Analisis Dampak Indikator Makroekonomi terhadap Investasi Portofolio di ASEAN 4

  • Adhitya Wardhono Universitas Jember
  • Ciplis Gema Qori'ah Universitas Jember, Universitas Gadjah Mada
  • M. Abd. Nasir Universitas Jember
  • Ariz Aprilia Universitas Gadjah Mada
Keywords: investasi portofolio, makroekonomi, SVAR, ASEAN 4

Abstract

Investasi portofolio merupakan jenis investasi yang rentan terhadap guncangan baik yang bersumber dari dalam maupun luar negeri. Tujuan dari studi ini adalah untuk mengetahui pengaruh guncangan variabel inflasi, suku bunga dan nilai tukar riil efektif terhadap aliran investasi portofolio di empat negara ASEAN pada periode 2001Q1–2018Q4. Hasil analisis dengan menggunakan metode Structural Vector Autoregressive (SVAR) menunjukkan bahwa suku bunga merupakan determinasi utama investasi portofolio di Singapura dan Filipina. Sedangkan inflasi dan nilai tukar menjadi determinasi utama investasi portofolio di Indonesia dan Malaysia. Studi ini merekomendasikan bahwa kebijakan pengelolaan arus modal dalam bentuk investasi portofolio sebaiknya mempertimbangkan variabel makroekonomi tersebut, mengingat besarnya potensi risiko yang dapat ditimbulkan terhadap stabilitas perekonomian terutama dalam jangka pendek.

References

ADB. (2012). Annual Report 2012: Advancing regional cooperation and integration in Asia and the Pacific. Asian Development Bank. https://www.adb.org/sites/default/files/institutional-document/33806/adb-annual-report-2012.pdf.

Agarwal, R. N. (1997). Foreign portfolio investment in some developing countries: A study of determinants and macroeconomic impact. Indian Economic Review, 32(2), 217-229.

Ahmed, S., & Zlate, A. (2014). Capital flows to emerging market economies: A brave new world?. Journal of International Money and Finance, 48(Part B), 221-248. doi: https://doi.org/10.1016/j.jimonfin.2014.05.015.

Aizenman, J., & Pasricha, G. K. (2013). Why do emerging markets liberalize capital outflow controls? Fiscal versus net capital flow concerns. Bank of Canada Working Paper 2013-21. https://www.bankofcanada.ca/2013/07/working-paper-2013-21/.

Albuquerque, R. (2003). The composition of international capital flows: risk sharing through foreign direct investment. Journal of International Economics, 61(2), 353-383. doi: https://doi.org/10.1016/S0022-1996(03)00013-8.

Aldaba, R. M., & Yap, J. T. (2009). Investment and capital flows: Implications of the ASEAN economic community. Discussion Paper Series 2009-01. Philippine Institute for Development Studies. https://dirp3.pids.gov.ph/ris/dps/pidsdps0901.pdf.

Arias, F., Garrido, D., Parra, D., & Rincon, H. (2013). Do the different types of capital flows respond to the same fundamentals and in the same degree? Recent evidence for emerging markets. 4th BIS Consultative Council for the Americas conference ”Financial stability, macroprudential policy and exchange rates”, Santiago, Chile, 25-26 April 2013. https://www.bis.org/events/ccaconf2013/ariasetal.pdf.

Baharumshah, A. Z., & Thanoon, M. A. M. (2006). Foreign capital flows and economic growth in East Asian countries. China Economic Review, 17(1), 70-83. doi: https://doi.org/10.1016/j.chieco.2005.09.001.

Bank Indonesia. (2018). Laporan perekonomian Indonesia tahun 2018. https://www.bi.go.id/id/lip/infografis/Pages/BI-Infografis-LPI-2018.aspx.

Bussi`ere, M., & Phylaktis, K. (2016). Emerging markets finance: Issues of international capital flows-Overview of the special issue. Journal of International Money and Finance, 60, 1-7. doi: https://doi.org/10.1016/j.jimonfin.2015.09.007.

Byrne, J. P., & Fiess, N. (2011). International capital flows to emerging and developing countries: National and global determinants. SIRE Discussion Papers 2011-03. Scottish Institute for Research in Economics (SIRE). https://ideas.repec.org/p/edn/sirdps/245.html.

