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All Journal EDUNOMIC : JURNAL ILMIAH PENDIDIKAN EKONOMI FAKULTAS KEGURUAN DAN ILMU PENDIDIKAN
Muhammad Putra Prawira
Universitas Diponegoro
Economics, Econometrics & Finance Education Social Sciences

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Dinamika Penyesuaian Nilai Tukar Rupiah terhadap Guncangan Makroekonomi Domestik dan Global: Analisis ECM Muhammad Rafiq Nur Ikhsan; Muhamad Indiardi; Eka Cahya Lintang Permana; Muhammad Faheem Daniswara; Eka Lestari; Is Aditya Farandy; Muhammad Putra Prawira; Nindya Salma C. A.; Farel Vega Arvila Yanno; Indah Susilowati
Edunomic : Jurnal Ilmiah Pendidikan Ekonomi Fakultas Keguruan dan Ilmu Pendidikan Vol 14 No 2 (2026): EDISI SEPTEMBER
Publisher : Prodi Pendidikan Ekonomi-UGJ

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33603/ejpe.v14i2.12501

Abstract

Abstract The Rupiah exchange rate against the United States Dollar is a strategic macroeconomic indicator that is highly sensitive to domestic and global economic shocks. Although previous studies have examined exchange rate determinants, evidence integrating domestic and global factors during the COVID-19 pandemic and the subsequent global monetary policy normalization remains limited. This study analyzes the short-run and long-run effects of inflation, BI Rate, foreign exchange reserves, trade balance, the Federal Funds Rate, and the United States Dollar Index (DXY) on the Rupiah exchange rate. Monthly time-series data from January 2019 to December 2025 (84 observations) were obtained from Bank Indonesia, Statistics Indonesia, and the Federal Reserve Economic Data (FRED). The Engle–Granger two-step Error Correction Model (ECM) was employed following the Augmented Dickey–Fuller stationarity test and residual-based cointegration test. The results indicate that, in the long run, inflation and the Dollar Index significantly contribute to Rupiah depreciation, while the Federal Funds Rate exhibits a counter-cyclical effect during Indonesia's commodity-driven recovery. In the short run, foreign exchange reserves and the trade balance significantly strengthen the Rupiah, whereas the Dollar Index consistently exerts depreciation pressure. The Error Correction Term coefficient of −0.2066 indicates that 20.66% of short-run disequilibrium is corrected each month, implying convergence to long-run equilibrium within four to five months. These findings emphasize the importance of reserve management, export competitiveness, and coordinated monetary policies to enhance exchange rate stability amid global uncertainty. Keywords: BI Rate, Dollar Index, Error Correction Model, Exchange Rate, Foreign Exchange Reserves.
Co-Authors Eka Cahya Lintang Permana Eka Lestari Farel Vega Arvila Yanno Indah Susilowati Is Aditya Farandy Muhamad Indiardi Muhammad Faheem Daniswara Muhammad Rafiq Nur Ikhsan Nindya Salma C. A.