Analisis Hubungan Dinamis Antara Ekspor, Impor dan BI Rate di Indonesia: Pendekatan Vector Autoregression

Diaz Ayudis; Dina Aulia Sari; Heny Desiana Simangunsong; Lentiona Ropika Siallagan; Levela Margaret Tinambunan; Vande Mart Sidauruk

doi:10.69693/ijmst.v4i3.14290

Authors

Diaz Ayudis Universitas Negeri Medan
Dina Aulia Sari Universitas Negeri Medan
Heny Desiana Simangunsong Universitas Negeri Medan
Lentiona Ropika Siallagan Universitas Negeri Medan
Levela Margaret Tinambunan Universitas Negeri Medan
Vande Mart Sidauruk Universitas Negeri Medan

DOI:

https://doi.org/10.69693/ijmst.v4i3.14290

Keywords:

BI Rate, Ekspor, Impor, Vector Autoregression, Kausalitas Granger, Indonesia

Abstract

Penelitian ini bertujuan untuk menganalisis hubungan dinamis antara BI Rate, ekspor, dan impor di Indonesia selama periode Januari 2021 hingga Desember 2024. Penelitian menggunakan pendekatan kuantitatif dengan metode Vector Autoregression (VAR) dan data sekunder bulanan sebanyak 48 observasi yang bersumber dari Bank Indonesia dan Badan Pusat Statistik. Analisis dilakukan melalui uji stasioneritas, penentuan panjang lag, estimasi VAR, uji stabilitas model, uji kausalitas Granger, Impulse Response Function (IRF), dan Forecast Error Variance Decomposition (FEVD). Hasil penelitian menunjukkan bahwa seluruh variabel menjadi stasioner pada tingkat first difference dan model VAR memenuhi kondisi stabilitas serta tidak mengalami masalah autokorelasi. Uji kausalitas Granger menunjukkan bahwa BI Rate memiliki hubungan kausal satu arah terhadap ekspor dan impor, dengan nilai probabilitas masing-masing sebesar 0,0023 dan 0,0021. Sebaliknya, ekspor dan impor tidak terbukti memiliki hubungan kausalitas Granger terhadap BI Rate maupun satu sama lain. Hasil IRF menunjukkan bahwa guncangan pada BI Rate, ekspor, dan impor menimbulkan respons yang berlangsung selama beberapa periode dan cenderung mereda seiring waktu. Sementara itu, hasil FEVD menunjukkan bahwa variasi masing-masing variabel dipengaruhi oleh guncangan dari variabel itu sendiri maupun variabel lainnya. Dengan demikian, penelitian ini menunjukkan bahwa BI Rate memiliki kandungan informasi yang penting dalam menjelaskan dinamika ekspor dan impor Indonesia, khususnya pada periode pemulihan ekonomi pascapandemi.

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