Electronic Theses and Dissertation

ABSTRAK
Judul : Analisis Perubahan Variabel Moneter Dan
Perdagangan Terhadap Capital Inflow
Di Indonesia.
Nama


: M. Nailul Valky
NPM


: 2201101010097
Program Studi/Fakultas : Ekonomi Pembangunan / Ekonomi dan Bisnis
Pembimbing

: - Prof. Dr. Apridar, S.E., M.Si.




: - Sri Sukma Wahyuni S.E., M.Si.
Kontsentrasi

: Ekonomi Moneter

Penelitian ini bertujuan menganalisis pengaruh nilai tukar (KURS), suku bunga (BI
Rate), dan keterbukaan perdagangan terhadap arus masuk foreign direct investment
(FDI) di Indonesia periode 2005 kuartal I hingga 2025 kuartal IV, menggunakan
pendekatan autoregressive distributed lag (ARDL) dengan bounds test dan error
correction model (ECM). Hasil uji ADF menunjukkan seluruh variabel stasioner
pada tingkat first difference I(1), sementara uji kointegrasi bounds test
menghasilkan F-statistic sebesar 13,84 yang melampaui nilai kritis upper bound
pada taraf 1 persen, sehingga terbukti terdapat hubungan keseimbangan jangka
panjang. Model terpilih ARDL menunjukkan bahwa dalam jangka panjang nilai
tukar berpengaruh negatif dan signifikan terhadap FDI yang berarti depresiasi
Rupiah sebesar 1 persen menurunkan FDI sebesar 0,94 persen. Suku bunga
berpengaruh positif namun tidak signifikan secara statistik mengindikasikan bahwa
investor asing lebih berorientasi pada faktor fundamental ekonomi jangka panjang
dibandingkan fluktuasi suku bunga jangka pendek. Keterbukaan perdagangan
berpengaruh positif dan signifikan pada taraf 10 persen .Dalam jangka pendek, nilai
error correction term (ECT) sebesar -0,9051 dan sangat signifikan mengonfirmasi
mekanisme koreksi yang kuat, di mana sekitar 90,51 persen ketidakseimbangan
terkoreksi. Variabel dummy 2006 menunjukkan dampak negatif signifikan
(koefisien -0,68) yang mencerminkan guncangan struktural yang menekan arus FDI
pada tahun tersebut. Model telah memenuhi seluruh uji asumsi klasik (normalitas,
heteroskedastisitas, autokorelasi) serta lulus uji stabilitas CUSUM dan CUSUMSQ.
Penelitian ini merekomendasikan agar pemerintah dan Bank Indonesia
memprioritaskan nilai tukar Rupiah, mempertahankan dan memperluas kebijakan
keterbukaan perdagangan, serta lebih fokus memperbaiki faktor fundamental nonmoneter

seperti kepastian hukum dan efisiensi birokrasi mengingat suku bunga
terbukti bukan daya tarik utama bagi FDI guna menciptakan iklim investasi yang
kondusif bagi penanaman modal asing jangka panjang di Indonesia.
Kata Kunci: FDI, Nilai Tukar, Suku Bunga, Keterbukaan Perdagangan, ARDL,
Investasi Indonesia.

ABSTRACT Tittle : Analysis of Changes in Monetary and Trade Variables Affecting Capital Inflows in Indonesia. Name : M. Nailul Valky Student ID : 2201101010097 Study Program/Faculty : Economic Development / Economics & Business Supervisor : - Prof. Dr. Apridar, S.E., M.Si. : - Sri Sukma Wahyuni S.E., M.Si. Concentration : Monetary Economics This study analyzes the effects of the exchange rate (KURS), interest rate (BI Rate), and trade openness on Foreign Direct Investment (FDI) inflows in Indonesia over the period from the first quarter of 2005 to the fourth quarter of 2025, using an Autoregressive Distributed Lag (ARDL) approach with a Bounds Test and Error Correction Model (ECM). The ADF test confirms that all variables are stationary at first difference I(1), while the Bounds Test yields an F-statistic of 13.84, exceeding the upper-bound critical value at the 1 percent level and confirming a long-run equilibrium relationship. The selected ARDL (2, 0, 0, 1) model shows that, in the long run, the exchange rate has a negative and significant effect on FDI (coefficient -0.94; prob. 0.0267), meaning a 1 percent depreciation of the Rupiah reduces FDI by 0.94 percent. The interest rate shows a positive but statistically insignificant effect (prob. 0.6690), indicating that foreign investors weigh long-run economic fundamentals more heavily than short-term interest rate movements. Trade openness has a positive and significant effect at the 10 percent level (coefficient 0.47; prob. 0.0581). In the short run, the Error Correction Term (ECT) of -0.905 is highly significant, confirming a strong adjustment mechanism whereby approximately 90.51 percent of any disequilibrium is corrected within less than four quarters. The 2006 dummy variable shows a significant negative impact (coefficient -0.68), reflecting a structural shock that suppressed FDI inflows that year. The model satisfies all classical assumption tests (normality, heteroskedasticity, autocorrelation) and passes the CUSUM and CUSUMSQ stability tests. This study recommends that the government and Bank Indonesia prioritize Rupiah exchange rate stabilization, sustain and expand trade openness policies, and given that interest rates are not a primary driver of FDI focus more on improving non-monetary fundamentals such as legal certainty and bureaucratic efficiency to foster a conducive climate for long-term foreign direct investment in Indonesia. Keywords: FDI, Exchange Rates, Interest Rates, Trade Openness, ARDL, Investment in Indonesia.