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All Journal EKONOMI, KEUANGAN, INVESTASI DAN SYARIAH (EKUITAS)
Andryan Setyadharma
Universitas Negeri Semarang, Semarang
Economics, Econometrics & Finance

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Rupiah Exchange Rate Resilience: The Role of Domestic Determinants and Global Monetary Shocks Reznandya Adhistara Ayu Wijayanti; Andryan Setyadharma
Ekonomi, Keuangan, Investasi dan Syariah (EKUITAS) Vol 8 No 1 (2026): August 2026
Publisher : Forum Kerjasama Pendidikan Tinggi (FKPT)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47065/ekuitas.v8i1.10926

Abstract

Financial openness puts the rupiah exchange rate under repeated pressure due to global monetary shocks, while policy evaluations have so far relied on stability indicators that are static and do not explain the currency's recovery capacity. This study aims to analyze the influence of the BI Rate, inflation, Composite Stock Price Index, US Treasury Yield, and CBOE Volatility Index on the rupiah exchange rate in the short and long term, as well as measure exchange rate resilience through the adjustment speed coefficient. The approach used is explanatory quantitative with secondary data for the period January 2013-December 2024 as many as 144 observations, taken through documentation techniques from Bank Indonesia, the Central Statistics Agency, the Indonesia Stock Exchange, and the Federal Reserve Economic Data, and analyzed using Autoregressive Distributed Lag accompanied by dummy Taper Tantrum and COVID-19. The bounds test confirmed cointegration with F-statistic 11.333. In the long term, inflation and US Treasury Yield drive depreciation significantly, global market volatility has a significant effect, while the BI Rate and JCI are insignificant; In the short term, JCI actually triggered appreciation. The Term Error Correction coefficient of -0.368 indicates 36.8% of the imbalance is corrected every month. These findings operationalize resilience as the pace of adjustment and provide an empirical basis for calibrating the duration and intensity of stabilization policies.
Co-Authors Reznandya Adhistara Ayu Wijayanti