Cardarelli, R., Elekdag, S., & Kose, M. A. (2010). Capital inflows: Macroeconomic implications and policy responses. Economic Systems, 34(4), 333-356. doi: https://doi.org/10.1016/j.ecosys.2010.01.004.

Chuhan, P., Claessens, S., & Mamingi, N. (1993). Equity and bond flows to Asia and Latin America: The role of global and country factors. Policy, Research Working Papers WPS 1160. Debt and International Finance. Washington, DC: World Bank. http://documents.worldbank.org/curated/en/551091468753025200/Equity-and-bond-flows-to-Asia-and-Latin-America-the-role-of-global-and-countryfactors.

Das, S. B., Menon, J., Severino, R. C., & Shrestha, O. L. (Eds.). (2013). The ASEAN economic community: A work in progress. Institute of Southeast Asian Studies.

Davis, J. S. (2015). The cyclicality of (bilateral) capital inflows and outflows. Globalization and Monetary Policy Institute Working Paper, 247. Federal Reserve Bank of Dallas. https://www.dallasfed.org/-/media/documents/institute/wpapers/2015/0247.pdf.

Ekeocha, P. C., Ekeocha, C. S., Malaolu, V., & Oduh, M. O. (2012). Modelling the long run determinants of foreign portfolio investment in Nigeria. Journal of Economics and Sustainable Development, 3(8), 194-205.

Gu, X., & Huang, B. (2011). A new approach to capital flows: Theory and evidence. Economic Modelling, 28(3), 1050-1057. doi: https://doi.org/10.1016/j.econmod.2010.11.023.

Gujarati, D. N., & Porter, C. D. (2009). Basic econometrics (5th Edition). McGraw-Hill Irwin.

IMF. (2007). International Monetary Fund Annual Report 2007: Making the global economy work for all. International Monetary Fund. https://www.imf.org/en/Publications/AREB/Issues/2016/12/31/Annual-Report-of-the-Executive-Board-for-the-Financial-Year-Ended-April-30-2007.

IMF. (2012). International Monetary Fund Annual Report 2012: Working together to support global recovery. International Monetary Fund. https://www.imf.org/en/Publications/AREB/Issues/2016/12/31/International-Monetary-Fund-Annual-Report-2012-Working-Together-To-Support-Global-Recovery-26104.

IMF. (2018a). IMF Annual Report 2018: Building a shared future. International Monetary Fund. https://www.imf.org/external/pubs/ft/ar/2018/eng/assets/pdf/imf-annual-report-2018.pdf.

IMF. (2018b). International Financial Statistic Monthly 10/2018. International Monetary Fund. https://www.elibrary.imf.org/doc/IMF041/25151-9781484354179/25151-9781484354179/Other formats/Source PDF/25151-9781484354223.pdf?redirect=true.

Kawai, M., & Lamberte, M. (2008). Managing capital flows in Asia: Policy issues and challenges. ADBI Research Policy Brief, 26. Asian Development Bank Institute. https://www.adb.org/publications/managing-capital-flows-asia-policy-issues-and-challenges.

Kiseleva, A. (2012). Cross-border investments under Asean+3’s monetary and financial cooperation. International Conference on Management, Economics and Finance, 15-16 October 2012, Sarawak, Malaysia.

Lee, H. H., Huh, H. S., & Kim, W. J. (2012). Cross-border portfolio investment in the APEC region. Japan and the World Economy, 24(1), 44-56. doi: https://doi.org/10.1016/j.japwor.2011.11.002.

Ma, C. K., & Kao, G. W. (1990). On exchange rate changes and stock price reactions. Journal of Business Finance & Accounting, 17(3), 441-449. doi: https://doi.org/10.1111/j.1468-5957.1990.tb01196.x.

Nezky, M. (2013). The impact of US crisis on trade and stock market in Indonesia. Bulletin of Monetary, Economics and Banking, 15(3), 83-96. doi: https://doi.org/10.21098/bemp.v15i3.428.

Rajan, R. (2001). Economic globalization and Asia: Trade, finance and taxation. CIES Discussion Paper, 0150. Center for International Economic Studies, Adelaide University.

