PENGARUH KAUSALITAS ANTARA DAYA SAING GLOBAL, PDB PER KAPITA, DAN VOLATILITAS NILAI TUKAR DI NEGARA BRICS+ TAHUN 2012-2024

PUTRI LESTARI, . (2026) PENGARUH KAUSALITAS ANTARA DAYA SAING GLOBAL, PDB PER KAPITA, DAN VOLATILITAS NILAI TUKAR DI NEGARA BRICS+ TAHUN 2012-2024. Sarjana thesis, UNIVERSITAS NEGERI JAKARTA.

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Abstract

Penelitian ini bertujuan untuk menganalisis hubungan jangka panjang, jangka pendek, dan kausalitas antara daya saing global yang diproksikan oleh Global Innovation Index (GII), PDB per kapita, dan volatilitas nilai tukar (REER). Penelitian ini dilatarbelakangi oleh masih beragamnya temuan empiris mengenai keterkaitan antara inovasi, pertumbuhan ekonomi, dan stabilitas nilai tukar pada negara berkembang. Unit analisis penelitian mencakup sembilan negara anggota BRICS+ selama periode 2012–2024 dalam bentuk data panel tahunan. Analisis dilakukan menggunakan metode Panel Autoregressive Distributed Lag (Panel ARDL) dengan estimator Pooled Mean Group (PMG) dan Mean Group (MG). Untuk mengidentifikasi arah kausalitas jangka pendek antarvariabel, penelitian ini menggunakan uji kausalitas Granger Dumitrescu-Hurlin. Pengolahan data dilakukan menggunakan EViews dan Stata sebagai alat uji ketahanan hasil. Hasil penelitian menunjukkan bahwa hanya terdapat satu hubungan jangka panjang yang signifikan, yaitu hubungan negatif antara PDB per kapita dan volatilitas nilai tukar. Nilai Error Correction Term (ECT) yang signifikan pada persamaan mengindikasikan adanya mekanisme penyesuaian menuju keseimbangan jangka panjang, meskipun sebagian besar hubungan antarvariabel tidak signifikan. Selain itu, hasil uji Dumitrescu-Hurlin tidak menemukan bukti kausalitas Granger jangka pendek pada arah pengujian. Temuan ini menunjukkan bahwa stabilitas nilai tukar di negara-negara BRICS+ lebih dipengaruhi oleh faktor fundamental ekonomi, khususnya tingkat pendapatan per kapita, dibandingkan oleh dinamika jangka pendek. Berdasarkan hasil tersebut, pembuat kebijakan disarankan untuk memprioritaskan strategi penguatan kapasitas ekonomi jangka panjang guna mendukung stabilitas nilai tukar, sedangkan penelitian selanjutnya disarankan memperpanjang periode observasi serta mempertimbangkan variabel moderasi atau mediasi untuk memperdalam pemahaman mengenai hubungan antarvariabel yang diteliti. ***** This study aims to examine the long-run and short-run relationships, as well as the causal interactions, among Global Competitiveness, proxied by the Global Innovation Index (GII), GDP per capita, and exchange rate volatility (REER_VOL). The study is motivated by the inconsistent empirical findings regarding the relationships among innovation, economic growth, and exchange rate stability in developing countries. The analysis covers nine BRICS+ member countries over the period 2012–2024 using annual panel data. The study employs the Panel Autoregressive Distributed Lag (Panel ARDL) approach with the Pooled Mean Group (PMG) and Mean Group (MG) estimators. To identify the direction of short-run causality among the variables, the Dumitrescu–Hurlin panel Granger causality test is utilized. Data processing is conducted using EViews, while Stata is used to perform robustness checks. The results indicate that only one statistically significant long-run relationship exists, namely the negative relationship between GDP per capita and exchange rate volatility. The statistically significant Error Correction Term (ECT) coefficients confirm the existence of an adjustment mechanism toward long-run equilibrium, despite the fact that most relationships among the variables are not statistically significant. Furthermore, the Dumitrescu–Hurlin causality test provides no evidence of short-run Granger causality in any of the examined directions. These findings suggest that exchange rate stability in BRICS+ countries is influenced primarily by economic fundamentals, particularly GDP per capita, rather than by short-run economic dynamics. Therefore, policymakers are encouraged to prioritize strategies aimed at strengthening long-term economic capacity to support exchange rate stability. Future research should extend the observation period and incorporate moderating or mediating variables to provide a deeper understanding of the relationships among the variables examined.

Item Type:	Thesis (Sarjana)
Additional Information:	1). Prof. Dr. Sri Indah Nikensari, SE., M.SE; 2). Siti Fatimah Zahra, S.E.I., M.E.
Subjects:	Ilmu Sosial > Teori Ekonomi Ilmu Sosial > Sejarah Ekonomi, Kondisi Ekonomi
Divisions:	FE > S1 Pendidikan Ekonomi
Depositing User:	Putri Lestari .
Date Deposited:	18 Aug 2026 02:46
Last Modified:	18 Aug 2026 02:46
URI:	http://repository.unj.ac.id/id/eprint/71232

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