Volatilitas Nilai Tukar, Arus Investasi Asing, dan Stabilitas Keuangan di Negara ASEAN-5: Analisis Empiris

Fajrin Satria Dwi Kesumah, Luthfi Firdaus

Abstract


Penelitian ini bertujuan untuk menganalisis pengaruh nilai tukar, arus investasi asing langsung (FDI), pertumbuhan ekonomi, dan inflasi terhadap stabilitas keuangan di negara-negara ASEAN-5 selama periode 2011–2024. Selain itu, penelitian ini juga menguji peran variabel kontrol eksternal berupa suku bunga acuan The Fed dan tekanan keuangan di pasar emerging market (FSI_EM). Menggunakan pendekatan kuantitatif dengan data panel dan estimasi melalui Common Effect Model (CEM), hasil menunjukkan bahwa nilai tukar dan pertumbuhan PDB berpengaruh positif dan signifikan terhadap stabilitas keuangan, sementara FDI dan inflasi tidak signifikan. Variabel kontrol eksternal menunjukkan bahwa tekanan keuangan di emerging market memiliki pengaruh negatif signifikan terhadap stabilitas keuangan, sedangkan suku bunga The Fed menunjukkan pengaruh negatif yang signifikan pada tingkat 10%. Temuan ini menegaskan pentingnya kebijakan makroekonomi yang adaptif, koordinasi regional, dan sistem peringatan dini untuk meningkatkan ketahanan keuangan ASEAN-5 terhadap guncangan eksternal.

References


Ahmed, R., Aizenman, J., & Jinjarak, Y. (2021). Inflation and Exchange Rate Targeting Challenges Under Fiscal Dominance. Journal of Macroeconomics, 67, 103281. https://doi.org/10.1016/J.JMACRO.2020.103281

Al-Abri, A., & Baghestani, H. (2015). Foreign investment and real exchange rate volatility in emerging Asian countries. In Journal of Asian Economics (Vol. 37). Elsevier Inc. https://doi.org/10.1016/j.asieco.2015.01.005

Alfaro, L., Chanda, A., Kalemli-Ozcan, S., & Sayek, S. (2004). FDI and economic growth: the role of local financial markets. Journal of International Economics, 64(1), 89–112. https://doi.org/10.1016/S0022-1996(03)00081-3

Athukorala, P. chandra, & Tien, T. Q. (2012). Foreign direct investment in industrial transition: The experience of Vietnam. Journal of the Asia Pacific Economy, 17(3), 446–463. https://doi.org/10.1080/13547860.2012.694699

Baltagi, B. H. (2005). Econometric Analysis of Panel Data (Third Edit). John Wiley & Sons, Ltd. https://doi.org/10.3109/00498257509056115

Borensztein, E., De Gregorio, J., & Lee, J. W. (1998). How does foreign direct investment affect economic growth? Journal of International Economics, 45(1), 115–135. https://doi.org/10.1016/S0022-1996(97)00033-0

Borio, C. E. V., & Lowe, P. W. (2002). Asset Prices, Financial and Monetary Stability: Exploring the Nexus. In BIS Woriking Paper (114). https://doi.org/10.2139/ssrn.846305

Cerutti, E., Claessens, S., & Rose, A. K. (2017). How Important is the Global Financial Cycle? Evidence from capital flows. In BIS Working Papers (661).

Chen, H. (2024). The impact of the US-China trade war on the global macroeconomy. SHS Web of Conferences, 188, 02013. https://doi.org/10.1051/shsconf/202418802013

Claessens, S., & Forbes, K. (2004). International financial contagion. The theory, evidence and policy implications. The IFM’s Role in Emerging Market Economies. Reassessing the Adequacy of Its Resources, 1–34. https://mitsloan.mit.edu/shared/ods/documents?DocumentID=4943

Edwards, S. (2010). The international transmission of interest rate shocks: The Federal Reserve and emerging markets in Latin America and Asia. Journal of International Money and Finance, 29(4), 685–703. https://doi.org/10.1016/J.JIMONFIN.2010.01.003

Égert, B., & Macdonald, R. (2008). Monetary transmission mechanism in Central and Eastern Europe: Surveying the surveyable. In OECD Economics Department Working Papers (654). https://doi.org/10.1111/j.1467-6419.2008.00563.x

Elnahass, M., Trinh, V. Q., & Li, T. (2021). Global banking stability in the shadow of Covid-19 outbreak. Journal of International Financial Markets, Institutions and Money, 72, 101322. https://doi.org/10.1016/j.intfin.2021.101322

Goldberg, L. S., & Kolstad, C. D. (1995). Foreign Direct Investment, Exchange Rate Variability and Demand Uncertainty. International Economic Review, 36(4), 855–873.

Gottschalk, S., & Hall, S. (2008). Foreign Direct Investment and Exchange

Rate Uncertainty in South-east Asia. International Journal of Finance and Economics, 13, 349–359. https://doi.org/10.2139/ssrn.1593002

Gujarati, D. N., & Porter, D. C. (2013). Basic Econometrics (Fifth Edit). McGraw-Hill Irwin.

Handoyo, R. D., Alfani, S. P., Ibrahim, K. H., Sarmidi, T., & Haryanto, T. (2023). Exchange rate volatility and manufacturing commodity exports in ASEAN-5: A symmetric and asymmetric approach. Heliyon, 9(2), e13067. https://doi.org/10.1016/j.heliyon.2023.e13067

Imtiaz, S. (2017). Economic freedom and foreign direct investment in South Asian countries. Theoretical and Applied Economics, XXIV(2), 277–290.

