Analisis dinamika variabel makroekonomi terhadap kurs Rupiah di Indonesia melalui pendekatan Vector Error Correction Model (VECM)

Abstract

Abstrak. Stabilitas Rupiah terhadap Dolar AS penting bagi perekonomian Indonesia yang semakin terhubung secara global. Penelitian ini menganalisis pengaruh ekspor, inflasi, dan BI Rate terhadap kurs Rupiah/USD dengan pendekatan Vector Error Correction Model (VECM) menggunakan data bulanan Januari 2015–Desember 2024 dari BPS dan Bank Indonesia. Hasil menunjukkan adanya satu hubungan kointegrasi jangka panjang. Koefisien ECT kurs sebesar 0.0139 (p = 0.0643) mengindikasikan koreksi jangka panjang lemah. Dalam jangka pendek, kurs dipengaruhi inertia dirinya sendiri (lag kurs signifikan), sedangkan ekspor, inflasi, dan BI Rate tidak signifikan. Analisis IRF dan FEVD menegaskan kurs dominan di awal, ekspor meningkat kuat pada horizon menengah, dan menjadi variabel eksternal paling berpengaruh dalam jangka panjang. Implikasi kebijakan stabilitas kurs lebih ditentukan oleh momentum internal dan faktor eksternal global, sementara pengelolaan inflasi, BI Rate, serta penguatan ekspor tetap krusial untuk menjaga nilai tukar Rupiah.

Kata kunci: Ekspor, Inflasi, BI Rate, Vector Error Correction Model, Kurs Rupiah/USD

Abstract. The stability of the Indonesian Rupiah against the US Dollar is a key indicator for maintaining economic resilience in an increasingly interconnected global economy. This study examines the influence of exports, inflation, and the Bank Indonesia policy rate (BI Rate) on the Rupiah/USD exchange rate using a Vector Error Correction Model (VECM) with monthly data from January 2015 to December 2024 sourced from BPS and Bank Indonesia. The results reveal one longrun cointegration relationship. The Error Correction Term (ECT) for the exchange rate is 0.0139 (p = 0.0643), indicating weak longrun adjustment. In the short run, the exchange rate is driven primarily by its own inertia, with significant effects from lagged values of the Rupiah, while exports, inflation, and the BI Rate are not significant. Impulse Response Function (IRF) and Forecast Error Variance Decomposition (FEVD) analyses confirm that the exchange rate dominates in the short horizon, exports gain importance in the medium term, and become the most influential external factor in the long run. Policy implications suggest that Rupiah stability is shaped more by internal momentum and global external factors, while credible inflation management, BI Rate policy, and sustained export growth remain crucial to maintaining exchange rate stability.

Keywords:Exports, Inflation, BI Rate, Vector Error Correction Model, Rupiah/USD Exchange Rate