ANALYSIS OF GLOBAL ECONOMIC POLICY UNCERTAINTY, TRADE FACTORS, AND PORTFOLIO INVESTMENT FACTORS ON THE RUPIAH EXCHANGE RATE
Keywords:
Global Economic Policy Uncertainty, Exchange Rate, Inflation, Export, Bond Yield, ARDL
Abstract
This study analyzes the determinants of the Rupiah/US Dollar exchange rate in Indonesia during 2016–2025 using the Autoregressive Distributed Lag (ARDL) approach. The results show that Global Economic Policy Uncertainty (GEPU) and the Chinese Yuan exchange rate have a positive and significant effect on the Rupiah exchange rate in both the short and long run. Indonesia's inflation has a significant negative effect in the long run but no significant effect in the short run. Exports to China have a negative and significant effect in the short run but a positive and significant effect in the long run, whereas exports to the United States have no significant effect. Indonesia's government bond yield has a positive and significant effect only in the short run, while the US Treasury 10-year bond yield has a negative and significant effect in the short run but a positive and significant effect in the long run. The findings indicate that external factors, particularly global economic uncertainty, the Chinese Yuan exchange rate, and the US Treasury 10-year bond yield, play a more important role in influencing the Rupiah exchange rate than domestic factors.
References
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Salvatore, D. (2020). International Economics (Thirteenth Edition). John Wiley & Sons, Inc.
Setefanny, Abisa, J., & Munir, M. (2024). Faktor-Faktor Yang Memengaruhi Nilai Tukar Rupiah Terhadap Dolar Amerika Serikat. WELFARE Jurnal Ilmu Ekonomi, 5(1), 14–19. http://jurnal.unsil.ac.id/index.php/welfare
Tampubolon, M. (2023). Dynamic Linkages Among Government Bonds Yield (SBN-Domestic), Market Index (IHSG), US Treasury Bond Yield, SP500 and Exchange Rate (IDR/USD): Effect of Pandemic-COVID19 by VECM Approach. International Journal of Social Sciences and Management Review, 06(01), 147–173. https://doi.org/10.37602/ijssmr.2022.6110
Wang, H. (2023). The Relationship Between Exchange Rates and Interest Rates: Evidence from the U.S. and Europe. Business, Economics and Management, 19.
Zou, D. (2025). Bond Demand and the Yield-Exchange Rate Nexus: Risk Premium vs. Convenience Yield. https://fbe.unimelb.edu.au/__data/assets/pdf_file/0003/5462940/paper_128.pdf?.com
Abid, A. (2019). Economic policy uncertainty and exchange rates in emerging markets: Short and long runs evidence. Finance Research Letters, 37. https://doi.org/10.1016/j.frl.2019.101378
Andrian, T., Ciptawaty, U., & Agustina, Y. (2023). Error Correction Model on Determinants of LQ-45 Index. Proceedings of the 3rd Universitas Lampung International Conference on Social Sciences (ULICoSS 2022), 1038–1049. https://doi.org/10.2991/978-2-38476-046-6_100
Astuty, P. (2022). Determinants Of The Volatility Of The Rupiah Exchange Rate Againts The Dollars America In TheMiddle Of The Covid-19. 9.
Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring Economic Policy Uncertainty. www.policyuncertainty.com
Bank Indonesia. (2025). Laporan Perekonomian Indonesia 2025. https://www.bi.go.id/id/LPI/default.aspx
Bown, C. P. (2021). The US–China Trade War and Phase One Agreement. Journal of Policy Modeling, 43(4), 805–843. https://doi.org/10.1016/j.jpolmod.2021.02.009
Caballero, J., & Upper, C. (2023). What Happens to Emerging Market Economies When US Yields Go Up? Monetary and Economic Department. www.bis.org
Carissa, N., & Khoirudin, R. (2020). The Factors Affecting the Rupiah Exchange Rate in Indonesia. Jurnal Ekonomi Pembangunan, 18(1), 37–46. https://doi.org/10.29259/jep.v18i1.9826
Chang, B. H., Derindag, O. F., Hacievliyagil, N., & Canakci, M. (2022). Exchange Rate Response to Economic Policy Uncertainty: Evidence Beyond Asymmetry. Humanities and Social Sciences Communications, 9(1). https://doi.org/10.1057/s41599-022-01372-5
Chiappini, R., & Lahet, D. (2019). Exchange rate movements in emerging economies - Global vs regional factors in Asia. China Economic Review, 60. https://doi.org/10.1016/j.chieco.2019.101386
Das, S. (2019). China’s Evolving Exchange Rate Regime (WP/19/50).
