DINAMIKA PENYESUAIAN NILAI TUKAR RUPIAH TERHADAP GUNCANGAN MAKROEKONOMI DOMESTIK DAN GLOBAL: ANALISIS ECM

Authors

  • 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

Abstract

Abstract

The Rupiah exchange rate against the United States Dollar is a strategic macroeconomic indicator that is highly sensitive to domestic and global economic shocks. Although previous studies have examined exchange rate determinants, evidence integrating domestic and global factors during the COVID-19 pandemic and the subsequent global monetary policy normalization remains limited. This study analyzes the short-run and long-run effects of inflation, BI Rate, foreign exchange reserves, trade balance, the Federal Funds Rate, and the United States Dollar Index (DXY) on the Rupiah exchange rate. Monthly time-series data from January 2019 to December 2025 (84 observations) were obtained from Bank Indonesia, Statistics Indonesia, and the Federal Reserve Economic Data (FRED). The Engle–Granger two-step Error Correction Model (ECM) was employed following the Augmented Dickey–Fuller stationarity test and residual-based cointegration test. The results indicate that, in the long run, inflation and the Dollar Index significantly contribute to Rupiah depreciation, while the Federal Funds Rate exhibits a counter-cyclical effect during Indonesia's commodity-driven recovery. In the short run, foreign exchange reserves and the trade balance significantly strengthen the Rupiah, whereas the Dollar Index consistently exerts depreciation pressure. The Error Correction Term coefficient of −0.2066 indicates that 20.66% of short-run disequilibrium is corrected each month, implying convergence to long-run equilibrium within four to five months. These findings emphasize the importance of reserve management, export competitiveness, and coordinated monetary policies to enhance exchange rate stability amid global uncertainty.

Keywords: BI Rate, Dollar Index, Error Correction Model, Exchange Rate, Foreign Exchange Reserves.

 

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Published

2026-09-01

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Vol. 14 No. 2 (2026): EDISI SEPTEMBER

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