Analisis Pengaruh Variabel Makroekonomi Terhadap Real Effective Exchange Rate (REER) di ASEAN-5 Menggunakan Pemodelan Autoregressive Distributed Lag (ARDL)

Bahari, Fairuz Afghan (2026) Analisis Pengaruh Variabel Makroekonomi Terhadap Real Effective Exchange Rate (REER) di ASEAN-5 Menggunakan Pemodelan Autoregressive Distributed Lag (ARDL). Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Perdagangan internasional berperan penting dalam mendorong pertumbuhan ekonomi dan meningkatkan daya saing suatu negara. Salah satu indikator yang digunakan untuk mengukur daya saing eksternal adalah Real Effective Exchange Rate (REER), yang mempertimbangkan nilai tukar terhadap mata uang mitra dagang utama serta perbedaan tingkat inflasi relatif. Penelitian ini bertujuan menganalisis pengaruh Inflasi Year on Year, Inflasi Month to Month, Suku Bunga, Jumlah Uang yang Beredar Secara Luas (M2), Cadangan Devisa, dan Terms of Trade (ToT) terhadap REER di negara ASEAN-5, yaitu Indonesia, Malaysia, Singapura, Thailand, dan Filipina, serta mengidentifikasi perbedaan pengaruhnya dalam jangka pendek (short-run) dan jangka panjang (long-run) menggunakan metode Autoregressive Distributed Lag (ARDL) dengan data bulanan periode Januari 2015–Desember 2024. Hasil analisis menunjukkan bahwa seluruh negara memenuhi persyaratan stasioneritas ARDL dengan integrasi campuran I(0) dan I(1) tanpa adanya variabel yang terintegrasi pada orde I(2), kecuali Filipina. Menggunakan lag optimum yang sudah ditetapkan, yaitu 6, maka didapatkan hasil estimasi persamaan model ARDL terbaik yang diperoleh untuk masing-masing negara berbeda-beda. Model ARDL untuk Indonesia adalah ARDL(1,0,0,6,6,6,4), Malaysia adalah ARDL(5,1,0,0,1,6,6), Singapura adalah ARDL(3,0,1,3,1,1,6), dan Thailand adalah ARDL(3,0,0,1,4,5,0). Dilanjutkan dengan uji kointegrasi Bound Test untuk pengecekan ada atau tidaknya efek jangka panjang. Hasil pengujian menunjukkan bahwa Indonesia, Singapura, dan Thailand memiliki efek jangka panjang, sedangkan Malaysia tidak memiliki hubungan jangka panjang. Nilai ECT pada seluruh negara bernilai negatif dan signifikan sehingga analisis efek jangka pendek dan jangka panjang dapat dilakukan. Hasil uji diagnostik menunjukkan bahwa model secara umum telah memenuhi asumsi normalitas, heteroskedastisitas, dan autokorelasi, namun Malaysia masih mengalami heteroskedastisitas sehingga dilakukan penanganan menggunakan Robust Standard Error (RSE).
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International trade plays an important role in promoting economic growth and enhancing a country's competitiveness. One indicator used to measure external competitiveness is the Real Effective Exchange Rate (REER), which considers the exchange rate against the currencies of major trading partners as well as differences in relative inflation rates. This study aims to analyze the effects of Year-on-Year Inflation, Month-to-Month Inflation, Interest Rate, Broad Money (M2), Foreign Exchange Reserves, and Terms of Trade (ToT) on the REER in the ASEAN-5 countries, namely Indonesia, Malaysia, Singapore, Thailand, and the Philippines, as well as to identify the differences in their short-run and long-run effects using the Autoregressive Distributed Lag (ARDL) method with monthly data from January 2015 to December 2024. The results indicate that all countries satisfied the stationarity requirements for the ARDL model with mixed integration orders of I(0) and I(1) without any variables integrated of order I(2), except for the Philippines. Using the predetermined optimum lag of 6, the estimated ARDL models differed across countries. The best model for Indonesia was ARDL(1,0,0,6,6,6,4), for Malaysia was ARDL(5,1,0,0,1,6,6), for Singapore was ARDL(3,0,1,3,1,1,6), and for Thailand was ARDL(3,0,0,1,4,5,0). This was followed by the Bounds Test for cointegration to determine the presence or absence of a long-run relationship. The results showed that Indonesia, Singapore, and Thailand exhibited long-run effects, whereas Malaysia did not have a long-run relationship. The Error Correction Term (ECT) was negative and statistically significant for all countries, indicating that both short-run and long-run effect analyses could be conducted. The diagnostic test results showed that the models generally satisfied the assumptions of normality, homoscedasticity, and no autocorrelation. However, Malaysia still exhibited heteroscedasticity; therefore, Robust Standard Errors (RSE) were employed to address this issue.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Perdagangan Internasional, REER, ASEAN-5, ARDL, International Trade, REER, ASEAN-5, ARDL
Subjects:	Q Science > QA Mathematics > QA141 Numeracy--Problems, exercises, etc. Q Science > QA Mathematics > QA278.2 Regression Analysis. Logistic regression
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Statistics > 49201-(S1) Undergraduate Thesis
Depositing User:	Fairuz Afghan Bahari
Date Deposited:	28 Jul 2026 03:44
Last Modified:	28 Jul 2026 03:44
URI:	http://repository.its.ac.id/id/eprint/138372

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