ANALISIS DETERMINASI NILAI TUKAR STUDI DI INDONESIA PERIODE 1993:1-2012:4

DIPTYA HANINDYOJATI, Prof. Dr. Insukindro, M.A.,

2013 | Skripsi | ILMU EKONOMI

Dalam dua dekade terakhir (1993-2012), seringkali Indonesia menghadapi apresiasi dan depresiasi rupiah. Ada banyak literatur yang meneliti faktor-faktor penentuan nilai tukar. Penelitian ini mengestimasi faktor-faktor yang berpengaruh terhadap nilai tukar, seperti suplai uang diferensial, indeks harga konsumen (IHK) diferensial, produk domestik bruto (PDB) riil diferensial, suku bunga diferensial, dan indeks harga saham diferensial menggunakan autoregressive distributed lag error correction model (ARDL-ECM) dengan guncangan dan spesifikasi menerawang ke depan. Hasil dari penelitian ini menunjukkan bahwa suplai uang diferensial dan IHK diferensial berpengaruh positif (depresiasi) terhadap nilai tukar. Di sisi lain, PDB diferensial berpengaruh negatif (apresiasi) terhadap nilai tukar. Di samping itu, spesifikasi menerawang ke depan menunjukkan hasil yang lebih baik daripada ARDL-ECM dalam mengestimasi nilai tukar.

In last two decades (1993-2012), Indonesia faced rupiah appreciation and depreciation for many times. There have been many literatures that study in exchange rate determination. This study estimates some factors that affect to exchange rate like differential money supply, differential consumer price index (CPI), differential real gross domestic product (GDP), differential interest rate, and differential stock price index using autoregressive distributed lag error correction model (ARDL-ECM) with shock and forward looking specification. The result of this study shows that differential money supply and differential CPI have a positive (depreciate) impact to exchange rate. On the other hand, differential GDP has a negative (appreciate) impact to exchange rate. Besides, forward looking specification shows that it is better than ARDL-ECM to estimate exchange rate.

Kata Kunci : determinasi nilai tukar, ARDL-ECM dengan guncangan, spesifikasi menerawang ke depan