ALIRAN MODAL ASING, PERTUMBUHAN EKONOMI DAN INDIKATOR MAKROEKONOMI INDONESIA PASCAKRISIS ASIA

JUJU MELANIE, Muhammad Edhie Purnawan, M.A., Ph.D.

2013 | Skripsi | ILMU EKONOMI

Penelitian bertujuan untuk menganalisis respon pertumbuhan ekonomi riil dan juga beberapa indikator makroekonomi lain berupa nilai tukar nominal, jumlah uang beredar dalam arti sempit, inflasi, dan neraca transaksi berjalan terhadap kejutan aliran modal. Selain itu, penelitian juga bertujuan untuk menganalisis kontribusi aliran modal dalam menjelaskan variabilitas dalam indikator makroekonomi tersebut. Penelitian mempergunakan SVAR dengan restriksi teori berbentuk lower triangular matrix. Data yang digunakan adalah data kuartalan dengan data observasi 2000:1 sampai dengan 2011:4. Aliran modal diklasifikasikan berdasarkan tipe investasi ke dalam investasi langsung asing neto dan investasi portofolio neto (dibedakan atas jenis instrumen surat utang dan saham) yang dipersentasekan terhadap PDB. Penelitian menunjukkan bahwa efek pertumbuhan aliran modal tergantung atas tipe investasi. Hasil impulse response function maupun forecast error variance decomposition, menunjukkan bahwa persentase investasi portofolio dalam bentuk surat utang neto dan persentase investasi langsung asing neto terhadap PDB memberikan growth effect yang besar bagi pertumbuhan ekonomi, sedangkan persentase investasi portofolio dalam bentuk saham neto terhadap PDB tidak. Impulse response function menunjukkan bahwa kenaikan kejutan semua tipe investasi mengapresiasi nilai tukar nominal dan memperburuk neraca berjalan. Kenaikan kejutan dalam persentase investasi langsung asing neto dan persentase investasi portofolio dalam bentuk surat utang neto terhadap PDB, meningkatkan jumlah uang beredar dalam arti sempit, sedangkan respon ini diperoleh hanya pada periode pertama kenaikan kejutan persentase investasi portofolio dalam bentuk saham neto terhadap PDB. Respon inflasi adalah negatif, seketika, dan temporer atas kenaikan kejutan persentase investasi langsung asing terhadap PDB, dan positif untuk kenaikan kejutan persentase investasi portofolio neto terhadap PDB. Forecast error variance decomposition menunjukkan ketiga tipe aliran modal memberikan kontribusi yang cukup tinggi dalam menjelaskan variabilitas dalam nilai tukar nominal dan neraca berjalan. Persentase investasi langsung asing dan investasi portofolio dalam bentuk surat utang neto terhadap PDB memiliki kontribusi yang cukup tinggi dalam menjelaskan variabilitas inflasi dan jumlah uang beredar dalam arti sempit, sedangkan kontribusi dari persentase investasi portofolio dalam bentuk saham neto terhadap PDB sangat rendah.

The aim of this research is to analyze the response of real economic growth and other macroeconomic indicators such as nominal exchange rate, the narrow money supply, inflation, and current account balance toward shock on capital flows. In addition, this study tries to analyze the contribution of capital flows in explaining the variability in the macroeconomic indicators. Research is done using SVAR with theoretical restriction which was formed in lower triangular matrix. The datas which are used are quarterly with observational data 2000:1 to 2011:4. Capital flows are classified by the type of investment into net foreign direct investment and net portfolio investment (further classified by the types of instruments into debt and equity) that are percentaged to GDP. Research shows that the growth effect of capital flows depend on the type of investment. The result of impulse response functions and forecast error variance decompositions, show that the percentage of net portfolio investment in the form of debt and net foreign direct investment to GDP give great growth effects, while the percentage of net portfolio investment in the form of equity to GDP does not. Impulse response functions show that the rising shock in all types of capital flows appreciating nominal exchange rate and worsenning the current account. A rising shock in the percentage of net foreign direct investment and net portfolio investment in the form of debt to GDP, increase the money supply, whereas this response is obtained only in the first period of a rising shock in the percentage of net portfolio investment in the form of equity to GDP. The response of inflation is negative, instantaneous, and the temporary after a rising shock in the percentage of of net foreign direct investment to GDP, and positive for a rising shock in the percentage of net portfolio investment to GDP. Forecast error variance decompositions show that the three types of capital flows are high enough in explaining the variability of the nominal exchange rate and the current account. Percentage of net foreign direct investment and net portfolio investment in the form of debt to GDP ratio has a fairly high contribution in explaining the variability of inflation and the money supply, whereas contribution of the percentage of net portfolio investment in the form of equity to GDP is very low.

Kata Kunci : equity portfolio investment, debt portfolio investment, foreign direct investment, economic growth, macroeconomic indicators, svar