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All Journal Prosiding Seminar Nasional Official Statistics
Akhmad Hudatullah
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Humanities Computer Science & IT Economics, Econometrics & Finance Social Sciences

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Dinamika Interaksi Variabel Makroekonomi Domestik dan Global terhadap IHSG dan Nilai Tukar Rupiah: Pendekatan VECM Akhmad Hudatullah; Tiara Nur Oktaviani Putri
Seminar Nasional Official Statistics Vol 2026 No 1 (2026): Seminar Nasional Official Statistics 2026
Publisher : Politeknik Statistika STIS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.34123/semnasoffstat.v2026i1.2797

Abstract

Economic uncertainty driven by geopolitical crises triggers sharp asymmetry in domestic financial markets. Previous literature failed to map these dynamics due to reliance on static models. This study aims to examine the dynamic interactions of macro-financial variables using a data science approach based on the Vector Error Correction Model (VECM) across 198 monthly official statistics observations. Cointegration tests confirm the existence of a single long-run equilibrium. The rupiah exchange rate and global oil prices consistently drive JCI strengthening. Inflation and the BI Rate do not directly affect the stock index. The error correction mechanism actively balances the JCI and rupiah equations simultaneously. Variance decomposition establishes global oil prices as the strongest external shock to the JCI. Rupiah volatility is dictated by inflation and interest rates. Monetary authorities must recalibrate their policy mix. Capital market stability is empirically more vulnerable to global energy shocks than internal monetary maneuvers.
Co-Authors Tiara Nur Oktaviani Putri