Muhammad Arfan Muzzakki, . (2026) ANALISIS INDIKATOR MONETER DAN PERDAGANGAN TERHADAP VOLATILITAS NILAI TUKAR: PENDEKATAN VECM. Skripsi thesis, Universitas Pembangunan Nasional Veteran Jakarta.
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Abstract
The Rupiah exchange rate against the United States Dollar is an important macroeconomic indicator affecting international trade, investment, and economic stability. Exchange rate movements are influenced by various factors, including exports, inflation, and interest rates. This study aims to examine the effects of exports, inflation, and interest rates on the Rupiah exchange rate against the United States Dollar in Indonesia from January 2015 to December 2025. Using a quantitative approach, monthly secondary data were obtained from Statistics Indonesia (BPS) and Bank Indonesia (BI). The analysis employed the Vector Error Correction Model (VECM) following stationarity, optimal lag, VAR stability, Granger causality, and Johansen cointegration tests. The results show that exports, inflation, and interest rates have no significant effect on the exchange rate in the short run but significantly influence it in the long run. One cointegrating relationship indicates a long-run equilibrium among the variables. Furthermore, exchange rate fluctuations are mainly explained by their own shocks, while exports provide the largest contribution among the independent variables in explaining exchange rate variations, highlighting the importance of trade performance in maintaining long-term exchange rate stability in Indonesia
| Item Type: | Thesis (Skripsi) |
|---|---|
| Additional Information: | [No.Panggil: 2210115039] [Pembimbing: Viyolanda Azrimultiya] [Penguji 1: Fachru Nofrian] [Penguji 2: Desmintari] |
| Uncontrolled Keywords: | Exchange Rate, Net Exports, Inflation, Interest Rate, VECM |
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HC Economic History and Conditions |
| Divisions: | Fakultas Ekonomi dan Bisnis > Program Studi Ekonomi Pembangunan (S1) |
| Depositing User: | MUHAMMAD ARFAN MUZZAKKI |
| Date Deposited: | 07 Sep 2026 07:28 |
| Last Modified: | 07 Sep 2026 07:28 |
| URI: | http://repository.upnvj.ac.id/id/eprint/51855 |
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