Rodrik D (1998) Who needs capital-account convertibility? In S. Fischer, R. N. Cooper, R. Dornbusch, P. M. Garber, C. Massad, J. J. Polak, D. Rodrik, & S. S. Tarapore (Eds.), Should the IMF pursue capital account convertibility? (Essays in international finance No. 207) (pp. 55–65). Princeton: Department of Economics, Princeton University.

Sarno, L., Tsiakas, I., & Ulloa, B. (2016). What drives international portfolio flows?. Journal of International Money and Finance, 60, 53-72. doi: https://doi.org/10.1016/j.jimonfin.2015.03.006.

Schadler, S. (2010). Managing large capital inflows: Taking stock of international experiences. ADB Institute Discussion Paper, 97. Asian Development Bank Institute. https://www.adb.org/publications/managing-large-capital-inflows-taking-stock-international-experiences.

Sedik, T. S., & Sun, T. (2012). Effects of capital flow liberalization—What is the evidence from recent experiences of emerging market economies? IMF Working Paper WP/12/275. International Monetary Fund. https://www.imf.org/en/Publications/WP/Issues/2016/12/31/Effects-of-Capital-Flow-Liberalization-What-is-the-Evidence-from-Recent-Experiences-of-40108.

Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1-48. doi: 10.2307/1912017.

Uctum, M., & Uctum, R. (2011). Crises, portfolio flows, and foreign direct investment: An application to Turkey. Economic Systems, 35(4), 462-480. doi: https://doi.org/10.1016/j.ecosys.2010.10.005.

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. doi: https://doi.org/10.1016/j.fbj.2015.11.002.

Wardhono, A. (2004). Mengenal ekonometrika: Teori dan aplikasi (Edisi Pertama). Fakultas Ekonomi Universitas Jember.

Wardhono, A., Salim, A., & Qoriah, C. G. (2014). The effects of European bilateral debt crisis on international banking finance behavior in the Philippines and Indonesia. International Journal of Economic Perspectives, 8(3), 41-51.

Wardhono, A., Arisandi, D., & Nasir, M. A. (2018). Empirical study of scapegoat theory paradigm in the exchange rate variable in the ASEAN 5. International Economic Journal, 32(1), 102-119. doi: https://doi.org/10.1080/10168737.2018.1446998.

Wardhono, A., Nasir, M. A., Qori’ah, C. G., & Sarwedi. (2015). Movement Effects of Portofolio Investment Againts Real Effective Exchange Rate Stability in ASEAN. In H. Paramu & Sudaryanto (Eds.), International Conference Proceedings: Business Management: Directions and Strategies in Response to ASEAN Economic Community 2015 (pp. 41-58), Jember, 2 November 2013. Faculty of Economics and Business, University of Jember.

Wardhono, A., Indrawati, Y., Qoriah, C. G., & Nasir, M. A. (2019a). Perilaku kebijakan bank sentral di Indonesia. Pustaka Abadi.

Wardhono, A., Indrawati, Y., Qoriah, C. G., & Nasir, M. A. (2019b). Analisis data time series dalam model makroekonomi. Pustaka Abadi.

Wardhono, A., Indrawati, Y., Qori’ah, C. G., & Nasir, M. A. (2019c). Structural cointegrating vector auto regression approach in macroeconomic model. The 5th SBE International Conference on Business and Economy 2019, March 13–14, Universitas Katolik Soegijapranata, Semarang, Indonesia.

Winantyo, R., Saputra, R. D., Fitriani, S., Morena, R., Kosotali, A., Saichu, G., Rohmadyati, U., Sholihah, Rachmanto, A., & Gandara, D. (2008). Masyarakat Ekonomi ASEAN (MEA) 2015: Memperkuat sinergi ASEAN di tengah kompetisi global. Elex Media Komputindo.

Published
2020-06-18
How to Cite
Wardhono, A., Qori’ah, C., Nasir, M. A., & Aprilia, A. (2020). Analisis Dampak Indikator Makroekonomi terhadap Investasi Portofolio di ASEAN 4. Jurnal Ekonomi Indonesia, 9(1), 81-97. https://doi.org/10.52813/jei.v9i1.43
Section
Articles