Pengaruh Nilai Tukar dan Suku Bunga Riil Amerika Serikat terhadap Utang Luar Negeri Indonesia Periode 2000–2024: Pendekatan Error Correction Model

Geby Natalia Butarbutar; Anisa Nur Shafana; Ibtisaam Ashiil Zidane Nasution; Rut Natal Ria Tarihoran; Sri Zalfa Avrilya; Vivian Ester Panggabean

doi:10.69693/ijmst.v4i3.14196

Authors

Geby Natalia Butarbutar Universitas Negeri Medan
Anisa Nur Shafana Universitas Negeri Medan
Ibtisaam Ashiil Zidane Nasution Universitas Negeri Medan
Rut Natal Ria Tarihoran Universitas Negeri Medan
Sri Zalfa Avrilya Universitas Negeri Medan
Vivian Ester Panggabean Universitas Negeri Medan

DOI:

https://doi.org/10.69693/ijmst.v4i3.14196

Keywords:

Nilai Tukar, Suku Bunga Riil AS, Utang Luar Negeri, Error Correction Model, Kointegrasi

Abstract

Utang luar negeri (ULN) Indonesia yang berdenominasi valuta asing membuat perekonomian rentan terhadap pelemahan rupiah dan perubahan kondisi keuangan Amerika Serikat (AS). Penelitian ini bertujuan menganalisis pengaruh nilai tukar dan suku bunga riil AS terhadap ULN Indonesia dalam jangka panjang dan jangka pendek. Metode yang digunakan adalah kuantitatif dengan data tahunan 2000–2024 dari World Bank dan Federal Reserve Economic Data (FRED). Analisis memakai Error Correction Model (ECM) Engle–Granger, diawali uji akar unit ADF yang menyamakan orde integrasi seluruh variabel pada second difference, uji kointegrasi, serta uji asumsi klasik. Hasil penelitian menunjukkan bahwa nilai tukar berpengaruh positif dan signifikan terhadap ULN, sedangkan suku bunga riil AS berpengaruh negatif dan signifikan, baik dalam jangka panjang maupun jangka pendek. Uji Engle–Granger mengindikasikan adanya kointegrasi pada taraf 5 persen, dan koefisien error correction term yang negatif serta signifikan menandakan penyesuaian menuju keseimbangan jangka panjang. Dapat disimpulkan bahwa nilai tukar dan suku bunga riil AS merupakan faktor eksternal penting dalam pergerakan ULN Indonesia. Kebaruan penelitian ini terletak pada penggunaan suku bunga riil AS yang memperhitungkan ekspektasi inflasi sebagai variabel eksternal, sedangkan studi terdahulu umumnya memakai suku bunga nominal atau domestik. Pengelolaan ULN perlu disertai upaya menjaga stabilitas nilai tukar dan mengantisipasi arah kebijakan moneter AS.

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