Gresia Septina Sitohang, Joko Suharianto

ANALISIS HUBUNGAN KAUSALITAS CADANGAN DEVISA, KURS, DAN BI RATE DI INDONESIA: PENDEKATAN GRANGER CAUSALITY TEST

Introduction

Analisis hubungan kausalitas cadangan devisa, kurs, dan bi rate di indonesia: pendekatan granger causality test. Teliti hubungan kausalitas Cadangan Devisa, Kurs, dan BI Rate di Indonesia (2009-2024) dengan Granger Causality. Kurs & BI Rate memengaruhi Cadangan Devisa serta saling berinteraksi.

Abstract

Penelitian ini menganalisis hubungan kausalitas antara Cadangan Devisa, Kurs, dan BI Rate di Indonesia. Menggunakan data bulanan Januari 2009–Desember 2024 dari CEIC, Kementerian Perdagangan, dan Bank Indonesia, metode yang digunakan adalah Uji Kausalitas Granger setelah uji stasioneritas ADF dan pemilihan lag optimal AIC. Hasil menunjukkan tiga temuan utama. Pertama, terdapat kausalitas satu arah dari Kurs ke Cadangan Devisa (prob. 0,0254), artinya pergerakan nilai tukar memengaruhi cadangan devisa. Kedua, terdapat kausalitas satu arah dari BI Rate ke Cadangan Devisa (prob. 0,0342), menunjukkan kebijakan suku bunga berdampak pada cadangan devisa melalui aliran modal. Ketiga, ditemukan kausalitas dua arah antara Kurs dan BI Rate (prob. 0,0102 dan 0,0333), mencerminkan interaksi timbal balik antara stabilitas nilai tukar dan kebijakan moneter. Kesimpulannya, Kurs dan BI Rate saling memengaruhi secara erat, sementara Cadangan Devisa lebih berperan sebagai variabel yang merespons dinamika kedua variabel tersebut.

Review

This paper, titled 'ANALISIS HUBUNGAN KAUSALITAS CADANGAN DEVISA, KURS, DAN BI RATE DI INDONESIA: PENDEKATAN GRANGER CAUSALITY TEST,' investigates the causal relationships between foreign exchange reserves, the exchange rate (Kurs), and the BI Rate in Indonesia. Utilizing monthly data spanning January 2009 to December 2024 from reputable sources such as CEIC, the Ministry of Trade, and Bank Indonesia, the study employs a rigorous econometric approach. Specifically, it applies the Granger Causality test following preliminary tests for stationarity using ADF and optimal lag selection via AIC, ensuring a sound methodological foundation for its analysis of these critical macroeconomic variables within the Indonesian context. The research yields three significant findings that shed light on the dynamics of monetary management in Indonesia. Firstly, a unidirectional causal link is established from the exchange rate to foreign exchange reserves (prob. 0.0254), suggesting that currency movements significantly influence the level of reserves. Secondly, the study identifies a unidirectional causality from the BI Rate to foreign exchange reserves (prob. 0.0342), indicating that interest rate policy impacts reserves, likely through its effects on capital flows. Most notably, a robust bidirectional causality is found between the exchange rate and the BI Rate (prob. 0.0102 and 0.0333), underscoring a strong reciprocal interaction between exchange rate stability and monetary policy decisions. These results collectively imply that while the exchange rate and BI Rate are intricately linked and influence each other, foreign exchange reserves predominantly act as a responsive variable to the dynamics generated by these two key policy instruments. Overall, this paper presents a clear and concise analysis of crucial macroeconomic interdependencies relevant to Indonesia's monetary policy. Its application of standard econometric techniques to a pertinent dataset provides valuable empirical insights. The findings are well-articulated and directly address the research question, offering a better understanding for policymakers regarding the complex interplay between interest rates, the exchange rate, and the nation's reserve position. While the Granger causality framework identifies temporal precedence, future research could explore impulse response functions or structural VAR models for a deeper understanding of the shock transmission mechanisms. Nevertheless, the study stands as a significant contribution to the literature on Indonesian monetary economics and is highly recommended for its clear methodology and insightful conclusions.

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