Pengaruh Perubahan Nilai Tukar Rupiah Terhadap Neraca Transaksi Berjalan Indonesia, Periode 1990.I – 2004.II (Kasus Indonesia - Amerika Serikat)
Abstract
This research investigates the effects of exchange rate change on the relative current account and real GDP in Indonesia to US. This research provides time series evidence for the period of first quarter of 1990 to second quarter of 2004 under flexibel exchange rate regimes. The analysis is based on a J-Curve theory. First, this research employs unit root, cointegration and Granger causality tests and summarizes the relationships between real exchange rate, the current account, and real GDP. Second, the standard theoretical explanation of the JCurve effect is used to motivate a vector autoregression(VAR) and error correction mechanism(ECM) analysis of real exchange rate change on the relative current account, and real GDP for Indonesia to US. This research finds weak evidence of a J-Curve for the Indonesia current account, in fact these empirical results reject the J-Curve hypothesis. The empirical study finds little evidence that a currency depreciation causes a current account deficits in the short run in Indonesia-US bilateral data and no evidence of a reliable long run effect of exchange rate change on the current account. Interestingly, empirical results show that these evidence are not consistent with the standard theoretical explanation of the J-Curve. Consequently, these empirical results pose a strong challenge for international economic theory and policy.
Keywords: exchange rate change, current account, real GDP, and J-Curve theory
Downloads
References
Batiz, Francisco L. Rivera danLuis A. Rivera Batiz, (1994), International Finance and Open Economy Macroeconomics, Second Edition, Macmillan Publishing Company, New York .
Calderon, Cesar, Alberto Chong,dan Norman Loaya.“Determinants of Current Account Deficits in Developing Countries” http://Econ.worldbank.org/working-papers/2398, 2000.
Denburg, Thomas F, (1985), Macroeconomics, McGraw-Hill, Inc., New York. Devkota, Satis Candra. “Impact of Exchange Rate Cange on Foreign Trade Balance in Nepal” http://econwpa.wustl.edu, 2004.
Djiwandono, J. Sudradjad. “Nasib Rupiah dan Sistim Nilai Tukar” http://www.pacific.net.id/pakar/sj/010407.html.
Egle, R.F. dan C.W.J. Granger, (1991), Long-Run Economic Relationships : Reading in Cointegration, Oxford University Press, New York.
Eichenbaum, Martin danCharles Evans.“Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates”, Quarterly Journal of Economics 110,1995. Gujarati, Damodar N., (2003), Basic Econometrics, Fourth Edition, McGrawHill, Singapore.
Hendry, David F., (1995), Dynamic Econometrics, Oxford University Press, New York.
Insukindro. ”Model Koreksi Kesalahan untuk Permintaan Impor Bahan Bakar Minyak Indonesia”, Jurnal Ekonomi dan Bisnis Indonesia, Tahun V. No. 1.
Irma, Adelman. “Financial Crises-Causes, Consequences and Remedies”, University of California at Berkeley Working Paper, No. 889, 1999.
Johansen, Soren,(1995), Lixelihood-Based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, New York.
Koray, Faikdan Douglas McMillin. “Monetary Shocks, the Exchange Rate, and Trade Balance”, Journal of International Money and FinanceNo.18, 1999.
Kreinin, Mordechai E, (2002), International Economics : A Policy Approach, Ninth Edition, Thomson Learning, Inc.
Krugman, Paul R.dan R.E. Baldwin.“The Persistence of the U.S. Trade Deficit” Brookings Papers on Economics Activity, 1987.
Liew, Khim-Sen, Kian-Ping Lim dan Huzaimi Hussain.“Exchange Rate and Trade Balance Relationship : The Experience of ASEAN Countries” http://econwpa.wustl.edu, 2003.
Lee, Jaewoodan Menzie D. Chinn.“The Current Account and the Real Exchange Rate : A Structural VAR Analysis of Major Currencies”, NBER Working Paper 649, 1988.
Ma, Zihuidan Leonard Cheng. “The Effects of Financial Crises on International Trade”, NBER Working Paper No. w10172, 2003.
Moffett, Michael H.“The J-Curve Revisited : An Empirical Examination for the United States”, Journal of International Money and Finance 8, 1989.
Rajan, Ramkishen S. “The Limits of Asian Currency Flexibility”, Bisnis Times, October 9, 2003.
Rose, Andrew K. dan Janet L. Yellen.“Is There a J-Curve ?”, Journal of Monetary Economics 24, 1989.
Salvatore, Dominick, (1996), International Economics, Fifth Edition, PrenticeHall, New Jersey.
Stock, James H. dan Mark W. Watson. “Vector Autoregressions, Research Associates”, National Bureau of Economic Research, Cambiridge, Massachusetts, 2001.
Verbeek, Marno, (2000), A Guide to Modern Econometrics, John Wiley & Sons, Ltd., New York.
Waluyo, Doddy Budidan Benny Siswanto. “Peranan Kebijakan Nilai Tukar Dalam Era Deregulasi dan Globalisasi”, Buletin Ekonomi Moneter dan Perbankan, Bank Indonesia,Vol. 1, No.1, Juli 1998.
Buletin Ekonomi Moneter dan Perbankan / Bulletin of Monetary Economics and Banking is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
