• Septika Tri Ardiyanti Kementerian Perdagangan
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Keywords: Volatilitas Nilai Tukar, Exchange Rate Volatility, ARCH model, MASD Methods, ARDL


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


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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.