Factors Affecting the Exchange Rate of the Indonesian Rupiah Against the United States Dollar: January 2013 - December 2023

Yusril Rahman Hakim; Tony Seno Aji

doi:10.55927/fjmr.v4i5.175

Authors

Yusril Rahman Hakim Universitas Negeri Surabaya
Tony Seno Aji Universitas Negeri Surabaya

DOI:

https://doi.org/10.55927/fjmr.v4i5.175

Keywords:

Exchange Rate, Inflation, Money Supply, BI Rate, Crude Oil Prices

Abstract

This study examines factors affecting the Rupiah–US Dollar exchange rate from Jan 2013 to Dec 2023. Using monthly data from Bank Indonesia and Investing.com, the researchers apply the Autoregressive Distributed Lag (ARDL) model to capture both short and long run dynamics among inflation, money supply (M2), the BI Rate, and world crude oil prices (WTI). Findings indicate that higher inflation leads to Rupiah appreciation, whereas increases in money supply and the BI Rate cause depreciation in both horizons; WTI prices have a significant negative effect only in the short term. These results underscore the need for balanced monetary policy controlling inflation and managing liquidity and diversified foreign-exchange sources to uphold Rupiah stability amid shocks and inform targeted policy decisions.

References

Adewuyi, A., Ogebe, J. O., & Oshota, S. (2021). The Role of Exchange Rate and Relative Import Price on Sawnwood Import Demand in Africa: Evidence From Modified Heterogeneous Panel Data Methods. Journal of Economic Asymmetries, 24(November), e00231. https://doi.org/10.1016/j.jeca.2021.e00231

Aji, T. S., Ismail, M., Maski, G., & Santoso, D. B. (2016). Determinant of exchange rate with hybrid model: Empirical evidence from Indonesia. Journal of Applied Economic Sciences, 11(6), 1026–1033.

Ajija, S., Sari, D., Setianto, R., & MR Primanti. (2011). Cara cerdas menguasai Eviews. Salemba Empat.

Akbaş, Y. E., Dönmez, Z., & Can, E. (2024). The effect of output level, exchange rate and interest rate on inflation in BRIC-T countries. Review of Economics and Political Science. https://doi.org/10.1108/REPS-08-2023-0091

Ananda, F., Sari, Y., Saputra, R. H., & Yasin, M. (2024). Dampak Krisis Di Indonesia Yang Mengakibatkan Kerapuhan Fundamental. Jurnal Manajemen Dan Bisnis Ekonomi, 2(3), 102–111. https://doi.org/10.54066/jmbe-itb.v2i3.1954

Astuty, P. (2022). Determinants of the Volatility of the Rupiah Exchange Rate Against the Dollarsamerica in the Middle of the Covid-19. JABE (Journal of Applied Business and Economic), 9(1), 25. https://doi.org/10.30998/jabe.v9i1.14438

Baek, J., & Kim, H. (2019). On the Relation Between Crude Oil Prices and Exchange Rates in Sub-Saharan African Countries : a Nonlinear ARDL Approach. The Journal of International Trade &Economic Development, 0(0), 1–12. https://doi.org/10.1080/09638199.2019.1638436

Beirne, J., Renzhi, N., & Panthi, P. (2023). IN EMERGING ASIA AND Asian Development Bank Institute (Issue 1379).

Boediono. (2018). Seri Sinopsis Pengantar Ilmu Ekonomi No. 5 Ekonomi Moneter (Ketiga). BPFE-Yogyakarta.

Burnham, K., & Anderson, D. (2002). Model Selection and Multimodel Inference: A Practical Information‐Theoretic Approach. 2nd edn. Springer, Berlin. In Bayesian Data Analysis in Ecology Using Linear Models with R, BUGS, and STAN (pp. 175–196).

Cassel, G. (1967). The Theory of Social Economy. Business Cycle Theory, Part II Volume 5, 151–163. https://doi.org/10.4324/9781003550358-8

Castillo-Ponce, R. A., & Lai, K. S. (2020). On Argentina’s currency crisis of 2018. Lecturas de Economia, 92, 225–233. https://doi.org/10.17533/UDEA.LE.N92A08

Chandrarin, G., Sohag, K., Cahyaningsih, D. S., Yuniawan, D., & Herdhayinta, H. (2022). The response of exchange rate to coal price, palm oil price, and inflation in Indonesia: Tail dependence analysis. Resources Policy, 77(November 2021), 102750. https://doi.org/10.1016/j.resourpol.2022.102750

Damanik, D., Simalungun, U., & Siantar, P. (2024). E-book Ekonomi Moneter (Issue May).

