THE EFFECT OF FOREIGN DIRECT INVESTMENT, PORTFOLIO INVESTMENT, INTEREST RATE FOR EXCHANGE RATE IN INDONESIA: VECTOR ERROR CORRECTION MODEL (VECM) APPROACH
Abstract
Penelitian ini bertujuan untuk menguji pengaruh Foreign Direct Investment, Portfolio Investment, Suku Bunga terhadap nilai tukar di Indonesia. Secara empiris penelitian ini menggunakan data sekunder berupa time series (runtut waktu) dengan tahun penelitian antara periode 2000Q1 – 2016Q4. Metode yang digunakan adalah Vector Error Correction Model (VECM) untuk melihat hubungan jangka panjang dan jangka pendek. Berdasarkan hasil analisis VECM, menunjukkan bahwa dalam jangka panjang variabel FDI dalam jangka panjang tidak berpengaruh signifikan terhadap nilai tukar. Variabel investasi portofolio berpengaruh signifikan terhadap nilai tukar. Variabel suku bunga berpengaruh negatif signifikan terhadap nilai tukar. Sedangkan dalam jangka pendek, FDI dan suku bunga berpengaruh positif signifikan terhadap nilai tukar. Namun, variabel Investasi Portofolio tidak berpengaruh signifikan terhadap nilai tukar.
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