Spillover Effects of Global Markets and the Influence of Fiscal Policy in Indonesia on Rupiah Depreciation (2016–2025)
Abstract
This study aims to analyze the impact of global market spillover effects and the influence of fiscal policy on the depreciation of the Indonesian Rupiah exchange rate during the 2016–2025 period. The variables used include the Rupiah exchange rate (EXR) as the dependent variable, while the Federal Funds Rate (FFR) and global oil prices (OIL) are employed as proxies for external shocks. Meanwhile, tax revenue (TAX) and government expenditure (GOVEXP) represent domestic fiscal policy variables. The analytical method applied in this study is the Domowitz-Elbadawi Error Correction Model (ECM) to capture both short-run and long-run relationships among variables. The findings reveal that in the short run, all independent variables do not significantly affect the Rupiah exchange rate, except government expenditure, which has a positive effect at the 10 percent significance level. In the long run, the variables FFR, TAX, and GOVEXP significantly affect the exchange rate at the 10 percent significance level with a negative relationship, while OIL does not show a significant effect. These findings indicate that the dynamics of the Rupiah exchange rate are more influenced by external factors in the long run, reflecting the presence of spillover effects from global markets, while fiscal policy serves as a stabilization instrument to mitigate external pressures. Therefore, adaptive fiscal policy synergy is required to maintain exchange rate stability amid global economic dynamics.
Downloads
References
Ahmed, S., Appendino, M., & Ruta, M. (2018). Global value chains, currency depreciation and export prices. Journal of International Economics, 111, 1–15.
Anaya, P., Hachula, M., & Offermanns, C. J. (2017). Spillovers of U.S. unconventional monetary policy to emerging markets: The role of capital flows. Journal of International Money and Finance, 73, 275–295.
Ariadne, M., & Sri, I. (2023). Fiscal policy credibility and exchange rate stability in emerging economies. Jurnal Ekonomi Dan Kebijakan Publik, 14(2), 87–103.
Erida, N., & Sucihatiningsih, D. W. P. (2023). Dampak penghentian Quantitative Easing Amerika Serikat terhadap nilai tukar Rupiah. Jurnal Ekonomi Pembangunan, 21(1), 45–60.
Fatmawati, R., & Indah, S. (2019). Pengaruh investasi asing langsung (FDI) terhadap nilai tukar Rupiah di Indonesia. Jurnal Ekonomi Dan Bisnis, 22(3), 112–128.
Gomez, W., Torrez, J., & Villalobos, C. (2022). Portfolio capital flows and exchange rate stability: An error correction approach. International Finance Review, 18(4), 201–220.
Indonesia, B. (2023). Laporan Perekonomian Indonesia 2023. Bank Indonesia.
Indra, A., Wahyu, B., & Cahyono, D. (2019). Pengaruh harga minyak mentah dunia terhadap nilai tukar Rupiah periode 2014–2018. Jurnal Ilmu Ekonomi, 3(2), 78–91.
Isbahi, M. B., Zuana, M. M. M. ., & Mariana, E. R. . (2022). The Technology Strategy in Website Communication Media in Improving Business Activities. Majapahit Journal of Islamic Finance and Management, 1(2), 126–138. https://doi.org/10.31538/mjifm.v1i2.17
Kurnia, S. (2022). Pengaruh money supply, inflasi, dan suku bunga terhadap nilai tukar Rupiah di Indonesia periode 1999–2020. Jurnal Ekonomi Pembangunan, 20(1), 33–50.
Lestari, D., & Mahendra, A. (2023). Spillover effect pasar global terhadap nilai tukar Rupiah: Analisis ECM kuartalan 2014–2022. Jurnal Keuangan Dan Perbankan, 27(1), 15–34.
Mulyadi, M. (2018). Pengaruh inflasi global dan stabilitas fiskal domestik terhadap nilai tukar Rupiah 2008–2017: Pendekatan Error Correction Model. Jurnal Riset Ekonomi Dan Bisnis, 11(2), 99–115.
Neluka, D. (2021). Volatility spillovers from global stock markets to Asian currency markets. Asian Journal of Finance & Accounting, 13(1), 55–74.
Nugroho, A., Susilo, B., & Prasetyo, C. (2017). Pengaruh Federal Funds Rate dan harga minyak dunia terhadap nilai tukar Rupiah: Analisis ECM periode 2000–2016. Jurnal Ekonomi Dan Studi Pembangunan, 18(2), 140–158.
Prabowo, H. (2021). Pengaruh pengeluaran pemerintah terhadap nilai tukar Rupiah di Indonesia periode 2010–2020. Jurnal Kebijakan Ekonomi Dan Keuangan, 9(3), 201–217.
Putri, D. Y. (2018). Pengaruh nilai tukar Rupiah terhadap jumlah uang beredar di Indonesia periode 2005–2017. Jurnal Ekonomi Moneter, 6(1), 22–38.
Rahmawati, F. (2020). Pengaruh penerimaan pajak dan belanja pemerintah terhadap nilai tukar Rupiah periode 2011–2019: Pendekatan Error Correction Model. Jurnal Akuntansi Dan Keuangan Publik, 5(2), 67–84.
Rosnawintang, R. (2022). Kebijakan fiskal dan stabilitas nilai tukar: Analisis Error Correction Model periode 2010–2021. Jurnal Ekonomi Dan Pembangunan Sulawesi Tenggara, 13(1), 1–18.
Saba, I., & Aliyu, S. (2024). US monetary policy spillover and currency depreciation in developing countries: An ECM analysis 2000–2022. Emerging Markets Finance and Trade, 60(3), 512–530.
Sari, N., Wulandari, R., & Kurniawan, T. (2021). Pengaruh harga minyak dunia dan suku bunga global terhadap nilai tukar Rupiah: Pendekatan ARDL 2010–2020. Jurnal Ekonomi Terapan, 6(2), 44–62.
Setianingsih, W. (2017). Pengaruh nilai tukar Rupiah terhadap daya beli masyarakat Indonesia periode 1987–2017. Jurnal Ekonomi Dan Bisnis Indonesia, 32(1), 10–25.
Wang, L., Zhang, H., & Chen, Y. (2024). Global monetary policy spillovers and financial market uncertainty in emerging economies. Journal of International Financial Markets, Institutions and Money, 91, 101–120.
Wibowo, A., & Pratama, R. (2019). Pengaruh defisit anggaran pemerintah terhadap nilai tukar Rupiah periode 2005–2018. Jurnal Ekonomi Dan Bisnis, 22(1), 55–70.
Ying, Q., Chen, M., & Liu, J. (2024). Economic policy uncertainty and currency depreciation in emerging markets: An OLS panel analysis. World Economy, 47(2), 380–405.
Copyright (c) 2026 Siti Aisya, Yuni Prihadi Utomo
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work.
