ANALISIS HUBUNGAN KAUSALITAS CADANGAN DEVISA, KURS, DAN BI RATE DI INDONESIA: PENDEKATAN GRANGER CAUSALITY TEST

Gresia Septina Sitohang; Joko Suharianto

doi:10.63545/economist.v3i2.226

Authors

Gresia Septina Sitohang Universitas Negeri Medan Author
Joko Suharianto Universitas Negeri Medan Author

DOI:

https://doi.org/10.63545/economist.v3i2.226

Keywords:

Cadangan devisa, kurs, bi rate, kausalitas granger

Abstract

Penelitian ini menganalisis hubungan kausalitas antara Cadangan Devisa, Kurs, dan BI Rate di Indonesia. Menggunakan data bulanan Januari 2009–Desember 2024 dari CEIC, Kementerian Perdagangan, dan Bank Indonesia, metode yang digunakan adalah Uji Kausalitas Granger setelah uji stasioneritas ADF dan pemilihan lag optimal AIC. Hasil menunjukkan tiga temuan utama. Pertama, terdapat kausalitas satu arah dari Kurs ke Cadangan Devisa (prob. 0,0254), artinya pergerakan nilai tukar memengaruhi cadangan devisa. Kedua, terdapat kausalitas satu arah dari BI Rate ke Cadangan Devisa (prob. 0,0342), menunjukkan kebijakan suku bunga berdampak pada cadangan devisa melalui aliran modal. Ketiga, ditemukan kausalitas dua arah antara Kurs dan BI Rate (prob. 0,0102 dan 0,0333), mencerminkan interaksi timbal balik antara stabilitas nilai tukar dan kebijakan moneter. Kesimpulannya, Kurs dan BI Rate saling memengaruhi secara erat, sementara Cadangan Devisa lebih berperan sebagai variabel yang merespons dinamika kedua variabel tersebut.

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