PENGARUH VOLATILITAS NILAI TUKAR TERHADAP KINERJA EKSPOR UTAMA PERTANIAN INDONESIA

Eka Dewi Satriana; Harianto; Dominicus Savio  Priyarsono

doi:10.30908/bilp.v13i2.424

Eka Dewi Satriana Institut Pertanian Bogor
Harianto Institut Pertanian Bogor
Dominicus Savio Priyarsono Institut Pertanian Bogor

DOI: https://doi.org/10.30908/bilp.v13i2.424

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Keywords: volatilitas Nilai Tukar, Ekspor Utama Pertanian, Model ARCH-GARCH, Exchange Rate Volatility, Main Agriculture Export, ARCH-GARCH Model

Abstract

Abstrak

Nilai tukar merupakan salah satu aspek yang memengaruhi daya saing ekspor. Pada tahun 2013 hingga tahun 2015, volatilitas nilai tukar mengalami kenaikan, khususnya pada triwulan akhir tahun 2015 yaitu sebesar 16,90%. Kondisi ekspor utama pertanian Indonesia pada tahun tersebut rata-rata mengalami penurunan. Penelitian ini bertujuan untuk menganalisis pengaruh volatilitas nilai tukar terhadap kinerja ekspor utama pertanian Indonesia ke negara mitra dagang utama dengan menggunakan gravity model. Ekspor utama pertanian yang dianalisis yaitu karet alam, kopi, udang, dan Crude Palm Oil (CPO). Model ARCH-GARCH digunakan untuk mengukur volatilitas nilai tukar. Hasil analisis menunjukkan bahwa volatilitas nilai tukar berpengaruh negatif terhadap ekspor karet alam, kopi, dan udang Indonesia. Artinya, semakin fluktuatif nilai tukar rupiah maka akan menurunkan ekspor karet alam, kopi, dan udang Indonesia ke negara mitra dagang utama. Pengaruh negatif tersebut juga menunjukkan adanya penghindaran risiko yang dilakukan oleh pelaku usaha. Beberapa rekomendasi hasil kajian yang dapat dilakukan Pemerintah Indonesia adalah menjaga stabilitas nilai tukar, kemudahan akses ke lembaga keuangan, penerapan lindung nilai (hedging), kontrak jangka panjang (longterm contracts), dan menjaga pertumbuhan produksi komoditas.

Kata Kunci: Volatilitas Nilai Tukar, Ekspor Utama Pertanian, Model ARCH-GARCH

Abstract

The exchange rate is one aspect that affects export competitiveness. From 2013 to 2015, exchange rate volatility increased, especially in the final quarter of 2015, which was 16.90%. Indonesia's main agricultural export conditions in the year on average experienced a decline. This paper analyzes the effect of exchange rate volatility on the performance of Indonesia's main agricultural exports to major trading partner countries using the gravity model. The main agricultural exports analyzed were natural rubber, coffee, shrimp, and Crude Palm Oil (CPO). The ARCH-GARCH model is used to measure exchange rate volatility. The analysis shows that exchange rate volatility harms on Indonesia's exports of natural rubber, coffee, and shrimp. This means, the more the rupiah exchange rate fluctuates will reduce Indonesia's natural rubber, coffee and shrimp exports to the main trading partner countries. The negative influence also indicates the existence of risk aversion by business actors. Some recommendations for the Government of Indonesia based on the study findings are maintaining exchange rate stability, easy access to financial institutions, implementing hedging, long-term contracts, and maintaining commodity production growth.

Keywords: Exchange Rate Volatility, Main Agricultural Exports, ARCH-GARCH Model

JEL Classification: F14, F31, F41, Q17

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