Integrasi Pasar dan Volatilitas Harga Beras Indonesia: Dampak COVID-19 dan Implikasi terhadap Kebijakan Ketahanan Pangan

Abstract

Rice price stability is an essential component of Indonesia’s food security because rice is the country’s primary staple food, accounts for a substantial share of household expenditure, and has a significant influence on inflation. The interconnectedness of domestic and international markets allows changes in exporters’ rice prices to be transmitted to Indonesia through trade flows, market participants’ expectations, exchange rate movements, and policy responses. The COVID-19 pandemic exerted additional pressure through logistical disruptions, mobility restrictions, changes in demand patterns, and protectionist policies adopted by several rice-producing countries. These conditions made the 2020–2022 period a stress test for assessing the strength of market integration, price transmission, price volatility, and the capacity of Indonesia’s rice stabilization policies. This study aims to construct a framework for analyzing the dynamics of rice market integration between Indonesia and major exporting countries, formulate the mechanisms through which international rice prices are transmitted to the domestic market, synthesize changes in the patterns and persistence of price volatility before, during, and after the COVID-19 pandemic, and formulate policy recommendations for rice price and supply stabilization that are adaptive to global market shocks. Weekly price data for the 2018–2024 period cover Indonesian rice prices and FOB rice prices from Thailand, Vietnam, Myanmar, Pakistan, and India, supplemented by policy variables representing market operations and government rice reserves. The analytical procedures include stationarity tests, Johansen cointegration tests with Engle–Granger confirmation, VAR/VECM estimation, Granger causality tests, the generalized impulse response function (GIRF), generalized forecast error variance decomposition (GFEVD), volatility modeling, and interaction dummy variables to identify regime changes before, during, and after the COVID-19 pandemic. The market integration results indicate that the clearest long-run relationship exists between Indonesia and Thailand. Vietnam exhibits borderline evidence of cointegration, whereas Myanmar, Pakistan, and India show no statistically significant cointegration at the 5 percent level. In the Indonesia–Thailand relationship, Indonesia’s error correction term is -0.0346 and statistically significant, indicating that approximately 3.46 percent of the disequilibrium is corrected each week. Thailand’s adjustment to disequilibrium originating from Indonesia is not statistically significant. This pattern supports Indonesia’s position as a price follower in the long run and demonstrates that Indonesia’s rice market integration is selective rather than uniform across all major exporting countries. The price transmission regression yields a Thailand coefficient of 0.9445 under normal conditions. After incorporating the COVID-19 interaction term,

Thailand’s baseline coefficient is 1.0370, while the COVID × Thailand interaction coefficient is -1.0189, resulting in a contemporaneous marginal effect of approximately 0.0181 during the pandemic. However, the dynamic analysis indicates that the effect of the shock did not disappear. The generalized impulse response shows that a 1 percent shock to Thai rice prices generated a 0.0609 percent response in Indonesian rice prices in the first week, with the response gradually increasing to approximately 0.6304 percent by week 40. The generalized forecast error variance decomposition indicates that the contribution of Thai price shocks to the forecast error variance of Indonesian rice prices increased from 0.0259 percent in the first week to 19.6295 percent by week 40. Therefore, price transmission during the pandemic is more appropriately characterized as delayed and gradual rather than completely disrupted. Rice price volatility exhibits different patterns between Indonesia and the exporting countries. Indonesia’s volatility changed from 1.1164 percent in the pre-COVID period to 1.0982 percent during the COVID-19 period, before increasing to 1.3840 percent in the post-COVID period. Thailand’s volatility increased from 1.2617 percent to 1.8470 percent during the pandemic, while Myanmar’s increased from 1.4892 percent to 2.4625 percent. These findings indicate that international market interconnectedness does not automatically result in the full transmission of volatility to the domestic market. Indonesia’s relative price stability is consistent with the presence of domestic buffering mechanisms; however, this study does not causally attribute such stability to any single policy instrument. From a policy perspective, the results show that the average volume of market operations increased from approximately 10.85 thousand tonnes per week in the pre-COVID period to 20.69 thousand tonnes during the COVID-19 period and 26.82 thousand tonnes in the post-COVID period. The market operation variable is statistically significant in the price-level model, whereas the government rice reserve variable is not statistically significant with respect to the price level. Given the potential for simultaneity and reverse causality, these regression results are interpreted primarily as reflecting policy responses, or the responsiveness of policy interventions to market pressures, rather than as causal evidence that increases in market operations or government rice reserves automatically reduce prices or volatility. These findings underscore the importance of distinguishing between policy formulation and operational implementation. The National Food Agency (Badan Pangan Nasional, Bapanas), as the policy authority, should establish stock targets, trigger prices, release rules, and the timing and volume of stock releases, while BULOG should undertake procurement, reserve management, and distribution in a measured and systematic manner. The main implication of this study is the need for managed integration that combines the strategic use of international markets with strengthened domestic capacity. Policy should be directed toward diversifying import sources, developing an early warning system based on exporter prices and domestic indicators, transforming government rice reserves into a dynamic buffer stock governed by transparent release rules, operationally integrating market operations with government rice reserves, strengthening coordination between Bapanas and

BULOG, and improving the efficiency of supply chains and interregional distribution. Under such an architecture, food security should be assessed not only in terms of the ability to contain price increases but also in terms of the capacity to absorb shocks, adapt to changes in market regimes, and maintain efficient market functioning.