Dwi, R., Putri, S., Hannafi, K., Sarmidi, T., & Haryanto, T. (2023). Heliyon Exchange rate volatility and manufacturing commodity exports in ASEAN-5 : A symmetric and asymmetric approach. Heliyon, 9(2), e13067. https://doi.org/10.1016/j.heliyon.2023.e13067

Friedman, M., Jacobson Schwarz, A., Bruno, I., & Rome, L. (2022). A Monetary History of the United States, 1867-1960 Speech by Luigi Federico Signorini, Senior Deputy Governor of the Bank of Italy 1. 1–14.

Funashima, Y. (2020). Money stock versus monetary base in time–frequency exchange rate determination. Journal of International Money and Finance, 104(17), 102150. https://doi.org/10.1016/j.jimonfin.2020.102150

Gusman, S. R., Suparti, S., & Rusgiyono, A. (2023). Perbandingan Model Arima Dengan Model Nonparametrik Polinomial Lokal Dan Spline Truncated Untuk Peramalan Harga Minyak Mentah West Texas Intermediate (Wti) Dilengkapi Gui R. Jurnal Gaussian, 12(1), 20–29. https://doi.org/10.14710/j.gauss.12.1.20-29

Harahap, E. S., Affandi, M. R., Situmorang, E., Informatika, A., & Medicom, K. (2024). Analisis Faktor yang Mempengaruhi Nilai Tukar. Journal Pusat Studi Pendidikan Rakyat, 4, 13–22.

Hassan, T. A., Mertens, T. M., & Zhang, T. (2020). A Risk-based Theory of Exchange Rate Stabilization. Federal Reserve Bank of San Francisco, Working Paper Series, 01–84. https://doi.org/10.24148/wp2016-15

Hattantyo, F. S., Sumiati, & Juwita, H. A. J. (2023). The effect of inflation , stock price , foreign exchange reserves , and world oil prices on the exchange rate of the Rupiah to Dollars in the period before the pandemic and the era of Covid-19 : A study in Indonesia. International Journal of Research in Business and Social Science, 12(3), 249–257. https://doi.org/10.20525/ijrbs.v12i3.2450

Hutomo, R. T., & Faridatussalam, S. R. (2023). Analisis Kebijakan Moneter Terhadap Pertumbuhan Ekonomi di Indonesia Tahun 2000-2021. SEIKO : Journal of Management & Business, 6(1), 651–661. https://doi.org/10.37531/sejaman.v6i1.3888

Irawan, E., Maras, J. O., Hulu, M., & Sumbawa, K. (2023). Peran Kebijakan Moneter Dalam Perekonomian: Suatu Kajian Literatur. CEMERLANG: Jurnal Manajemen Dan Ekonomi Bisnis, 3(4), 258–265. https://doi.org/10.55606/cemerlang.v3i4.1899

Jiang, Y., Feng, Q., Mo, B., & Nie, H. (2020). North American Journal of Economics and Finance Visiting the effects of oil price shocks on exchange rates: Quantile- on-quantile and causality-in-quantiles approaches. North American Journal of Economics and Finance, 52(January), 101161. https://doi.org/10.1016/j.najef.2020.101161

Kabundi, A., & Mlachila, M. (2019). The Role of Monetary Policy Credibility in Explaining the Decline in Exchange Rate Pass-Through in South Africa. Economic Modelling, 79(June 2018), 173–185. https://doi.org/10.1016/j.econmod.2018.10.010

Karimah, Z. N., & Laulita, N. B. (2023). Pengaruh Faktor Ekonomi Makro , Kestabilan Politik dan Harga Minyak Dunia pada Nilai Tukar Rupiah terhadap Dolar Amerika Serikat. Jurnal Maksipreneur, 13(1), 374–392. https://doi.org/10.30588/jmp.v13i1.1253

Kurniasih, C. E., Tampubolon, D., Studi, P., Pembangunan, E., Studi, P., Ekonomi, S., & Riau, U. (2022). Pengaruh Inflasi Domestik dan Utang Luar Negeri terhadap Nilai Tukar Rupiah. Ecoplan, 5(1), 29–39.

Lafarguette, R., & Veyrune, R. (2021). Foreign Exchange Intervention Rule for Central Banks : A Risk-Based Framework.

Madura, J. (2012). International Financial Management (11th editi).

