Dinamika Pengaruh Remitansi terhadap Nilai Tukar Riil di Indonesia Tahun 2010-2021: Pendekatan Vector Error Correction Model

Abstract

Nilai tukar memainkan peranan penting dalam dinamika perekonomian suatu negara. Nilai tukar yang mengalami apresiasi dan depresiasi dipengaruhi oleh permintaan mata uang di pasar valuta asing. Penelitian ini bertujuan untuk menganalisis pengaruh remitansi dan variabel-variabel terpilih lainnya terhadap nilai tukar riil di Indonesia. Data yang digunakan adalah data time series kuartal dari periode 2010-2021 yang dianalisis menggunakan metode VECM, uji IRF, uji FEVD. Berdasarkan hasil estimasi pada jangka pendek pertumbuhan remitansi, pertumbuhan harga minyak dunia, pertumbuhan suku bunga, pertumbuhan output nasional, pertumbuhan cadangan devisa, dan pandemi Covid-19 mempengaruhi nilai tukar riil secara signifikan. Pada jangka panjang semua variabel berpengaruh signifikan terhadap nilai tukar riil. Shock dari variabel output nasional, remitansi, harga minyak dunia, dan suku bunga bersifat persisten (jangka panjang) terhadap respon dari nilai tukar riil. Variabel yang berkontribusi paling besar terhadap nilai tukar riil yaitu, harga dalam negeri, suku bunga, dan remitansi.

The exchange rate plays an important role in the dynamics of a country's economy. The exchange rate that experiences appreciation and depreciation is influenced by the demand for currencies in the foreign exchange market. This study aims to analyze the effect of remittances and other selected variables on the real exchange rate in Indonesia. The data used is quarterly time series data from the 2010-2021 period which is analyzed using the VECM method, IRF test, FEVD test. Based on the results of short-term estimates of remittance growth, world oil price growth, interest rate growth, national output growth, foreign exchange reserves growth, and the Covid-19 pandemic significantly affected the real exchange rate. In the long run all variables have a significant effect on the real exchange rate. Shocks from the variables of national output, remittances, world oil prices, and interest rates are persistent (long-term) to the response of the real exchange rate. The variables that contribute the most to the real exchange rate are domestic prices, interest rates, and remittances.