The Transmission Mechanism of World Oil Prices to Inflation in Indonesia through the Exchange Rate, Interest Rate, and Import Channels
Keywords:
Inflation, Global Oil Price, Exchange Rate, VECMAbstract
This study aims to examine the short-run and long-run relationships between world oil prices, the Rupiah exchange rate, Bank Indonesia’s policy interest rate (BI Rate), imports, and inflation in Indonesia. The analysis employs a Vector Error Correction Model (VECM) using monthly data from 2010 to 2024, supported by unit root tests (ADF and PP), Johansen cointegration test, and ARDL bounds test for robustness. The results show that most variables are non-stationary at level but become stationary at first difference I(1), and the Johansen cointegration test identifies two cointegrating vectors, indicating long-run equilibrium relationships among variables. In the short run, inflation is mainly influenced by its own past inertia (over 90% in FEVD), and none of the external transmission channels are significant. In the long run, oil prices and exchange rates correlate negatively with inflation (coefficients of -0.223 and -16.963), while imports have a strong positive influence (coefficient of 26.425), and the BI Rate is statistically insignificant.
Abstrak
Penelitian ini bertujuan untuk mengkaji hubungan jangka pendek dan jangka panjang antara harga minyak dunia, nilai tukar Rupiah, suku bunga kebijakan Bank Indonesia (BI Rate), impor, dan inflasi di Indonesia. Analisis ini menggunakan Model Koreksi Kesalahan Vektor (VECM) dengan data bulanan dari tahun 2010 hingga 2024, yang didukung oleh uji akar unit (ADF dan PP), uji kointegrasi Johansen, serta uji batas ARDL untuk menguji ketahanan model. Hasilnya menunjukkan bahwa sebagian besar variabel bersifat non-stasioner pada level tetapi menjadi stasioner pada selisih pertama I(1), dan uji kointegrasi Johansen mengidentifikasi dua vektor kointegrasi, yang mengindikasikan adanya hubungan keseimbangan jangka panjang di antara variabel-variabel tersebut. Dalam jangka pendek, inflasi terutama dipengaruhi oleh inersia masa lalunya sendiri (lebih dari 90% dalam FEVD), dan tidak ada saluran transmisi eksternal yang signifikan. Dalam jangka panjang, harga minyak dan nilai tukar berkorelasi negatif dengan inflasi (koefisien sebesar -0,223 dan -16,963), sementara impor memiliki pengaruh positif yang kuat (koefisien sebesar 26,425), dan BI Rate secara statistik tidak signifikan.
References
Abdul, Khaliq. “Mekanisme Transmisi Goncangan Harga Minyak Dan Harga Pangan Dunia Terhadap Perekonomian Makro Indonesia: Pendekatan Structural Vector Autoregressive (SVAR).” Business Management Journal 10, no. 1 (2015): 1–9. https://journal.ubm.ac.id/index.php/business-management/article/view/625.
Aditya, Muhammad Bagus, and Yunita Sopiana. “Analisis Tingkat Suku Bunga Bank, Subsidi BBM Dan Harga Minyak Dunia Terhadap Inflasi Di Indonesia.” JIEP: Jurnal Ilmu Ekonomi Dan Pembangunan 7, no. 2 (2024): 494–505. https://doi.org/10.20527/jiep.v7i2.134.
Agarwalla, Megha, and Shib Sankar Jana. “How Far Are the Crude Oil Price and Inflation Relevant to Forecast the Stock Prices? Evidence from India,” 2025. https://doi.org/10.1108/RAMJ-03-2024-0064.
Aharon, David Y., Mukhriz Izraf Azman Aziz, and Ido Kallir. “Oil Price Shocks and Inflation: A Cross-National Examination in the ASEAN5+3 Countries.” Resources Policy 82, no. December 2022 (2023): 103573. https://doi.org/10.1016/j.resourpol.2023.103573.
Artami, Rina Juliet, and Yonosuke Hara. “The Asymmetric Effects of Oil Price Changes on the Economic Activities in Indonesia.” Signifikan: Jurnal Ilmu Ekonomi 7, no. 1 (2018): 59–76. https://doi.org/10.15408/sjie.v7i1.6052.
Asmara, Alla, Rina Oktaviani, Muhammad Firdaus, and Kuntjoro. “International Oil Price Volatility and Its Impact on Manufacturing Sector and Indonesian Macroeconomic Performance.” Agro Ekonomi 29 (2011): 49–69.
Baek, Jungho, and Jee Hee Yoon. “Do Macroeconomic Activities Respond Differently to Oil Price Shocks? New Evidence from Indonesia.” Economic Analysis and Policy 76 (2022): 852–62. https://doi.org/10.1016/j.eap.2022.09.023.
