THE IMPACT OF REAL EXCHANGE RATE VOLATILITY ON INDONESIA-US TRADE PERFORMANCE

  • Septika Tri Ardiyanti Kementerian Perdagangan
DOI: https://doi.org/10.30908/bilp.v9i1.17
Abstract Views: 407 | PDF Downloads: 393

Downloads

Download data is not yet available.
  
Keywords: Volatilitas Nilai Tukar, Exchange Rate Volatility, ARCH model, MASD Methods, ARDL

Abstract

Studi ini mengkaji dampak volatilitas nilai tukar riil terhadap kinerja perdagangan bilateral Indonesia-Amerika Serikat (AS), dengan menggunakan data periode Q1:1990 sampai dengan Q3:2012. Studi ini menggunakan dua pendekatan untuk mengukur volatilitas nilai tukar riil, yaitu model Autoregressive Conditional Heteroskedasticity (ARCH-1) dan metode Moving Average Standards Deviation (MASD). Untuk menguji hubungan jangka panjang antara variabel penelitian, digunakan prosedur Autoregressive Distributed Lag (ARDL) bounds testing. Hasil analisis menunjukkan bahwa volatilitas nilai tukar riil berpengaruh negatif terhadap impor Indonesia dari AS tetapi tidak mempengaruhi ekspor Indonesia ke AS. Dengan demikian, semakin volatile nilai tukar maka volume impor Indonesia dari AS semakin rendah. Jika Indonesia ingin menjaga neraca perdagangan, maka dianjurkan untuk mempertahankan kebijakan nilai tukar yang mengambang dan terkendali.

 

This sudy examines the impact of real exchange value volatilities on bilateral trade performance between Indonesia and the United States utilizing the data period between Q1:1990 to Q3 2012. This study deploys two approach to measure real exchange values volatilities, Autoregressive Conditional Heteroskedasticity (ARCH-1) and Moving Average standard Deviation methods. To test the long terms relationship between variables, it uses Autogressive Distributed Lag (ARDL) bounds testing procedure. The result shows that real exchange values volatilities has negative influence on Indonesia’s import from the United States but does not affect the Indonesia’s export to the United States. Hence, the more volatile an exchange value leads to a decrease of Indonesia’s import volume from the United States. If Indonesia attempts to balance its trade, it needs to keep intact monetary policies afloat and controllable.

Author Biography

Septika Tri Ardiyanti, Kementerian Perdagangan
Badan Pengkajian dan Pengembangan Kebijakan Perdagangan

References

Altintas, H., R. Cetin,.and B. Öz. (2011). The Impact to Exchange Rate Volatility on Turkish Exports:1993-2009. South East European Journal of Economics & Business Vol. 6 (2), 71-81.

Ananta, A.,M. Soekarni and S. Arifin. (2011). The Indonesian Economy: Entering New Era. Singapore: Institute of Southeast Asian Studies.

Arize, A. C. (1998). The Effects of Exchange Rate Volatility on US Imports: An Empirical Investigation. International Economic Journal Vol. 12 (3), 13-40.

Arize, A. C., J. Malindetros and K.M. Kasibhatla. (2003). Does Exchange-Rate Volatility Depress Export Flows: The Case of LDCs. International Advances in Economics Vol. 9 (1), 7-19.

Arize, A. C., T. Osang, and D.J. Slottje. (2000). Exchange Rate Volatility and Foreign Trade: Evidence from Thirteen LDC's. Journal of Business & Economic Statistics Vol. 18 (1), 10-17.

Bahmani-Oskooee, M. and J. Xu. (2010). Impact of exchange rate volatility on commodity trade between US and China: is there a third country effect. Journal of Economics and Finance Vol. 36 (3), 555-586.

Bailey, M., G. S. Tavlas and M. Ulan. (1987). The Impact of Exchange Rate Volatility on Export Growth: Some Theoretical Considerations and Empirical Results. Journal of Policy Modeling Vol. 9 (1), 225-243.

Bank Indonesia. (2010). Krisis Global dan Penyelamatan Sistem Perbankan Indonesia. Jakarta: Bank Indonesia.

Bank Indonesia. (2012). Statistik Ekonomi dan Keuangan Indonesia (SEKI). (http://www.bi.go.id/web/id/Statistik/Statistik+Ekonomi+dan+Keuangan+Indonesia/Versi+HTML/Sektor+Eksternal, retrieved March 14, 2012)

Baum, C. F., M. Caglayan and N. Ozkan. (2001). Nonlinear Effects of Exchange Rate Volatility on the Volume of Bilateral Exports. Journal of Applied Econometrics Vol. 19, 1-23.

Caglayan, M. and J. Di. (2010). Does Exchange Rate Volatility Affect Sectoral Trade Flows?. Southern Ecnomic Journal Vol. 77 (2), 313-335.

Chit, M. M., M. Rizov and D. Willenbockel, (2010). Exchange Rate Volatility and Exports: New Empirical Evidence from the Emerging East Asian Economies. The World Economy, 239-263.

Chou, W.L. (2000). Exchange Rate Variability and China's Exports. Journal of Comparative Economics 28(1), 61-79.

Chowdhury, A. R. (1993). Does Exchange Rate Volatility Depress Trade Flows?Evidence from Error Correction Model. The Review of Economics and Statistics Vol. 75 (4), 700-706.

