Studi Empiris mengenai Interaksi Dinamis antara Pertumbuhan Ekonomi, Inflasi, Suku Bunga dan Nilai Tukar di Indonesia berdasarkan Bayesian VAR
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Abstract
Penelitian ini bertujuan menganalisis interaksi dinamis antarvariabel makroekonomi utama di Indonesia, yaitu pertumbuhan ekonomi, inflasi, suku bunga kebijakan, dan nilai tukar, dengan periode observasi 2010Q1–2024Q4. Pendekatan yang digunakan adalah Bayesian Vector Autoregression (BVAR), yang memungkinkan seluruh variabel diperlakukan sebagai endogen dalam satu sistem persamaan sehingga hubungan timbal balik (feedback mechanisms) dapat dianalisis secara simultan. Estimasi dilakukan dengan Minnesota prior untuk meningkatkan stabilitas pada sampel terbatas, serta memasukkan dummy COVID-19 sebagai variabel eksogen guna mengontrol guncangan struktural. Analisis dilakukan melalui Impulse Response Function (IRF) dan Forecast Error Variance Decomposition (FEVD). Hasil utama menunjukkan bahwa inflasi paling responsif terhadap kebijakan moneter dan nilai tukar, dengan kontribusi shock suku bunga ≈25% dan shock nilai tukar ≈8%. Suku bunga kebijakan bersifat reaktif terhadap inflasi (kontribusi shock inflasi ≈27%), sedangkan nilai tukar sangat persisten namun tetap berinteraksi dengan inflasi. Pertumbuhan ekonomi lebih dominan ditentukan oleh shock internal sektor riil (≈97%). Temuan ini menegaskan pentingnya saluran suku bunga dan nilai tukar dalam pembentukan inflasi, serta menunjukkan bahwa kebijakan moneter di Indonesia berperan reaktif terhadap dinamika harga, sementara pertumbuhan ekonomi lebih ditopang oleh faktor domestik riil.
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References
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