Pemodelan Persamaan Simultan Data Panel Pengaruh Country Risk terhadap Penanaman Modal Asing (PMA) di Negara ASEAN

Ananda, Rafifah Utami (2025) Pemodelan Persamaan Simultan Data Panel Pengaruh Country Risk terhadap Penanaman Modal Asing (PMA) di Negara ASEAN. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Penanaman Modal Asing (PMA) merupakan bentuk khusus dari arus modal lintas batas dari negara asal ke negara tujuan investasi. Risiko kondisi negara menjadi pertimbangan penting dalam investasi langsung asing. Kerentanan suatu negara terhadap keuangan internasional telah menjadi perhatian investor terkait kemungkinan ketidakmampuan memenuhi kewajiban keuangannya. Beberapa hasil penelitian sebelumnya menunjukkan bahwa terdapat pengaruh country risk terhadap PMA dan begitupun sebaliknya. Maka dari itu penulis akan melakukan analisis persamaan simultan data panel PMA terhadap faktor-faktor country risk dengan menggunakan metode 2SLS (Two Stage Least Square) selama 20 tahun dari 2004 hingga 2023 dari 10 negara anggota ASEAN. Berdasarkan hasil analisis diperoleh bahwa terdapat 2 variabel endogen, yakni PMA dan utang luar negeri. Berdasarkan persamaan simultan keduanya menggunakan fixed effect cross-section dengan pembobotan Generalized Least Square SUR (Seemingly Unrelated Regression) didapatkan bahwa variabel volatilitas nilai tukar, GDP per kapita, dan neraca transaksi berjalan merupakan variabel eksogen yang berpengaruh signifikan dengan koefisien masing-masing variabel pada persamaan PMA sebesar -0,089; 0,0008; 0,00015, dan -0,06226 dan pada persamaan utang luar negeri sebesar 7,4106; 0,00712; 0,00097; dan -0,55245 secara berturut-turut. Kebaikan model pada persamaan variabel endogen PMA didapatkan sebesar 82,02% dan pada persamaan utang luar negeri sebesar 94,19%
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Foreign Direct Investment (FDI) is a specific form of cross-border capital flow from a home country to a host country. The risk conditions of a country are an important consideration in foreign direct investment decisions. A country’s vulnerability to international financial markets has drawn investor concern over its potential inability to meet financial obligations. Previous research has shown that country risk affects FDI, and vice versa. Therefore, this study conducts a simultaneous equation panel data analysis of FDI and country risk factors using the 2SLS (Two-Stage Least Squares) method over a 20-year period from 2004 to 2023 across 10 ASEAN member countries. The results show that there are two endogenous variables, namely FDI and foreign debt. Based on the simultaneous equations using cross-section fixed effects with Generalized Least Square SUR (Seemingly Unrelated Regression) weighting, it was found that exchange rate volatility, GDP per capita, and current account balance are significant exogenous variables with each coifficient of -0.089; 0.0008; 0.00015, and -0.06226 in the FDI equation and -7.4106; 0.00712; 0.00097; and -0.55245 in the foreign debt equation respectively. The model’s goodness of fit for the FDI equation is 82.02%, and for the foreign debt equation is 94.19%.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	2SLS, PMA, Persamaan Simultan, Risiko Negara, Country Risk, FDI, Simultaneous Equations
Subjects:	H Social Sciences > HB Economic Theory > Economic forecasting--Mathematical models. H Social Sciences > HC Economic History and Conditions > HC441 Macroeconomics. H Social Sciences > HG Finance > HG4012 Mathematical models
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Rafifah Utami Ananda
Date Deposited:	24 Jul 2025 08:15
Last Modified:	24 Jul 2025 08:15
URI:	http://repository.its.ac.id/id/eprint/121281

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