Dinamika Penyesuaian Nilai Tukar Rupiah terhadap Guncangan Makroekonomi Domestik dan Global: Analisis ECM

Muhammad Rafiq Nur Ikhsan; Muhamad Indiardi; Eka Cahya Lintang Permana; Muhammad Faheem Daniswara; Eka Lestari; Is Aditya Farandy; Muhammad Putra Prawira; Nindya Salma C. A.; Farel Vega Arvila Yanno; Indah Susilowati

doi:10.33603/ejpe.v14i2.12501

Penulis

Muhammad Rafiq Nur Ikhsan Universitas Diponegoro, Indonesia
Muhamad Indiardi Universitas Diponegoro, Indonesia
Eka Cahya Lintang Permana Universitas Diponegoro, Indonesia
Muhammad Faheem Daniswara Universitas Diponegoro, Indonesia
Eka Lestari Universitas Diponegoro, Indonesia
Is Aditya Farandy Universitas Diponegoro, Indonesia
Muhammad Putra Prawira Universitas Diponegoro, Indonesia
Nindya Salma C. A. Universitas Diponegoro, Indonesia
Farel Vega Arvila Yanno Universitas Diponegoro, Indonesia
Indah Susilowati Universitas Diponegoro, Indonesia

DOI:

https://doi.org/10.33603/ejpe.v14i2.12501

Abstrak

Abstrak

Nilai tukar rupiah terhadap dolar Amerika Serikat merupakan indikator makroekonomi strategis yang sangat sensitif terhadap guncangan ekonomi domestik maupun global. Meskipun berbagai penelitian telah mengkaji determinan nilai tukar, bukti empiris yang mengintegrasikan faktor domestik dan global selama periode pandemi COVID-19 hingga normalisasi kebijakan moneter global masih terbatas. Penelitian ini bertujuan menganalisis pengaruh jangka pendek dan jangka panjang inflasi, BI Rate, cadangan devisa, neraca perdagangan, Federal Funds Rate, dan United States Dollar Index (DXY) terhadap nilai tukar rupiah. Penelitian menggunakan data runtun waktu bulanan periode Januari 2019 hingga Desember 2025 yang bersumber dari Bank Indonesia, Badan Pusat Statistik, dan Federal Reserve Economic Data (FRED). Analisis dilakukan menggunakan Error Correction Model (ECM) dua tahap Engle–Granger setelah melalui uji stasioneritas Augmented Dickey–Fuller dan uji kointegrasi berbasis residual. Hasil penelitian menunjukkan bahwa dalam jangka panjang inflasi dan Dollar Index berpengaruh signifikan terhadap depresiasi nilai tukar rupiah, sedangkan Federal Funds Rate menunjukkan pengaruh yang bersifat kontra-siklus selama periode pemulihan ekonomi Indonesia yang didorong oleh sektor komoditas. Dalam jangka pendek, cadangan devisa dan neraca perdagangan berperan dalam memperkuat nilai tukar rupiah, sementara Dollar Index secara konsisten memberikan tekanan depresiasi. Mekanisme koreksi kesalahan menunjukkan bahwa penyimpangan jangka pendek secara bertahap kembali menuju keseimbangan jangka panjang dalam beberapa bulan setelah terjadi guncangan. Temuan ini menegaskan pentingnya pengelolaan cadangan devisa, penguatan daya saing ekspor, dan koordinasi kebijakan moneter dalam menjaga stabilitas nilai tukar di tengah ketidakpastian ekonomi global.

Kata kunci: BI Rate, cadangan devisa, Dollar Index, Error Correction Model, nilai tukar.

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