ABSTRAK
PENGARUH CAPITAL INFLOW DAN CAPITAL OUTFLOW DI INDONESIA
TERHADAP NILAI TUKAR RUPIAH
Tujuan dari penelitian ini adalah untuk mengetahui bagaimana pengaruh capital inflow dan capital outflow di Indonesia terhadap nilai tukar rupiah dalam jangka pendek dan jangka panjang. Variabel yang digunakan untuk capital flow yaitu direct investment, portfolio investment, other investment yang tercatat di neraca pembayaran Indonesia pada transaksi modal dan finansial. Kemudian variabel nilai tukar rupiah merupakan harga nilai mata uang rupiah terhadap mata uang dolar AS. Metode VECM (Vector Error Correction Model) merupakan alternatif model yang digunakan untuk dapat memecahkan permasalahan didalam penelitian, sehingga dapat menjawab tujuan dari penelitian.
Hasil estimasi persamaan jangka pendek menunjukkan bahwa variabel yang signifikan mempengaruhi nilai tukar rupiah adalah direct investment inflow pada dua triwulan lalu, other investment inflow pada dua triwulan lalu, direct investment outflow pada satu maupun dua triwulan lalu dan portfolio investment outflow pada satu triwulan lalu. Dimana peningkatan direct investment inflow pada satu triwulan lalu menyebabkan nilai tukar rupiah mengalami apresiasi. Sedangkan other investment inflow dua triwulan , direct investment outflow satu dan dua triwulan, portfolio investment outflow satu triwulan yang lalu menyebabkan nilai tukar rupiah mengalami depresiasi.
Hasil estimasi persamaan jangka panjang menunjukkan bahwa variabel yang signifikan mempengaruhi nilai tukar rupiah adalah other investment inflow, portfolio investment outflow, dan other investment outflow. Dimana peningkatan other investment inflow menyebabkan nilai tukar rupiah mengalami apresiasi, portfolio investment outflow dan other investment outflow menyebabkan nilai tukar rupiah mengalami depresiasi.
Kata Kunci : nilai tukar rupiah, capital inflow, capital outflow
ABSTRAC
THE EFFECT OF CAPITAL INFLOW AND CAPITAL OUTFLOW IN
INDONESIA AGAINST RUPIAH EXCHANGE RATE
The purpose of this study is to know how is the effect of capital inflow and
capital outflow in Indonesia against the exchange rate in short-term and
long-term. Variables which are used in capital flow are direct investment, portofolio
investment and other investment, that recorded in the Indonesian balance of
payments on capital transaction and financial account. Then the variable exchange
rate is the price for rupiah value against the US dollar. VECM (Vector Error
Correction Model) method is such an alternative model that is used to solve
problems in this research so that the purpose of study can be resolved.
The estimation result of the short-term equation indicates that the
significant variable which affect the rupiah exchange rate is direct investment
inflow at the last two quarters, other investment inflow at the last two quarters,
direct investment outflow at the last one or two quarters and portfolio investment
outflow at the last quarter, at which the enhancement of direct investment inflow
at the last quarter caused the rupiah exchange rate run into appreciation. While the
other investment inflow at the last two quarters, direct investment outflow at one
or two quarters and portfolio investment outflow at the last quarter caused the
rupiah exchange rate run into depresiation.
The estimation results of the long-term equation indicates that the
significant variable which affect the rupiah exchange rate is other investment
inflow, portfolio investment outflow and other investment outflow, in which the
enhacement of other investment inflow caused the rupiah exchange rate run into
appreciation, portfolio investment outflow and other investment outflow caused
the rupiah exchange rate run into depresiation.
Keywords: exchange rate rupiah, capital inflow, capital outflow
