PEMBAYARAN PINJAMAN LUAR NEGERI KORPORASI DAN PERGERAKAN RUPIAH
Abstract
The shifting of the exchange rate regime toward the free floating system in Indonesia, have changed the nature of the Indonesian Rupiah fluctuation, both in its magnitude and direction. Public opinion tends to believe that the high corporate demand on foreign exchange to fulfill their foreign debt repayment is one of the major depreciating factors of the Rupiah against the US dollar.
This paper analyzes the response of public opinion by analyzing the effect of corporate foreign debt repayments and their general behavior on the foreign exchange demand and supply. This paper also analyzes the impact of the non-oil and gas imports, the international oil price, the interest rate differential, and the country risk.
Based on the survey of selected highly leverage corporates in Indonesia, the result shows a unique dependency of the corporate»s foreign exchange demand and supply on the corporate»s earning characteristics and its business sector orientation. The fact that corporations are virtually in the position of excess demand for foreign exchange have prompted persistent pressure on the Rupiah. Furthermore, using the Johansen Cointegration Test and the Error Correction Model verifies that the corporate foreign debt service merely affects the Rupiah exchange rate in the long-run. In the short-run, the movement of Rupiah is highly affected by other factors such us the global oil price, interest rate differentials, and country risks.
Keyword: Debt Service, exchange rate, cointegration, Error Correction Model, Indonesia.
JEL Classification: JEL Classification: F31, F34, H63
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References
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Szakmary, Andrew C. and Ike Mathur, 1997, Central Bank Intervention and Trading Rule Profits in Foreign Exchange Markets, Journal of International Money and Finance, Vol.16, No.4, pp.513-535.
Visser, Hans, 1989, Exchange Rate Theories, De Economist, Vol.137, No.1 (1989), pp.16-46.
Wijoyo Santoso dan Iskandar, 1999, Pengendalian Moneter dalam Sistem Nilai Tukar Fleksibel, Buletin Ekonomi Moneter dan Perbankan, Vol.2, No.2, Bank Indonesia, Jakarta, September 1999
Aguiar, Mark, 2004, Investment, Devaluation, and Foreign Currency Exposure: The Case of Mexico, Federal Reserve Bank of Boston.
Alper, Emre and Saglam, Ismail, 2001, The Equilibrium Real Exchange Rate: Evidence from Turkey, Journal of Economic Literature 54, No.3, p.1-12, Turkey.
Arifin, Sjamsul, Doddy Budi Waluyo, Benny Siswanto dan Harmanta, 1998, Peranan Kebijakan Nilai Tukar dalam Era Deregulasi dan Globalisasi, Kertas Kerja Staff, Urusan Riset Ekonomi dan Kebijakan Moneter, Bank Indonesia, Jakarta.
Baffes, John, Ibrahim A. Elbadawai, Stephen A. Qoonnell, 1997, Single Equation, Estimation of the Equilibrium Real Exchange Rate, Journal of Economic, March 1997, p. 12-45.
Batiz, Fransisco L. Rivera, and Luiz A. Rivera-Batiz, 1994, International Finance and Open
Economy Macroeconomics, 2nd Edition, Macmillan Publishing Company, New York.
Bhandari, Jagdeep S, Bluford H. Putnam and Jay H. Levin, 1988, Economic Interdependence and Flexible Exchange Rates, The Massachusetts Institute of Technology Press, England.
Catteral, Ross E., 2000, Riding the Exchange Rate Roller-Coaster: Speculative Currency Markets and the Success of the European Single Currency Centre for International Business & Economic Research (CIBER), Cambridge, UK.
Cavallo, M., K. Kisselev, F. Perri, and N. Roubini, 2002, Exchange Rate Overshooting and The Costs of Floating, New York University, NBER and CEPR.
Condon, Tim, November 2005, Indonesia: Economic and Policy Watch, Government Debt After the Fuel Price Hike, Economic and Strategy, ING Wholesale Banking, Singapore.
Conway, Paul and Flanulovich, Richard, 2002, Economic Fundamentals Do Matter for the NZD/AUD Exchange Rate, Occasional Paper, Westpac International Bank, March 2002.
Doornik, Jurgen A. and David F. Hendry, 1997, Modelling Dynamic Systems Using PcFiml 9.0 for Windows, International Thomson Business Press, UK
Douch, Nick, 1999, ICC Business Guide to Managing Foreign Exchange Risks, International Chamber of Commerce, France.
Goeltom, Miranda.S., dan Doddy Zulverdi, 2001, Manajemen Nilai Tukar di Indonesia dan Permasalahannya, Buletin Ekonomi Moneter dan Perbankan, Jakarta.
Faruqee, Hamid, 1995, Long Run Determinans of the Real Exchange Rate : A Stock Flow Perspective, IMF Staff Papers Vol.42, No.1.
Hendarsyah, Nanang, 2005, Tantangan Berat Memelihara Stabilitas Rupiah, Paper Majalah KITA, Jakarta.
Hendry, David F, 1997, Dynamic Econometrics - Advanced Texts in Econometrics, Oxford University Press, New York.
Hendry, David.F. and Jurgen A. Doornik, 1999, Empirical Econometric Modelling Using PcGive - Volume 1,Timberlake Consultants Ltd, UK.
Iljas, Achjar, 2000, Dinamika Perkembangan Nilai Tukar, Bag. Studi Ekonomi Makro, Direktorat Riset Ekonomi dan Kebijakan Moneter - Bank Indonesia, Jakarta.