Davis, S. J. (2016). An Index Of Global Economic Policy Uncertainty. NBER Working Paper Series. http://www.nber.org/papers/w22740
Dewi, N. (2020). Pengaruh Ekspor, Impor, Inflasi, dan Pertumbuhan Ekonomi Terhadap Nilai Tukar di Indonesia. Jurnal Ekonomi Daerah, 8(2). https://jurnal.untan.ac.id/index.php/JEDA2/article/view/45214?.com
Fajarini, D., Nirmala, T., & Purwaningsih, V. T. (2023). Kebijakan Moneter Dan Investasi Portfolio Asing. Jurnal Ekonomi Dan Bisnis Nias Selatan, 6(2). https://mail.jurnal.uniraya.ac.id/index.php/JEB/article/view/707
Fordatkosu, S., Kumaat, R. J., & Mandeij, D. (2021). Analisis Pengaruh Ekspor Impor dan Jumlah Uang Beredar (M2) di IndonesiaTerhadap Nilai Tukar Rupiah/US$ Dollar (2000-2019). Jurnal Berkala Ilmiah Efisiensi, 21(6).
Guk, I. O. R. G., Widayatsari, A., & Rizwan, M. (2025). Pengaruh Ekspor, Inflasi dan Tingkat Suku Bunga Terhadap Nilai Tukar Rupiah atas Dolar Amerika Serikat Periode 2013-2023. Journal of Innovative and Creativity, 5(2), 11989–11998. https://doi.org/https://doi.org/10.31004/joecy.v5i2.1802
Hakim, Y. R., & Aji, T. S. (2025). Factors Affecting the Exchange Rate of the Indonesian Rupiah Against the United States Dollar: January 2013 - December 2023. Formosa Journal of Multidisciplinary Research, 4(5), 2043–2062. https://doi.org/10.55927/fjmr.v4i5.175
Hördahl, P., & Valente, G. (2022). Emerging Market Bond Flows and Exchange Rate Returns. www.bis.org
International Monetary Funds. (2026). Currency Composition of Official Foreign Exchange Reserves (COFER). https://data.imf.org/en/datasets/IMF.STA:COFER
Jiang, Z., Krishnamurthy, A., & Lustig, H. (2021). Foreign Safe Asset Demand and the Dollar Exchange Rate. The Journal of Finance, 76(3), 1049–1089. https://doi.org/10.1111/jofi.13003
Madura, J. (2021). International Financial Management 14th Edition. www.cengage.com/highered
Markowitz, H. (1952). Portofolio Selection. In The Journal of Finance (Vol. 7, Number 1).
Mishkin, F. S. (2019). The Economics of Money, Banking, and Financial Markets (12th Edition). Pearson Education.
Munandar, A. (2025). Economic Policy Uncertainty and ASEAN-6 Exchange Rates: A Long-Run Panel ARDL Analysis. Jurnal Ilmu Keuangan Dan Perbankan (JIKA), 14(2). https://doi.org/10.34010/jika.v14i2.16229
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
Prananta, B., & Alexiou, C. (2024). Exchange rates, bond yields and the stock market: nonlinear evidence of Indonesia during the COVID-19 period. Asian Journal of Economics and Banking, 8(1), 83–99. https://doi.org/10.1108/ajeb-12-2022-0157
Ramana, F., & Nasrudin. (2018). Dampak Evaluasi Yuan Terhadap Perekonomian Indonesia Pendekatan Model Persamaan Simultan. Buletin Ilmiah Litbang Perdagangan, 12(1). https://doi.org/10.30908/bilp.v12i1.234
Safruddin, A. (2020). Analisis Faktor-Faktor Domestik Dan Global Yang Mempengaruhi Nilai Tukar Rupiah Terhadap Dolar Amerika Serikat, Sebelum Dan Setelah Perang Dagang Amerika Serikat-Tiongkok.
Salvatore, D. (2020). International Economics (Thirteenth Edition). John Wiley & Sons, Inc.
Setefanny, Abisa, J., & Munir, M. (2024). Faktor-Faktor Yang Memengaruhi Nilai Tukar Rupiah Terhadap Dolar Amerika Serikat. WELFARE Jurnal Ilmu Ekonomi, 5(1), 14–19. http://jurnal.unsil.ac.id/index.php/welfare
Tampubolon, M. (2023). Dynamic Linkages Among Government Bonds Yield (SBN-Domestic), Market Index (IHSG), US Treasury Bond Yield, SP500 and Exchange Rate (IDR/USD): Effect of Pandemic-COVID19 by VECM Approach. International Journal of Social Sciences and Management Review, 06(01), 147–173. https://doi.org/10.37602/ijssmr.2022.6110
Wang, H. (2023). The Relationship Between Exchange Rates and Interest Rates: Evidence from the U.S. and Europe. Business, Economics and Management, 19.
Zou, D. (2025). Bond Demand and the Yield-Exchange Rate Nexus: Risk Premium vs. Convenience Yield. https://fbe.unimelb.edu.au/__data/assets/pdf_file/0003/5462940/paper_128.pdf?.com
Published
2026-07-30
How to Cite
Merlyana, A., Thomas Andrian, & Dian Fajarini. (2026). ANALYSIS OF GLOBAL ECONOMIC POLICY UNCERTAINTY, TRADE FACTORS, AND PORTFOLIO INVESTMENT FACTORS ON THE RUPIAH EXCHANGE RATE. Journal Informatic, Education and Management (JIEM), 8(2), 1074-1086. https://doi.org/10.61992/jiem.v8i2.462
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