Rupiah Exchange Rate Resilience: The Role of Domestic Determinants and Global Monetary Shocks
-
Reznandya Adhistara Ayu Wijayanti
*
Universitas Negeri Semarang, Semarang,
Indonesia
- Andryan Setyadharma Universitas Negeri Semarang, Semarang, Indonesia (*) Corresponding Author
Abstract
Financial openness puts the rupiah exchange rate under repeated pressure due to global monetary shocks, while policy evaluations have so far relied on stability indicators that are static and do not explain the currency's recovery capacity. This study aims to analyze the influence of the BI Rate, inflation, Composite Stock Price Index, US Treasury Yield, and CBOE Volatility Index on the rupiah exchange rate in the short and long term, as well as measure exchange rate resilience through the adjustment speed coefficient. The approach used is explanatory quantitative with secondary data for the period January 2013-December 2024 as many as 144 observations, taken through documentation techniques from Bank Indonesia, the Central Statistics Agency, the Indonesia Stock Exchange, and the Federal Reserve Economic Data, and analyzed using Autoregressive Distributed Lag accompanied by dummy Taper Tantrum and COVID-19. The bounds test confirmed cointegration with F-statistic 11.333. In the long term, inflation and US Treasury Yield drive depreciation significantly, global market volatility has a significant effect, while the BI Rate and JCI are insignificant; In the short term, JCI actually triggered appreciation. The Term Error Correction coefficient of -0.368 indicates 36.8% of the imbalance is corrected every month. These findings operationalize resilience as the pace of adjustment and provide an empirical basis for calibrating the duration and intensity of stabilization policies.
Downloads
References
Bernanke, B. S. (2020). The new tools of monetary policy†. American Economic Review, 110(4), 943–983. https://doi.org/10.1257/aer.110.4.943
Caldera-Sánchez, A., Serres, A. de, Gori, F., Hermansen, M., & Röhn, O. (2017). Strengthening Economic Resilience: Insights from the Post-1970 Record of Severe Recessions and Financial Crises. OECD Economic Policy Papers. https://doi.org/10.1787/6b748a4b-en
David, Hendartono, A. K., & Sitanggang, O. M. (2026). Macroeconomic Determinants of Fiscal Risk In Indonesia: Evidence From An Ardl Approach. Jurnal Perbendaharaan, Keuangan Negara Dan Kebijakan Publik, 11(1), 44–54. https://doi.org/10.33105/itrev.v11i1.1337
Gaol, T. R. L. (2023). Pengaruh Risiko Luar Negeri Terhadap Pasar Saham di Indonesia Menggunakan Metode ARDL. Jurnal Akuntansi Keuangan Dan Bisnis, 16(1), 90–99. https://doi.org/10.35143/jakb.v16i1.5793
Geng, X., & Guo, K. (2021). The spillover effect of VIX and oil price on the exchange rate volatility among Belt and Road countries. Procedia Computer Science, 199, 765–772. https://doi.org/10.1016/j.procs.2022.01.095
Greene, W. H. (2018). Econometric Analysis (8th ed.). Prentice Hall. https://www.pearson.com/en-us/subject-catalog/p/econometric-analysis/P200000005909/9780134811932
Hamilton, J. D. (2020). Time Series Analysis. Princeton University Press. https://doi.org/10.1515/9780691218632
Hull, J. C. (2023). Risk Management and Financial Institutions (6th ed.). John Wiley & Sons. https://uat.store.wiley.com/en-us/shop/general-finance-investments/risk-management-and-financial-institutions-6th-edition-p-9781119932499
Ibrahim, M. H., & Sukmana, R. (2023). Monetary Policy and Exchange Rate in a Large Emerging Economy. Global Business Review. https://doi.org/10.1177/09721509231198659
International Monetary Fund. (2025). Emerging Market Resilience: Good Luck or Good Policies? World Economic Outlook, October 2025, October, 51–74. https://www.imf.org/media/files/publications/weo/2025/october/english/ch2.pdf
Krugman, P. R., Obstfeld, M., & Melitz, M. J. (2022). International Economics: Theory & Policy. 12th ed. Pearson. In Journal of Marketing (Vol. 33, Issue 3). Pearson. https://www.pearson.com/en-us/subject-catalog/p/international-economics-theory-and-policy/P200000005956/9780137465699
Kurniawan, M. L. A., Trianto, C., & Suripto, S. (2024). Analysis of oil price, trade openness and business cycle on ex-change rate in Indonesia. Jurnal Ekonomi & Studi Pembangunan, 25(2), 307–321. https://doi.org/10.18196/jesp.v25i2.24620
