Dampak berita makroekonomi terhadap fluktuasi nilai tukar di Indonesia


  • Badara Shofi Dana Universitas Jember
  • Moh. Adenan Universitas Jember
  • Zainuri Zainuri Universitas Jember




Exchange Rate, Macroeconomic News, VAR


The short-term exchange rate fluctuations can be explained by the microstructure approach of the foreign exchange market. The concept argues  that macroeconomic news (news in the newspaper) can affect the exchange rate in the foreign exchange market by changing market actors’ assumptions . This study seeks to analyze the impacts of domestic and Chinese macroeconomic news on exchange rate fluctuation in Indonesia. The study uses exchange rates and domestic and Chinese macroeconomic news from2/1/ 2013 to 31/12/2018. Macroeconomic news consist of economic growth (GDP), retail sales and current account. By using the Generalized Methods of Moments (GMM) as the analysis tool, the study indicate that domestic and Chinese macroeconomic news affect exchange rate movements in Indonesia. Thus, this study suggests that Indonesia needs to maintain its macroeconomic fundamentals to mitigate the impacts of macroeconomic news. Further, increasing the efficiency and credibility of  financial markets is crucial to stabilize exchange rate movements.


Download data is not yet available.


Adusei, M., & Gyapong, E. Y. (2017). The impact of macroeconomic variables on exchange rate volatility in Ghana: The partial least squares structural equation modelling approach. Research in International Business and Finance, 42(December), 1428–1444. https://doi.org/10.1016/j.ribaf.2017.07.081

Audzei, V., & Brázdik, F. (2018). Exchange rate dynamics and their effect on macroeconomic volatility in selected CEE countries. Economic Systems, 42(4), 584–596. https://doi.org/10.1016/j.ecosys.2018.02.003

Bahmani-oskooee, M., Hosny, A., & Kishor, K. N. (2014). The exchange rate disconnect puzzle revisited. International Journal of Finance & Economics, 17(2), 103–123. https://doi.org/10.1002/ijfe

Basu, S., Ghosh, A., Ostry, J., & Winat, P. (2016). Managing Capital Outflows: The Role of Foreign Exchange Intervention. IMF Working Papers, 1–59.

Birz, G., & Lott, J. R. (2011). The effect of macroeconomic news on stock returns: New evidence from newspaper coverage. Journal of Banking and Finance, 35(11), 2791–2800. https://doi.org/10.1016/j.jbankfin.2011.03.006

Cantú, C. (2019). Effects of capital controls on foreign exchange liquidity. Journal of International Money and Finance, 93(May), 201–222. https://doi.org/10.1016/j.jimonfin.2019.01.006

Caporale, G. M., Spagnolo, F., & Spagnolo, N. (2017). Macro news and exchange rates in the BRICS. Finance Research Letters, 21(May), 140–143. https://doi.org/10.1016/j.frl.2016.12.002

Caporale, G. M., Spagnolo, F., & Spagnolo, N. (2018). Exchange rates and macro news in emerging markets. Research in International Business and Finance, 46(December), 516–527. https://doi.org/10.1016/j.ribaf.2018.06.007

Carlson, J. A., & Lo, M. (2006). One minute in the life of the DM/US$: Public news in an electronic market. Journal of International Money and Finance, 25(7), 1090–1102. https://doi.org/10.1016/j.jimonfin.2006.08.005

Chang, M. J., & Su, C. Y. (2014). The dynamic relationship between exchange rates and macroeconomic fundamentals: Evidence from Pacific Rim countries. Journal of International Financial Markets, Institutions and Money, 30(1), 220–246. https://doi.org/10.1016/j.intfin.2014.03.002

Chen, S. S., & Chou, Y. H. (2015). Revisiting the relationship between exchange rates and fundamentals. Journal of Macroeconomics, 46(December), 1–22. https://doi.org/10.1016/j.jmacro.2015.07.004

Cheung, Y. W., & Chinn, M. D. (2001). Currency traders and exchange rate dynamics: A survey of the US market. Journal of International Money and Finance, 20(4), 439–471. https://doi.org/10.1016/S0261-5606(01)00002-X

