HUBUNGAN KAUSALITAS ANTARA NILAI TUKAR EFEKTIF RIIL RUPIAH DAN PENANAMAN MODAL ASING LANGSUNG DI INDONESIA PERIODE 2000 – 2015
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Keywords:
Foreign Direct Investment, Real Effective Exchange Rate
Abstract
This study aims to examine the causality relationship between real effective exchange rate and foreign direct investment in Indonesia as the host country. This study uses a quantitative approach with Ordinary Least Square (OLS) and Vector Autoregressive (VAR) methods based on the monthly data of the total Foreign Direct Investment (FDI) in Indonesia and the Real Effective Exchange Rate (REER) of rupiah during January 2000 to December 2015 period. This study is a reference to the research that has been done before in various countries including Asian countries such as China. According to the results of the empirical test, the real effective exchange rate has a positive impact on the foreign direct investment and statistically significance, this shows that the appreciation of rupiah promotes FDI inflow into Indonesia. The empirical result also shows that there is a correlation between the two variable and the causality of both variables are significant. The author believes that this phenomenon might be possible because the relationship between the two variable is dependent on the motives and the expectation of the future earning by the investing firms.
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References
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Campa, J. M. 1993. “Entry by Foreign Firms in the United States under Exchange Rate Uncertainty”. The Review of Economics and Statistics, 75(4), 614-622.
Cushman, D.O. 1985. “Real Exchange Rate Risk, Expectations, and the Level of Direct Investment”. The Review of Economics and Statistics, 75(4), 614- 622.
Chen, K., Rau, H. dan Lin, C. 2006. “The Impact of Exchange Rate Movements on Foreign Direct Investment: Market-oriented versus Cost-oriented”. The Developing Economies, 44(3), 269-287.
Dewenter, K. 1995. “Do Exchange Rate Changes Drive Foreign Direct Investment?”. The Journal of Business, 48(1), 1-48.
Eiteman, D. K., Arthur I, Stonehill, dan Michael H Moffett. 2010. Multinational Business Finance. Prentice Hall. Upper Saddle River, New Jersey. USA.
Feldstein, M. 2000. “Aspects of Global Economic Integration: Outlook for the Future”. NBER Working Paper No. 7899. Cambridge, Massachusetts: National Bureau of Economic Research. UK.
Feng, L dan Li, Z. 2012. "The Connection between Imported Intermediate Inputs and Exports: Evidence from Chinese Firms". NBER Working Paper Series. National Bureau of Economic Research. Cambridge. UK.
Froot, K., dan Stein, J. 1991. “Exchange Rates and Foreign Direct Investment: An Imperfect Capital Market Approach”. Quarterly Journal of Economics. 106(4), 1191-1217.
Goldberg, L. S. dan Kolstad, Charles D. 1995. “Foreign Direct Investment, Exchange Rate Variability and Demand Uncertainty”. NBER Working Papers. 36(4), 855-73.
Gujarati, D. 2004. Basic Econometrics (Ekonometrika Dasar). Alih bahasa Sumarno Zain. Jakarta: Penerbit Erlangga.
Hady, H. 2001. Ekonomi Internasional: Teori dan Kebijakan Keuangan Internasional. Jakarta: Ghalia.
Irfani, N. 2009. “Revitalisasi Hukum Dasar Perekonomian Nasional Dalam Hukum Penanaman Modal Asing Di Indonesia”. Bandung: Universitas Padjajaran.
Jin, W., dan Zang, Q. 2013. “Impact of Change in Exchange Rate on Foreign Direct Investment: Evidence from China”. Lingnan Journal of Banking, Finance and Economics, 4. Lignan University. China.
Kohlhagen, S. W. 1977. “Exchange Rates Changes, Profitability, and Direct Foreign Investment.” Southern Economic Association. Southern Economic Journal. 44(1), 43-52.
Krugman, Paul, R., dan Obstfeld, Maurice. 2000. Ekonomi Internasional Teori dan Kebijaksanaan. Jakarta: Rajawali Press.
Krugman, Paul, R., dan Obstfeld, Maurice. 2002. Ekonomi Internasional Teori dan Kebijakan Edisi Kedua. Jakarta: Raja Grafindo Persada.
Nachrowi, D. dan Hardius, U. 2006. “Pendekatan Populer dan Praktis Ekonometrika untuk Analisis Ekonomi dan Keuangan”. Jakarta: LPFEUI.
Navaretti, Barba dan Venables. 2005. “Multinational Firms in the World Economy”. Princeton University Press. Princeton University, NJ 08544.
Nopirin. 2000. Ekonomi Moneter. Buku II. Edisi ke 1. Cetakan Kesepuluh. Yogyakarta: BPFE UGM.
Razin, A. dan Sadka, E. 2000. “Unskilled Migration: A Burden or a Boon for the Welfare State". The Scandinavian Journal of Economics. 102(3), 463-479.
Sigit, W. dan Sujana, I. 2003. Kamus Besar Ekonomi. Bandung: Pustaka Grafika. Simorangkir, Iskandar dan Suseno. 2004. Sistem dan Kebijakan Nilai Tukar. Seri
Kebanksentralan No.12. Jakarta: PPSK Bank Indonesia.
Sims, C. A. 1980. “Macroeconomics and Reality”. Econometrica, 48(1), 1-48. The Econometric Society. Princeton University, NJ 08544.
Sitinjak, E.L.M., dan Widuri, K. 2003. “Indikator-indikator Pasar Saham dan Pasar Uang yang Saling Berkaitan ditinjau dari Pasar Saham Sedang Bullish dan Bearish”. Jurnal Riset Ekonomi dan Bisnis, 3(3).
Suharyadi dan Purwanto S.K. 2003. Statistika untuk Ekonomi dan Keuangan Modern. Jilid 1. Jakarta: Salemba Empat.
Sukirno, S. 2000. Ekonomi Pembangunan Proses Masalah dan Dasar Kebijaksanaan. Jakarta: Bina Grafika.
Sun, X. C., Liu, Y., dan Song, F. (孙霄翀，刘士余，宋逢明). 2006. "The Impact of Exchange Rate Adjustment on Foreign Direct Investment: Based on Theoretical and Empirical Research". Journal of Quantitative
Economics and Technology.
Triyono. 2008. “Analisis Perubahan Kurs Rupiah Terhadap Dollar Amerika”. Jurnal Ekonomi Pembangunan. 9(2), Desember. Surakarta: FE UMS.
Widarjono A. 2007. Ekonometrika Teori dan Aplikasi untuk Ekonomi dan Bisnis. Edisi kedua. Yogyakarta: Ekonisia.
Yuqing, X. 2002. "The Impact of Real Exchange Rates on Japanese Direct Investment in China's Manufacturing: An Empirical Assessment". International Development Program, International University of Japan. Yamato-machi, Niigata-ken, 949-7277.
Published
2018-03-01
Section
Bidang Ilmu Ekonomi (SP)
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