Lee, J. (2024). Dollar and government bond liquidity: Evidence from Korea. Journal of International Economics, 152(August), 103992. https://doi.org/10.1016/j.jinteco.2024.103992
Maghfiroh, U., & Jayadi, A. (2024). The Effect of Money Supply on Exchange Rate in ASEAN-5: Empirical Test of Dornbusch Overshooting Model. Jurnal Ilmu Ekonomi Terapan, 9(1), 11–25. https://doi.org/10.20473/jiet.v9i1.51854
Marisetty, N. (2024). Assessing currency market equilibrium: Cointegration and correlation analysis of USD/INR and major global currencies. International Journal of Research in Finance and Management, 7(2), 396–406. https://doi.org/10.33545/26175754.2024.v7.i2d.390
Mishkin, F. S. (2022). The economics of money, banking, and financial markets (13th ed.). In Pearson. https://www.pearson.com/en-gb/subject-catalog/p/economics-of-money-banking-and-financial-markets-the-global-edition/P200000005052/9781292409580
Muliarta, I. G. N. B. B. P., & Widanta, A. A. B. P. (2023). Analisis Dampak Dikeluarkannya Kebijakan Quantitative Easing the Fed Terhadap Kurs Rupiah/Usd. Buletin Studi Ekonomi, 28(02), 177. https://doi.org/10.24843/bse.2023.v28.i02.p06
Obstfeld, M., Ostry, J. D., & Qureshi, M. S. (2019). A tie that binds: Revisiting the trilemma in emerging market economies. Review of Economics and Statistics, 101(2), 279–293. https://doi.org/10.1162/rest_a_00740
Padha, V., & Chaubal, A. (2024). Impact of global liquidity on Indian financial markets and monetary policy outcomes: An ARDL approach. Journal of Asian Economics, 90(November 2023), 101674. https://doi.org/10.1016/j.asieco.2023.101674
Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/jae.616
Pratiwik, E., & Prajanti, S. D. W. (2023). Rupiah exchange rate: the determinants and impact of shocks on the economy. Jurnal Ekonomi & Studi Pembangunan, 24(1), 100–126. https://doi.org/10.18196/jesp.v24i1.18016
Rose, A. (2017). Defining and Measuring Economic Resilience from a Societal, Environmental and Security Perspective. Springer. https://doi.org/10.1007/978-981-10-1533-5
Saputra, F. E., Ratnasari, E. D., & Islami, F. S. (2025). The Effect of Global Stock Index, Fed Rate, and Macroeconomic Variables on CSPI 2006m1-2024m12. Jurnal Ekonomi Pembangunan, 23(01), 58–75. https://doi.org/10.22219/jep.v23i01.41154
Sebayang, J., Albar Tanjung, A., & Sukardi, S. (2022). Monetary Policy and Innovation During Recession in Indonesia. Jurnal Ekonomi Pembangunan, 20(01), 21–33. https://doi.org/10.22219/jep.v20i01.18896
Sekaran, U., & Bougie, R. (2020). Research methods for business: A skill-building approach (8th ed.). John Wiley & Sons. https://bookshelf.vitalsource.com/reader/books/9781119561248
Syamad, & Rossanto Dwi Handoyo. (2023). The Effects of Money Supply on Exchange Rate: Evidence of Dornbusch Overshooting Model in Indonesia (2000-2021). Jurnal Ilmu Ekonomi Terapan, 8(1), 144–156. https://doi.org/10.20473/jiet.v8i1.45177
Syamni, G., Sawitri, S., Ansari, R., Rasyimah, R., & Husaini, H. (2022). Exchange Rate, Stock Return, and Bond Return in Indonesia: An ARDL Approach. Jurnal Keuangan Dan Perbankan, 26(4), 874–891. https://doi.org/10.26905/jkdp.v26i4.8398
Utami, D. T., & Islami, F. S. (2021). Pengaruh Variabel-Variabel Makro Terhadap Nilai Tukar Rupiah. Jurnal Dialektika, 6(2), 60–72. https://doi.org/10.36636/dialektika.v6i2.831
Wang, A. T., & Liang, C. C. (2024). Exchange rates, credit default swaps and market volatility of emerging markets: Panel CS-ARDL approach. Borsa Istanbul Review, 24(1), 176–186. https://doi.org/10.1016/j.bir.2023.12.001
Wooldridge, J. M. (2020). Introductory econometrics: A modern approach (7th ed.). Cengage Learning. https://www.vitalsource.com/products/introductory-econometrics-a-modern-approach-jeffrey-m-wooldridge-v9798214346847
Bila bermanfaat silahkan share artikel ini
Berikan Komentar Anda terhadap artikel Rupiah Exchange Rate Resilience: The Role of Domestic Determinants and Global Monetary Shocks
Pages: 156-167
Copyright (c) 2026 Reznandya Adhistara Ayu Wijayanti, Andryan Setyadharma
This work is licensed under a Creative Commons Attribution 4.0 International License.
Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under Creative Commons Attribution 4.0 International License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (Refer to The Effect of Open Access).
