Hubungan Kausalitas Antara Nilai Tukar, Harga Minyak Dunia, Inflasi, dan Suku Bunga di Indonesia
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Penelitian ini bertujuan untuk membuktikan secara empiris hubungan kausalitas antara nilai tukar, harga minyak dunia, inflasi, dan suku bunga di Indonesia selama periode 2004-2025. Analisis ini didasarkan pada teori Purchasing Power Parity (PPP), Interest Rate Parity (IRP), Cost-Push Inflation, serta mekaniseme transmisi kebijakan moneter melalui jalur nilai tukar. Data yang digunakan dalam penelitian ini merupakan data runtut waktu tahunan yang bersumber dari Bank Indonesia dan Federal Reserve Economic Data (FRED). Metode yang digunakan dalam penelitian ini adalah uji Kausalitas Granger. Hasil dari penelitian ini antara lain, yaitu 1) Terdapat hubungan kausalitas satu arah antara nilai tukar dengan harga minyak dunia, yaitu dari nilai tukar terhadap harga minyak dunia; 2) Tidak terdapat hubungan kausalitas antara nilai tukar dengan inflasi; 3) Tidak terdapat hubunga kausalitas antara nilai tukar dengan suku bunga; 4) Tidak terdapat hubungan kausalitas antara harga minyak dunia dengan inflasi; 5) Terdapat hubungan kausalitas satu arah antara harga minyak dunia dengan suku bunga, yaitu dari suku bunga terhadap harga minyak dunia; dan 6) Terdapat hubungan kausalitas satu arah antara inflasi dengan suku bunga, yaitu dari suku bunga terhadap inflasi. Berdasarkan hasil penelitian tersebut, penelitian selanjutnya disarankan untuk menggunakan data dengan frekuensi yang lebih tinggi, seperti data bulanan atau triwulanan, serta menambahkan variabel makroekonomi lain, seperti jumlah uang beredar, pertumbuhan ekonomi, dan cadangan devisa, sehingga hubungan kausalitas antarvariabel dapat dianalisis secara lebih komprehensif dan mendalam.
Causal Relationship Between Exchange Rate, World Oil Prices, Inflation, and Interest Rate in Indonesia
Abstract
This study aims to empirically investigate the causal relationship among the exchenge rate, world oil prices, inflation, and interest rate in Indonesia over the period 2004-2025. The analysis is grouded in the theoretical frameworks of Purchasing Power Parity (PPP), Interest Rate Parity (IRP), Cost-Push Inflation, as well as the monetary polic transmission mechanism through the exchange rate channel. The study utilizies annual time series data obttained from Bank Indonesia and the Federal Reserve Economic Data (FRED). The empirical approach employed is the Granger causality test. The result of the study indicate that: 1) There is a undirectional causal relationship between the exchange rate and world oil prices, running from the exchange rate to world oil prices; 2) There is no causal relationship between the exchange rate and inflation; 3) There is no causal relationship between the exchange rate and interest rates; 4) There is no causal relationship between world oil prices and inflation; 5) There is a undirectinal causal relationship between world oi proces and interest rate, running from interest rates to world oil prices; and 6) There is a undirectional causal relationship between inflation and interest rates, running from interest rate to inflation. Based on these findings, future studies are recommended to employ data with higher frequencies, such as monthly or quarterly data, and to incorporate additional macroeconomic variables, including money supply, economic growth, and foreign exchange reserves, in order to provide a more comprehensive and in-depth analysis of the causal relationships among variables.
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