Analisis penentuan kurs valuta asing di Indonesia, 1983.i - 1997.11: pendekatan koreksi kesalahan dan stok penyangga masa depan.

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INTISARI

Penelitian ini bertujuan untuk menganalisis pengaruh jumlah uang

beredar, pendapatan riil, serta suku bunga Indonesia dan Amerika Serikat

terhadap kurs. Selain itu, penelitian ini juga bertujuan untuk menentukan model

yang cocok bagi perilaku kurs valuta asing di Indonesia.

Data yang digunakan dalam

kajian empiris

ini merupakan data runtun

waktu kuartalan dari tahun 1983.1 sampai 1997.11 atau 58 pengamatan yang

diperoleh dari berbagai penerbitan. Alat analisis yang digunakan adalah model

koreksi kesalahan dan model stok penyangga masa depan.

Hasil estimasi model koreksi kesalahan memberi informasi bahwa jumlah

uang beredar Indonesia, pendapatan riil Indonesia serta pendapatan riil Amerika

Serikat menunjukkan pengaruh yang signifikan terhadap kurs valuta asing,

sedangkan jumlah uang beredar Amerika Serikat dan suku bunga tidak

signifikan. Nilai t statistik koefisien

Error Correction Term

adalah signifikan. Hal ini

mengindikasikan bahwa model tersebut sudah layak. Spesifikasi model stok

penyangga masa depan memberi informasi bahwa pelaku ekonomi

menunjukkan perilaku ekspektasi masa depan. Hal ini ditunjukkan dengan

tanda dan signifikansi sesuai dengan yang diharapkan. Seleksi model antara

model koreksi kesalahan dan model stok penyangga masa depan dengan uji J

menunjukkan bahwa model stok penyangga masa depan mampu mengungguli

model koreksi kesalahan dalam menjelaskan perilaku kurs valuta asing di

Indonesia.

Kata Kunci : Kurs valuta asing, model koreksi kesalahan, model stok penyangga

masa depan.

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ANALYSIS OF THE DETERMINATION OF THE EXCHANGE RATE IN INDONESIA, 1983.1 - 1997.11

Error Correction and

_{Forward Looking Buffer Stock Approach}

ABSTRACT

This research is intended to analyze the effect of money supply, real

income and interest rate in Indonesia and in the United States on the

determination of the exchange rate. In addition, this study also wishes to

determine appropriate model of exchange rate in Indonesia.

The data employed in the study are secondary time series data on the

basis of quarterly data for the period of 1983.1 - 1997.11 or constitutes observation

consisting of 58 series of data picked from several publications. Method of

analysis used in the study are error correction and forward looking buffer stock

approach.

The results of ECM estimation give information that the domestic money

supply, domestic real income, and the United States real income show significant

influence on the determination of the exchange rate, while the United States

money supply and interest rate were not significant. The statistic-t value of Error

Correction Term was significant, indicating the model was valid. Specifications

in forward looking buffer stock model give information that economic agent

show fully forward looking expectation behavior. This is shown with sign and

statistical significance as hypothesized. The selection between error correction

model and forward looking buffer stock model, using the J test, shows that

forward looking buffer stock model may surpass the error correction model for

the determination of the exchange rate in Indonesia.

Key words: Exchange Rate, Error Correction Model, Forward Looking Buffer

Stock Model

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