Electronic Theses and Dissertation

ABSTRAK
Judul : Risiko Negara dan Investasi Portofolio di ASEAN: Pendekatan Model PMG-ARDL
Penulis : Natasya Supma
NIM : 2201101010071
Fakultas/Jurusan : Fakultas Ekonomi dan Bisnis/ Ekonomi Pembangunan
Pembimbing : 1. Prof. Dr. Taufiq C. Dawood, S.E., M.Ec.Dev
2. Dr. Chenny Seftarita, S.E., M.Si
Konsentrasi : Ekonomi Moneter

Penelitian ini menganalisis pengaruh risiko negara, nilai tukar riil efektif, pertumbuhan ekonomi, dan suku bunga riil terhadap investasi portofolio di kawasan ASEAN-5 yang meliputi Indonesia, Malaysia, Thailand, Singapura, dan Filipina. Penelitian menggunakan data panel tahunan periode 2000–2023 dengan total 120 observasi dan diestimasi menggunakan model PMG-ARDL. Hasil estimasi jangka panjang menunjukkan bahwa risiko negara berpengaruh positif dan signifikan terhadap investasi portofolio, yang mengindikasikan bahwa kondisi politik dan keamanan yang lebih stabil mampu meningkatkan kepercayaan investor asing. Nilai tukar riil efektif berpengaruh negatif dan signifikan, sehingga apresiasi mata uang yang berkelanjutan cenderung menurunkan minat investasi portofolio. Pertumbuhan ekonomi berpengaruh positif dan signifikan dalam jangka panjang, sedangkan suku bunga riil berpengaruh negatif dan signifikan yang menunjukkan bahwa pengetatan kebijakan moneter dapat menekan arus investasi portofolio. Dalam jangka pendek, risiko negara dan nilai tukar riil efektif tidak berpengaruh signifikan, sementara pertumbuhan ekonomi berpengaruh negatif signifikan. Suku bunga riil menunjukkan pengaruh pada beberapa periode lag. Oleh karena itu disarankan untuk memperkuat stabilitas politik, pengelolaan nilai tukar, dan konsistensi kebijakan moneter dalam menjaga daya tarik investasi portofolio di kawasan ASEAN-5.

Kata kunci: investasi portofolio, nilai tukar, pertumbuhan ekonomi, risiko negara, suku bunga.

ABSTRACT Title : Country Risk and Portfolio Investment in ASEAN: A PMG-ARDL Model Approach Author : Natasya Supma NIM : 2201101010071 Faculty/Department : Economic and Business/Development Economics Supervisor : 1. Prof. Dr. Taufiq C. Dawood, S.E., M.Ec.Dev 2. Dr. Chenny Seftarita, S.E., M.Si Concentration : Monetary Economics This study analyzes the effects of country risk, real effective exchange rate, economic growth, and real interest rate on portfolio investment in the ASEAN-5 countries, namely Indonesia, Malaysia, Thailand, Singapore, and the Philippines. The study employs annual panel data for the period 2000–2023 with a total of 120 observations and applies the Pooled Mean Group–Autoregressive Distributed Lag (PMG-ARDL) model. The long-run estimation results indicate that country risk has a positive and significant effect on portfolio investment, suggesting that stable political and security conditions increase foreign investors’ confidence. The real effective exchange rate has a negative and significant effect, indicating that sustained currency appreciation tends to reduce portfolio investment inflows. Economic growth positively and significantly affects portfolio investment in the long run, reflecting improved economic prospects, while the real interest rate has a negative and significant effect, implying that tighter monetary policy can suppress portfolio investment. In the short run, country risk and the real effective exchange rate do not significantly affect portfolio investment, whereas economic growth has a negative and significant effect, indicating a temporary shift toward long-term investments. Meanwhile, the real interest rate shows significant effects at several lag periods. Therefore, it is recommended to strengthen political stability, exchange rate management, and the consistency of monetary policy to maintain the attractiveness of portfolio investment in the ASEAN-5 region. Keywords: portfolio investment, real effective exchange rate, economic growth, country risk, real interest rate.