Pembuktian Fenomena J-Curve dan Analisis Asimetris Nilai Tukar Indonesia Dengan Negara Ekspor Utama

Abstract

Depresiasi nilai tukar berpengaruh dalam menimbulkan defisit pada neraca perdagangan. Namun, menurut teori J-Curve, depresiasi nilai tukar dapat memperbaiki neraca perdagangan pada jangka panjang. Studi empiris mengenai pembuktian fenomena J-Curve telah banyak dilakukan dengan hasil yang bervariasi. Variasi tersebut disebabkan penggunaan data agregat dan disagregat serta tidak memperhitungkan pengaruh asimetris dari pergerakan nilai tukar. Penelitian ini bertujuan untuk membuktikan fenomena J-Curve dengan mempertimbangkan hubungan asimetris jangka pendek dan panjang dari nilai tukar rupiah terhadap neraca perdagangan Indonesia dengan sepuluh negara mitra utamanya pada periode Januari 2016 – Desember 2021. Hasil penelitian ini membuktikan bahwa dengan menggunakan model NARDL (Nonlinear Autoregressive Distributed Lag), enam dari sepuluh negara mitra Indonesia (China, Amerika, India, Jepang, Taiwan, dan Thailand) terbukti terdapat efek asimetris jangka panjang. Sementara itu, terdapat efek asimetris jangka pendek pada lima negara mitra Indonesia (China, Filipina, Korea Selatan, Taiwan, dan Thailand). Fenomena J-Curve terbukti terdapat pada Taiwan dan Thailand.

Basically, the depreciation of the exchange rate has an impact on creating a trade balance deficit. However, according to the J-Curve theory, exchange rate depreciation can improve the trade balance in the long-term. Empirical studies regarding the proof of the J-Curve phenomenon have been carried out with varying results. The variation of the result is due to the use of aggregated and disaggregated data also they did not include the asymmetric effect of exchange rate movements. This study aims to prove the J-Curve phenomenon by considering the short- and long-term asymmetrical relationships of the rupiah exchange rate on Indonesia’s trade balance with her ten main partner countries within the period of January 2016 – December 2021. The result of this study proves that by using the NARDL (Nonlinear Autoregressive Distributed Lag) model, six out of ten of Indonesia’s partner countries (China, America, India, Japan, Taiwan, and Thailand) have proven to have long-term asymmetric effects. Meanwhile, there are a short-term asymmetric effect in five ten of Indonesia’s partner countries (China, Philippines, South Korea, Taiwan, and Thailand). In addition, the J-Curve phenomenon is founded in two of Indonesia’s partner countries which are Taiwan and Thailand.