Cheung, Y. W., Fatum, R., & Yamamoto, Y. (2019). The exchange rate effects of macro news after the global financial crisis. Journal of International Money and Finance, 95(July), 424–443. https://doi.org/10.1016/j.jimonfin.2018.03.009

Chou, Y. H. (2018). Understanding the sources of the exchange rate disconnect puzzle: A variance decomposition approach. International Review of Economics and Finance, 56(July), 267–287. https://doi.org/10.1016/j.iref.2017.10.029

Clarida, R. H., & Waldman, D. (2007). Is bad news about inflation good news for the exchange rate? Asset Prices and Monetary Policy. University of Chicago Press. https://doi.org/10.7208/chicago/9780226092126.003.0010

Combes, J.-L., Kinda, T., & Plane, P. (2012). Capital flows, exchange rate flexibility, and the real exchange rate. Journal of Macroeconomics, 34(4), 1034–1043. https://doi.org/10.1016/j.jmacro.2012.08.001

Copeland, L. (2014). Exchange rates and international finance. United Kingdom: Pearson Education Limited.

Dominguez, K. M. E., & Panthaki, F. (2006). What defines “news” in foreign exchange markets? Journal of International Money and Finance, 25(1), 168–198. https://doi.org/10.1016/j.jimonfin.2005.10.009

Galati, G., & Ho, C. (2001). Macroeconomic news and the euro/dollar exchange rate. BIS Working Paper No. 105, (105).

Greene, W. H. (2012). Econometric analysis (7th ed.). New York: Pearson.

Jongwanich, J., & Kohpaiboon, A. (2013). Capital flows and real exchange rates in emerging Asian countries. Journal of Asian Economics, 24(210), 138–146. https://doi.org/10.1016/j.asieco.2012.10.006

Katusiime, L., Shamsuddin, A., & Agbola, F. W. (2015). Macroeconomic and market microstructure modelling of Ugandan exchange rate. Economic Modelling, 45(February), 175–186. https://doi.org/10.1016/j.econmod.2014.10.059

Lott, J. R., & Hassett, K. A. (2014). Is newspaper coverage of economic events politically biased? Public Choice, 160(1–2), 65–108. https://doi.org/10.1007/s11127-014-0171-5

Omrane, W. Ben, & Savaşer, T. (2017). Exchange rate volatility response to macroeconomic news during the global financial crisis. International Review of Financial Analysis, 52(July), 130–143. https://doi.org/10.1016/j.irfa.2017.05.006

Osler, C. L. (2008). Foreign exchange microstructure: A survey of the emperical literature.

Perry, W., & Juhro, S. M. (2016). Kebijakan bank sentral: Teori dan praktek. Exchange Rate Theory and Practice. Jakarta: PT. Rajagrafindo Persada.

Redl, C. (2015). Noisy news and exchange rates: A SVAR approach. Journal of International Money and Finance, 58(November), 150–171. https://doi.org/10.1016/j.jimonfin.2015.08.002

Ren, Y., Wang, Q., & Zhang, X. (2019). Short-term exchange rate predictability. Finance Research Letters, 28(September), 148–152. https://doi.org/10.1016/j.frl.2018.04.009

Ullah, S., Akhtar, P., & Zaefarian, G. (2018). Dealing with endogeneity bias: The generalized method of moments (GMM) for panel data. Industrial Marketing Management, 71(November), 69–78. https://doi.org/10.1016/j.indmarman.2017.11.010

Xie, Z., & Chen, S. (2019). Exchange rates and fundamentals: A boostrap panel data analysis. Economic Modelling, 78(May), 209–224. https://doi.org/10.1016/j.econmod.2018.09.021



How to Cite

Dana, B. S., Adenan, M., & Zainuri, Z. (2019). Dampak berita makroekonomi terhadap fluktuasi nilai tukar di Indonesia. Jurnal Ekonomi Dan Bisnis, 22(2), 345–360. https://doi.org/10.24914/jeb.v22i2.2382