PENGARUH INDEKS DOLAR AS, RISIKO GEOPOLITIK GLOBAL, INTEREST RATE DIFFERENTIAL, DAN CADANGAN DEVISA TERHADAP NILAI TUKAR RUPIAH PERIODE 2020-2025

I Putu Pramananda Yoga Praja; Ni Ketut Budiningsih

doi:10.59003/nhj.v6i3.2340

Authors

I Putu Pramananda Yoga Praja Universitas Udayana
Ni Ketut Budiningsih Universitas Udayana

DOI:

https://doi.org/10.59003/nhj.v6i3.2340

Keywords:

rupiah exchange rate, US dollar index, geopolitical risk, interest rate differential, foreign exchange reserves, error correction model

Abstract

This study aims to analyze the effect of the US Dollar Index, Global Geopolitical Risk, the Interest Rate Differential, and Foreign Exchange Reserves on the Indonesian Rupiah exchange rate (IDR/USD) during the 2020–2025 period. This research employs monthly secondary time series data obtained from Bank Indonesia, Investing, Matteo Iacoviello (geopoliticalrisk.com), and Statistics Indonesia (BPS), totaling 72 observations. The analytical method used is the Error Correction Model (ECM), which captures both short-run and long-run dynamics among the variables. The cointegration test results indicate a long-run equilibrium relationship between the four independent variables and the Rupiah exchange rate, confirmed by a significant Error Correction Term coefficient of -0.41, implying that approximately 41.25 percent of short-run disequilibrium is corrected toward long-run equilibrium each month. Simultaneously, all independent variables are found to significantly affect the Rupiah exchange rate in the short run. Partially, in the long run, the US Dollar Index has a positive and significant effect, the Interest Rate Differential has a negative and significant effect, and Foreign Exchange Reserves have a positive and significant effect on the Rupiah exchange rate, while Global Geopolitical Risk has no significant effect. In the short run, only Foreign Exchange Reserves significantly and positively affect the exchange rate. Foreign Exchange Reserves are found to be the most dominant variable influencing the dynamics of the Rupiah exchange rate throughout the study period, surpassing the US Dollar Index, which was initially hypothesized to be the most dominant.

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