengaruh positif dan signifikan secara statistik terhadap penanaman modal asing langsung, sedangkan dalam jangka panjang pengaruh volatilitas nilai tukar tidak signifikan, yang mengindikasikan bahwa keputusan investasi asing jangka panjang lebih dipengaruhi oleh faktor fundamental ekonomi dibandingkan ketidakpastian nilai tukar. Temuan ini menegaskan pentingnya stabilitas makroekonomi dan penguatan fundamental ekonomi sebagai prasyarat utama dalam menarik penanaman modal asing langsung secara berkelanjutan di Indonesia.

This study aims to analyze the effect of Rupiah to United States Dollar (Rp/USD) exchange rate volatility on foreign direct investment in Indonesia using quarterly time-series data for the period 1993:Q1–2024:Q4. The analysis employs the Autoregressive Distributed Lag–Error Correction Model (ARDL–ECM) approach, while exchange rate volatility is estimated using the GARCH method. The empirical model is specified with foreign direct investment as the dependent variable and exchange rate volatility, nominal exchange rate, gross domestic product, inflation, interest rate, trade openness, and a structural break dummy as independent variables. The estimation results indicate that, in the short run, exchange rate volatility has a positive and statistically significant effect on foreign direct investment, whereas in the long run the effect of exchange rate volatility is not significant, suggesting that long-term foreign investment decisions are more influenced by economic fundamentals than by exchange rate uncertainty. These findings underscore the importance of macroeconomic stability and the strengthening of economic fundamentals as key prerequisites for attracting sustainable foreign direct investment in Indonesia.

Kata Kunci : Volatilitas Nilai Tukar, Penanaman Modal Asing Langsung, ARDL-ECM, GARCH, Indonesia