Marchella, V., Yanti, N. H., & Iklima, C. (2024). Peran Bank Indonesia Dalam Menjaga Stabilitas Ekonomi Dan Keuangan Indonesia. Jurnal Ekonomi Manajemen, 378–386. https://jurnalhost.com/index.php/jekma/article/view/1136

Maulidia, D. N., Kurniawan, M. R., & Yasin, M. (2023). Faktor-Faktor Krisis Dan Dampak Krisis Yang Pernah Terjadi Di Indonesia Sehingga Mengakibatkan Kerapuhan Fundamental. Student Scientific Creativity Journal, 1(4), 181–193. https://doi.org/10.55606/sscj-amik.v1i4.1619

Meylani, B. C., & Prasetyo, P. E. (2023). The Impact of International Crude Oil Prices on the Monetary Sector in Indonesia. International Journal of Sustainable Development and Planning, 18(6), 1707–1714. https://doi.org/10.18280/ijsdp.180606

Nugroho, A., & Nasrudin, N. (2022). Study of Exchange Rate Volatility and Its Effect on Indonesian Economic Indicators With Potential Exchange Rate Crisis. Proceedings of The International Conference on Data Science and Official Statistics, 2021(1), 436–447. https://doi.org/10.34123/icdsos.v2021i1.108

Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/jae.616

Sa’adah, F. T. (2020). Effect of DNDF and Macro Variables on Exchange Rate. Economics Development Analysis Journal, 9(3), 245–259. https://doi.org/https://doi.org/10.15294/edaj.v9i3.39358

Saidi, L. O., Aedy, H., Saranani, F., Adam, P., Ode, L., & Sani, A. (2020). Crude Oil Price and Exchange Rate : An Analysis of the Asymmetric Effect and Volatility Using the Non Linear Autoregressive Distributed Lag and General Autoregressive Conditional Heterochedasticity in Mean Models. 10(1), 104–108.

Sangadji, R., Maramis, M., Tumangkeng, S., Studi, P., Pembangunan, E., & Ekonomi, F. (2024). The Influence of Foreign Direct Investment (PMA), Inflation, and Money Supply (M2) on the Exchange Rate (IDR/USD ) in Indonesia for the Period 2016:Q1-2022:Q2. Formosa Journal of Applied Sciences (FJAS), 3(7), 2861–2874. https://doi.org/10.55927/fjas.v3i7.10338

Solibakke, P. B. (2024). Forecasting hourly WTI oil front monthly price volatility densities. Quantitative Finance and Economics, 8(3), 466–501. https://doi.org/10.3934/QFE.2024018

Sukirno, S. (2015). Makroekonomi Teori Pengantar Edisi Ketiga (ketiga).

Sunardi, A., Afiah, W. N., Fadlah, S. N., & Ribawati, E. (2024). Krisis Moneter 1997-1998: Akar Penyebab, Dampak Ekonomi, Dan Kebijakan Penanganan Di Indonesia. Sindoro CENDIKIA PENDIDIKAN, 5(6). https://doi.org/DOI : doi.org/10.9644/sindoro.v4i5.3317 KRISIS

Sunaryati, S., & Munandar, A. (2023). The COVID-19 pandemic and the exchange rate: a lesson learned from Indonesia. Jurnal Ekonomi & Studi Pembangunan, 24(1), 1–13. https://doi.org/10.18196/jesp.v24i1.16110

Susetio, W., Jaya, I., Kayagiswara, G., Azis, R. A., & Hikmawati, E. (2022). Perang Rusia-Ukraina: Mencari Keseimbangan Dunia Baru. Jurnal Abdimas, 08(05).

Syamad, & Handoyo, R. D. (2023). The Effects of Money Supply on Exchange Rate: Evidence of Dornbusch Overshooting Model in Indonesia (2000-2021). JIET (Jurnal Ilmu Ekonomi Terapan), 8(1), 144–156. https://doi.org/10.20473/jiet.v8i1.45177

Udiyana, I. B. G., Siptiari, N. L. R., Utari, I. A. P. A., Tantra, I. W., Swaputra, I. B., & Ida Bagus Angga Brahmanta. (2023). Inflation, Interest Rates and the Amount of Money Supply, Their Impact on Fluctuations of Rupiah Exchange Rate to the Us Dollar During the Pandemic of Covid-19. Journal Transnational Universal Studies, 1(11), 946–960. https://doi.org/10.58631/jtus.v1i11.69

Widiyono, Y., Kaluge, D., & Wicesa, N. A. (2021). The Dynamics of Exchange Rate, Inflation, and Trade Balance in Indonesia. 14(2).