Kesumah, F. S. D., & Azhar, R. (2025). Volatility Spillover and Risk Measurement of Southeast Asian Financial Markets. Brazilian Administration Review, 22(2), 1–17.

Ketchan, S. (2018). The volatility of equity flows in ASEAN emerging markets [Chulalongkorn University]. https://doi.org/https://doi.org/10.58837/CHULA.THE.2018.178

Khan, M. S., & Senhadji, A. S. (2000). Threshold Effects in the

Relationship Between Inflation and Growth (110; IMF Working Paper).

Klyuev, V., & Dao, T.-N. (2016). Evolution of Exchange Rate Behavior in the ASEAN-5 Countries. In IMF Working Papers (16; 165, Vol. 16, Issue 165). https://doi.org/10.5089/9781475523867.001

Kongwiriyapisal, P. (2023). Modeling Exchange Rate Volatility of ASEAN Member Countries. International Journal of Applied Mathematics, Computational Science and Systems Engineering, 5, 84–92. https://doi.org/10.37394/232026.2023.5.8

Latief, R., & Lefen, L. (2018). The effect of exchange rate volatility on international trade and foreign direct investment (Fdi) in developing countries along “one belt and one road.” International Journal of Financial Studies, 6(4). https://doi.org/10.3390/ijfs6040086

Lily, J., Kogid, M., Mulok, D., & Asid, R. (2020). Asymmetric effect of real exchange rate risk on foreign direct investment: Empirical evidence in ASEAN-4. Journal of Research in Emerging Markets, 2(3), 91–105. https://doi.org/10.30585/jrems.v2i3.512

Lily, J., Kogid, M., Mulok, D., Thien Sang, L., & Asid, R. (2014). Exchange Rate Movement and Foreign Direct Investment in Asean Economies. Economics Research International, 2014, 1–10. https://doi.org/10.1155/2014/320949

Malik, N., Oktavia, A., Suliswanto, M. S. W., & Anindyntha, F. A. (2020). Financial banking performance of ASEAN-5 countries in the digital era. Jurnal Keuangan Dan Perbankan, 24(1). https://doi.org/10.26905/jkdp.v24i1.2641

Musaiyaroh, A., Komariyah, S., & Santosa, S. H. (2022). Global Economic Policy Uncertainty and Financial Market Volatility on Monetary Policy in ASEAN 3. Himalayan Journal of Economics and Business Management, 3(1).

Obstfeld, M., & Rogoff, K. (1995). The Mirage of Fixed Exchange Rates. Journal of Economic Perspectives, 9(4), 73–96.

Pitterle, I., Haufler, F., & Hong, P. (2015). Assessing emerging markets’ vulnerability to financial crisis. Journal of Policy Modeling, 37(3), 484–500. https://doi.org/10.1016/J.JPOLMOD.2015.03.010

Rahman, M. S., & Shahari, F. (2017). The nexus between financial integration and real economy: Solow-growth model concept. Research in International Business and Finance, 42, 1244–1253. https://doi.org/10.1016/j.ribaf.2017.07.062

Syarifuddin, F. (2022). The Dynamics of Foreign Portfolio Investment and Exchange Rates: An Interconnection Approach in ASEAN. Journal of Eurasian Economies, 1(2), 1–12. https://doi.org/10.36880/j01.2.0113

Tiwary, D., Das, K. C., Shettigar, J., & Misra, P. (2022). Exchange Rate Volatility and Financial Stress: Evidence from Developing Asia. In Journal of Emerging Market Finance (Vol. 21, Issue 4).

https://doi.org/10.1177/09726527221078634

Truong, L. D., Le, H. H. N., & Vo, D. Van. (2022). the Asymmetric Effects of Exchange Rate Volatility on International Trade in a Transition Economy: the Case of Vietnam. Buletin Ekonomi Moneter Dan Perbankan, 25(2), 203–214. https://doi.org/10.21098/bemp.v25i2.1636

Umoru, D., Igbinovia, B., & Aliyu, M. F. (2024). Exchange rate behaviour in ASEAN countries – a sensitivity analysis. Central European Review of Economics and Management, 8(4), 37–73.

United Nations Conference on Trade and Development (UNCTAD). (2023). Investing in Sustainable Energy for all - World Investment Report 2023.

Upadhyaya, K. P., Dhakal, D., & Mixon, F. G. (2020). Exchange Rate

Volatility and Exports: Some New Estimates From the Asean-5. The Journal of Developing Areas, 54(1). https://doi.org/10.1353/jda.2020.0004

Waqas, Y., Hashmi, S. H., & Nazir, M. I. (2015). Macroeconomic factors and foreign portfolio investment volatility: A case of South Asian countries. Future Business Journal, 1(1–2), 65–74. https://doi.org/10.1016/j.fbj.2015.11.002

Wong, M. F., Fai, C. K., Yee, Y. C., & Cheng, L. S. (2019). Macroeconomic policy and exchange rate impacts on the foreign direct investment in ASEAN economies. International Journal of Economic Policy in Emerging Economies, 12(1), 1–10. https://doi.org/10.1504/IJEPEE.2019.098629




DOI: https://doi.org/10.37531/sejaman.v8i2.10247

Refbacks

  • There are currently no refbacks.


Flag Counter

Creative Commons License

S E I K O : Journal of Management & Business is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
 
© All rights reserved 2018. S E I K O : Journal of Management & Business - ISSN (Print) : 2598-831X, ISSN (Online) : 2598-8301.
 

Web Analytics