Cosar, E. E. (2002). Price and Income Elasticities of Turkish Export. Central Bank Review 2. Central Bank of the Republic of Turkey.

Daly, K. (1998). Does Exchange Rate Volatility Impede the Volume of Japan's Bilateral Trade? Japan and the World Economy Vol. 10 (3), 333-348.

E. M. Ekanayake and D. Chatrna. (2010). The Effects Of Exchange Rate Volatility On Sri Lankan Exports: An Empirical Investigation. Journal of International Business and Economy Vol.11(1), 51-68.

Ekanayake, E. (1999). Exports and Economic Growth in Asian Developing Countries Cointegration and Error-Correction Models. Journal of Economic Development Vol. 24(2),43-56.

Engle, R. F. (1982). Autoregresive Conditional Heteroscedasticity with Estimates of Variance of United Kingdom Inflation. Econometrica Vol. 50 (4), 987-1008.

Fosu, O.A. E. and F.J. Magnus. (2006). Bounds Testing Approach to Cointegration: An Examination of Foreign Direct Investment Trade and Growth Relationships. American Journal of Applied Sciences Vol. 3 (11),

-2085.

Hall, S., G. Hondroyiannis, P.A.V.B. Swamy, G. Tavlas and M. Ulan. (2010). Exchange-rate volatility and export performance: Do emerging market economies resemble industrial countries or other developing countries?. Economic Modelling Vol. 27 (6), 1514–1521.

Hooy, C.W. and C.K. Choong. (2010). The Impact of Exchange Rate Volatility on World and Intra Trade Flows of SAARC countries. Indian Economic Review Vo. XXXXV (1), 67-86.

Huchet-Bourdon, M. and J. Korinek. (2011). To What Extent Do Exchange Rates and Their Volatility Affect Trade. OECD Trade Policy Working Paper No. 119.

International Monetary Fund. (2009). Primary Commodities Price. (http://www.imf.org/external/np/res/commod/index.aspx, retrieved March 14, 2012)

International Monetary Fund. (2012). World Economic Outlook October 2012. (http://www.imf.org/external/pubs/ft/weo/2012/02/weodata/weoselgr.aspx,retrieved February 22, 2012)

Koray, F. and W.D. Lastrapes (1989). Real Exchange Rate Volatility and US Bilateral Trade: a VAR Approach. Rev. The Review of Economics and Statistics Vol. 71 (4), 708-712.

Mckenzie, M. (1998). The Impact of Exchange Rate Volatility on Australian Trade Flows. Journal of International Financial Markets, Institutions and Money Vol. 8 (1), 21-38.

Ministry of Trade Republic of Indonesia. (2013a). Press release 2nd April 2013: Non Oil/Gas Export January-February 2013 a Surplus of USD 2 Billion.

Ministry of Trade Republic of Indonesia. (2013b). Press release 4th January 2013: Indonesia's Export in 2012 Expected to Reach USD 190 Billion.

Najia, S. and I. Sana (2012). Exchange Rate Volatility and its Effect on Pakistan’s Export Volume. Advances in Management & Applied Economics Vol. 2 (4), 109-124.

Pesaran, M., Y. Shin, and R. Smith. (2001). Bounds Testing Approaches to The Analysis of Level Relationship. Journal of Applied Econometrics Vol. 16 (3), 289-326.

Pesaran, M.H.,Y. Shin and R. Smith.(1999). Bounds Testing Approaches to the Analysis of Long Run Relationship. Cambridge Working Papers in Economics No. 9907.

Sekantsi, L. (2011). The Impact of Real Exchange Rate Volatility on South African Exports to the United States (US): A Bounds Test Approach. Review of Economic and Business Studies Vol. 8, 119-139.

Selim, D. and M. Ustaoğlu. (2012). Exchange-Rate Volatility's Impact on Turkey's Exports: An Empirical Analyze for 1992-2010. Procedia - Social and Behavioral Sciences Vol 41, 168–176.

Serenis, D., and N. Tsounis. (2013). Exchange Rate Volatility and Foreign Trade: The Case for Cyprus and Croatia. Procedia Economics and Finance Vol 5, 677–685.

Siregar, R. and R. Rajan. (2004). Impact of Exchange Rate Volatility on Indonesia's Trade Performance in the 1990s. The Japanese and International Economies Vol. 8 (2), 218-240.

Srinivasan, P. and M. Kalaivani. (2012). Exchange Rate Volatility and Export Growth in India: An Empirical Investigation. Munich Personal RePEc Archive MPRA Paper No. 43828, 1-25

Wang, K.L. and C. Barrett. (2007). Estimating the Effects of Exchange Rate Volatility on Export Volumes. Journal of Agricultural and Resource Economics Vol. 32 (2), 225-255

Wei, S.J. (1998). Currency Hedging and Goods Trade. European Economic Review Vol 43(7), 1371-1394.

Zhang, D. and H.W., Kinnucan. (2014). Exchange Rate Volatility and US Import Demand for Salmon. Marine Resources economics Vol. 29 (4), 411-430.

Published
2015-07-31
How to Cite
Ardiyanti, S. T. (2015). THE IMPACT OF REAL EXCHANGE RATE VOLATILITY ON INDONESIA-US TRADE PERFORMANCE. Buletin Ilmiah Litbang Perdagangan, 9(1), 79-93. https://doi.org/10.30908/bilp.v9i1.17
Section
Articles