James, William. E., and Anwar Nasution, November 2002, The Debt Trap and MonetaryFiscal Policy in Indonesia: The Gathering Storm ? presented at the 8th Convention of The East Asian Economic Association, Kuala Lumpur.
Johnston, Jack and John Dinardo, 1997, Econometric Methods - Fourth Edition, McGrawHill International Editions, Economics Series, Singapore.
Kawai, Masahiro, 2001,Bank and Corporate Restructuring in Crisis-Affected East Asia: From
Systemic Collapse to Reconstruction, Pacific Economic Papers.
Kawai, M., R. Newfarmer, and Sergio L. Schmukler, 2003, ≈Financial Crises : Nine Lessons From East Asia, Policy Research Working Paper, World Bank, Washington, DC.
Kemre, David M., 2002, Exchange Rate Misaligment : Macroeconomics Fundamentals as an Indicator of Exchange Rate Crises in Transition Economic, Preliminary Draft for European Association of Comparative Economic Meetings, Italy, June 6-8, 2002, p.1-21.
Krogstrup, Signe, 1997, Estimating Equilibrium Real Exchanges, Economic Journal of Denmark, March 1997, p.1-19.
Kurniati, Yati dan A.V. Hardiyanto, 1999, Perubahan Sistem Nilai Tukar, Buletin Ekonomi Moneter dan Perbankan, Vol.2, No.2, Bank Indonesia, Jakarta, September 1999.
Laporan Tahunan Pembukuan 1983/1984, Bank Indonesia. Laporan Tahunan 1988/1989, Bank Indonesia.
Later, Tony, 1996, The Choice of Exchange Rate Regime, Centre for Central Banking Studies, Bank of England.
Leamer, Edward, 1999, Two Important Statistics The R2 and the t-value, Turning Numbers into Knowledge.
Maddala, G.S, 1992, Introduction to Econometrics - Second Edition, Prentice Hall, Englewood Cliffs, USA.
McDonald, Ronald and Clark, Peter, 1997, What Determines Real Exchange Rates? The Long and Short of it, IMF Working Paper, Vol.21, January 1997, p.1-53.
Mussa, Michael, 1982, A Model of Exchange Rate Dynamics, Journal of Political Dinamic, Februari 1982, p.74-104.
Neely, Christopher J., 2001, The Practice of Central Bank Intervention: Looking Under the Hood, Federal Reserve Bank of St. Louis,
Riley, Geoff, 1998, Economic of Exchange Rate, RGS Newcastle Economic - England.
Thomas, R.L, 1997, Modern Econometrics - An Introduction, Department of Economics, Manchester Metropolitan University, England.
Salvatore, Dominick, 1997, International Economic, Fifth Edition, Prentice Hall, Inc., New Jersey.
Santoso, Pribadi, Janu Dewandaru, Firman Mochtar, dan Yoga Affandi, 1999, Kajian Pemilihan Sistem Nilai Tukar di Indonesia, Bagian Studi Ekonomi Makro, Direktorat Riset Ekonomi dan Kebijakan Moneter - Bank Indonesia, Jakarta.
Sarwono, Hartadi A. dan Perry Warjiyo, Mencari Paradigma Baru Manajemen Moneter dalam Sistem Nilai Tukar Fleksibel : Suatu Pemikiran untuk Penerapan di Indonesia, Vol.1, No.1, Bank Indonesia, Jakarta, Juli 1998.
Setiawan, Iwan, 2004, Memburu Dollar Menekan Rupiah, Jurnal Utang Luar Negeri, Vol.4, Direktorat Luar Negeri, Bank Indonesia, Jakarta, Juni 2004.
Siregar, Reza.Y., and Victor Pontines, 2005, External Debt and Exchange Rate Overshooting: The Case of Selected East Asian Countries, Research Grant from the School of Economics, University of Adelaide, Australia.
Suer, Omur, 2002, The Consequences of Overborrowing in Foreign Currency: Istanbul Approach, Galatasary University, Department of Management, Ortakoy Istanbul - Turkey.
Suhendra, Indra, 2003, Pengaruh Faktor Fundamental, Faktor Resiko, dan Ekspektasi Nilai Tukar Terhadap Nilai Tukar Rupiah (Terhadap Dollar) Pasca Penerapan Sistem Kurs Mengambang Bebas pada Tanggal 14 Agustus 1997, Tesis Program Pascasarjana, Universitas
Padjajaran, Bandung.
Szakmary, Andrew C. and Ike Mathur, 1997, Central Bank Intervention and Trading Rule Profits in Foreign Exchange Markets, Journal of International Money and Finance, Vol.16, No.4, pp.513-535.
Visser, Hans, 1989, Exchange Rate Theories, De Economist, Vol.137, No.1 (1989), pp.16-46.
Wijoyo Santoso dan Iskandar, 1999, Pengendalian Moneter dalam Sistem Nilai Tukar Fleksibel, Buletin Ekonomi Moneter dan Perbankan, Vol.2, No.2, Bank Indonesia, Jakarta, September 1999
Published
2007-08-03
How to Cite
Setiawan, I., Indira, D., & Paundralingga, A. Y. (2007). PEMBAYARAN PINJAMAN LUAR NEGERI KORPORASI DAN PERGERAKAN RUPIAH. Buletin Ekonomi Moneter Dan Perbankan, 9(3), 31 - 72. https://doi.org/10.21098/bemp.v9i3.208
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Buletin Ekonomi Moneter dan Perbankan / Bulletin of Monetary Economics and Banking is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
