DAMPAK PEMBALIKAN MODAL DAN THRESHOLD DEFISIT NERACA BERJALAN TERHADAP NILAI TUKAR RUPIAH
Abstract
This paper studies the effects of foreign capital flows toward the exchange rate of rupiah both in total and across types of capital investment. This paper also analyzes the thresholds of current account deficit which significantly affect the rate of Rupiah. The estimation shows the capital outflow affect the rate of Rupiah to depreciate and is larger than the appreciation pressure of capital inflow (except when invested in Certificate of Bank Indonesia, SBI). Furthermore, the rate of Rupiah is more sensitive on government bond (SUN) than stock or SBI. The yield of this government bond largely affects the probability of the capital reversal. Related to the current account, the estimation shows that after exceeds the threshold of USD980 million monthly deficit or about 2% of GDP, the exchange rate will depreciate by 12.7% (m-o-m) with the lag effect of 4 months. Keywords: Capital flows, exchange rate, current account deficit, threshold. JEL Classification: F31, F32Downloads
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References
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Nugroho, M. Noor (2010), “Perilaku Aliran Dana Jangka Pendek Asing dan Pengaruhnya pada Nilai Tukar Rupiah”, Bank Indonesia Working Paper, Juni 2010.
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Rodrik D, Velasco A(1999)” Short Term Capital Flows” National Bureau of Economic Research, Working Paper 7364, 1999.
Rudi Dornbusch, Ilan Goldfajn, dan Rodrigo Valdes. 1995”Currency Crisis And Collaps”, Brookings Papers on Economic Activity, pp 219-70.
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Sugeng, M. Noor Nugroho, Ibrahim and Yanfitri (2009), “Dampak Dinamika Penawaran dan Permintaan Valuta Asing Terhadap Nilai Tukar Rupiah dan Perekonomian”, Bank Indonesia Working Paper, Juni 2009.
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Berg, Andrew, and Pattillo Catherine (1999)” Are Currency Crisiss Predictable? A Test” IMF Economic Review, Jun 1999; 46,2.
Calderon, Cesar, Alberto Chong and Norman Loayza, 2000.” Determinant of Current Account Deficit in Developing Countries,” The World Bank Policy Research Working Paper, No.2398.
Chinn, Menzie D., and Eswar S. Prasad.2003.” Medium-Term Determinants of Current Account in Industrial and Developing Countries: An Empirical Exploration” Journal of International Economics, Vol. 59, pp 47-76.
Calvo G (1998)” Capital Flows And Capital – Market Crises: The Simple Economics Of Sudden Stops” Journal of Applied Economics 1:35-54.
Edwards, Sebastian (2004),” Financial Opennes, Sudden Stops and Current Account Reversals” National Bureau of Economic Research, Working Paper 10277, January 2004.
Edwards, Sebastian (2005),” Capital Controls, Sudden Stops and Current Account Reversals” National Bureau of Economic Research, Working Paper 11170, 2005.
Frankel, Jeffrey A., and Andrew K. Rose, (1996)” Currency Crashes In Emerging Markets: An Empirical Treatment” Journal Of International Economics, Vol. 41 (nov), pp. 351-66.
Hansen, Bruce (1999), “Threshold Effects in Non-Dynamic Panels: Estimation, Testing, and Inference,” Journal of Econometrics, Vol. 93, No. 2. pp. 345-68.
Hutchinson M, Noy I (2006),” Sudden Stops And The Mexican Wave: Currency Crisis, Capital Flows Reversal And Output Loss In Emerging Markets” Journal Of Development Economics 79(1):225-249, 2006.
Kaminsky, Graciela, Saul Lizondo, and Carmen Reinhart, 1998” Leading Indicators Of Currency Crisis” Staff Papers, IMF, Vol 45 (March) pp.1-48.
Khan, Mohsin S., and Senhaji Abdelhak S.2001” Threshold Effects In The Relationship Between Inflation And Growth”, IMS Staff Papers, Vol. 48 No.1.
Nugroho, M. Noor (2010), “Perilaku Aliran Dana Jangka Pendek Asing dan Pengaruhnya pada Nilai Tukar Rupiah”, Bank Indonesia Working Paper, Juni 2010.
Radelet S, Sachs J (1998) The East Asian financial crisis: diagnosis, remedies, prospects” Brooking Paper, economic Article 1:147-212.
Rodrik D, Velasco A(1999)” Short Term Capital Flows” National Bureau of Economic Research, Working Paper 7364, 1999.
Rudi Dornbusch, Ilan Goldfajn, dan Rodrigo Valdes. 1995”Currency Crisis And Collaps”, Brookings Papers on Economic Activity, pp 219-70.
Sachs, Jeffrey, Aaron Tornell, and Andres Velasco, 1996” Financial Crisis In Emerging Markets: The Lessons From 1995,” Brooking Papers On Economic Activity:1, Brooking Institution, pp.147-215.
Sahminan, Ibrahim, Yanfitri. 2009.“ Determinants and Sustainabality Indonesia’s Current Account Balance”. Working Paper No. WP/09/2009. Bank Indonesia.
Stahn Kerstin,2006” Has The Impact Of Key Determinants Of German Exports Changed? Results From Estimations Of Germany’s Intra Euro-Area And Extra Euro-Area Exports” Deutsche Bundesbank, Discussion Paper Series 1: Economic Studies No. 07/2006.
Sugeng, M. Noor Nugroho, Ibrahim and Yanfitri (2009), “Dampak Dinamika Penawaran dan Permintaan Valuta Asing Terhadap Nilai Tukar Rupiah dan Perekonomian”, Bank Indonesia Working Paper, Juni 2009.
Sula, Ozan (2010)” Surges and Sudden Stops of Capital Flows to Emerging Markets”, Open Economic Rev (2010) 21:589-605.
Published
2014-09-17
How to Cite
Nugroho, M. N., Ibrahim, I., Winarno, T., & Permata, M. I. (2014). DAMPAK PEMBALIKAN MODAL DAN THRESHOLD DEFISIT NERACA BERJALAN TERHADAP NILAI TUKAR RUPIAH. Buletin Ekonomi Moneter Dan Perbankan, 16(3), 219-246. https://doi.org/10.21098/bemp.v16i3.22
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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.
