ANALISIS PENGARUH VOLATILITAS NILAI TUKAR, PENDAPATAN NEGARA PENGIMPOR DAN HARGA RELATIF TERHADAP VOLUME EKSPOR 5 KOMODITAS NON MIGAS UNGGULAN INDONESIA BERDASARKAN KODIFIKASI SITC 2 DIGIT

Abstract

The relationship between exchange rate volatility and export performance has been scruntinized by many economists since Bretton Woods System collapsed in 1971. In general, it was believed that the influence ofexchange rate risk able to influent international trade. That is similar with what occurred in Indonesia. When economic crisis hit Indonesia in 1997, Government ofIndonesia decided to change the crawling band exchange rate system into free floating exchange rate system. In the same time, rupiah has depreciated tremendously and drove export ofseveral commodities tend to decrease. After 2001, when Indonesia's economy condition began to recover and exchange rate was stable, export value ofseveral commodities increased consistently. This study aims to analyze the impact of exchange rate volatility to export of five commodities based on Standard International Trade Classification (SITC) 2-digit level. These commodities are metalliferous ores and metal scrap (SITC 28), textile yarns, fabrics and product (SITC 65), iron and steel (SITC 67), electrical machine, apparatus (SITC 77) and furniture (SITC 82). Other variables also used in this study are foreign income and relative price. In this study, Moving Average Standard Deviation (MASD) is used to measure exchange rate volatility, and Engle-Granger Cointegration and Error Correction Model to find the long run and the short run relationship between export performance and exchange rate volatility. This Model can cover many variables in analysing long run economic phenomenon and also in studying empirical model consistency with economic theory. Beside that, it also can resolve the non-stationer time series variablesproblem. The results of research indicate that in the short run, exchange rate volatility has significant negative effect to export volume-ofSITC 65, SITC 67 and SITC 77. While in the long run, it only has an significant negative effect to export volume of SITC 77. Later, the foreign income, in the short run, only has significant negative effect to export volume ofSITC 82 and in the long run, it has significant negative effect to export volume offive commodities which were analyzed in this study. Meanwhile, the relative price, in the short run has significant negative effect to export volume of SITC 65, SITC 67, SITC 77 and SITC 82, and in the long run it has significant negative effect to export volume of SITC 28, SITC 65 and SITC 82. Keywords: Exchange rate volatility, export performance, SITC MASD, Engle- Granger Cointegration and Error Correction Model.