Buana, Tri, and Wira Pradhani. “The Effect of Monetary Policy Credibility on The Volatility of BI Rate and Persistence of Inflation (A Case Study Towards the Inflation Targeting Regime in Indonesia) SCIENTIFIC JOURNAL,” 2017.
Chen, Pu, and Willi Semmler. “Wage – Price Dynamics and Financial Market in a Disequilibrium Macro Model: A Keynes – Kaldor – Minsky Modeling of Recession and Inflation Using VECM.” Journal of Economic Behavior and Organization 220, no. November 2022 (2024): 433–52. https://doi.org/10.1016/j.jebo.2024.01.012.
Creswell, John W. Research Design: Qualitative, Muantitative, and Mixed Methods Approaches (4th Ed.). Sage Publications, 2014.
Ding, Shusheng, Dandan Zheng, Tianxiang Cui, and Min Du. “The Oil Price-Inflation Nexus: The Exchange Rate Pass- through Effect.” Energy Economics 125, no. January (2023): 106828. https://doi.org/10.1016/j.eneco.2023.106828.
Elva Dona, Habibatul Hidayati, Khairil Aswan, Rusdandi Oktavian, and Irwan Muslim. “Berpengaruhkah Jumlah Uang Beredar, Suku Bunga, Ekspor Dan Impor Terhadap Inflasi Di Indonesia?” Jurnal Ekobistek 11, no. 4 (2022): 355–60. https://doi.org/10.35134/ekobistek.v11i4.411.
Gujarati, Damodar N. Basic Economitrics. McGraw-Hill Companies, 2003.
Husaini, Dzul Hadzwan, and Hooi Hooi Lean. “Asymmetric Impact of Oil Price and Exchange Rate on Disaggregation Price Inflation.” Resources Policy 73, no. December 2020 (2021): 102175. https://doi.org/10.1016/j.resourpol.2021.102175.
Meylani, Bella Clarisa, and Paiman Eko Prasetyo. “The Impact of International Crude Oil Prices on the Monetary Sector in Indonesia.” International Journal of Sustainable Development and Planning 18, no. 6 (2023): 1707–14. https://doi.org/10.18280/ijsdp.180606.
Mufarrikhah, Julla. “Analisis Faktor Yang Mempengaruhi Inflasi Di Indonesia Periode 1988-2019 Dengan Metode Error Correction Model (ECM).” Diponegoro Journal of Economics 10, no. 4 (2024): 308–21. https://doi.org/10.14710/djoe.31660.
Nandi, Biplob Kumar, Md Humayun Kabir, and Mohitosh Kumar Nandi. “Crude Oil Price Hikes and Exchange Rate Volatility: A Lesson from the Bangladesh Economy.” Resources Policy 91, no. January (2024): 104858. https://doi.org/10.1016/j.resourpol.2024.104858.
Nikou, Vasilis. “From Exit to Exposure: Gas Import Shocks and Macroeconomic Asymmetries in the Wake of Europe’s Coal Phaseout.” Energy 335, no. June (2025). https://doi.org/10.1016/j.energy.2025.138254.
Onsardi. “Journal of Economic, Business and Accounting (COSTING).” Journal of Economic, Business and Accounting (COSTING) 2, no. 1 (2018): 1–13.
Putri, Tata Fransiska. “Pengaruh Inflasi terhadap Pertumbuhan Ekonomi di Indonesia Tahun 2022 Hingga 2024.” Jurnal Intelek Insan Cendikia, 1, no. 7 (2024).
Rahmania, Septia Tri, and Ali Anis. “Dampak Guncangan Harga Minyak Dunia Terhadap Dinamika Inflasi Di Indonesia.” Jurnal Kajian Ekonomi Dan Pembangunan 6, no. 1 (2024): 13. https://doi.org/10.24036/jkep.v6i1.15834.
Seddighi, Hamid. Introductory Econometrics. Introductory Econometrics, 2013. https://doi.org/10.4324/9780203157688.
Stock, James H., and Mark W Watson. Intoducción a La Econometría, 2019.
Suparti, Suparti. “Analisis Data Inflasi di Indonesia Menggunakan Model Regresi Spline.” Media Statistika 6, no. 1 (2013): 1–9. https://doi.org/10.14710/medstat.6.1.1-9.
Susanto, Susanto. “Pengaruh Inflasi, Tingkat Suku Bunga, Dan Nilai Tukar Terhadap Pertumbuhan Ekonomi Indonesia.” JEBI | Jurnal Ekonomi Bisnis Indonesia 12, no. 01 (2018): 52–68. https://doi.org/10.36310/jebi.v12i01.27.
Szyszko, Magdalena, and Agata Kliber. “The Asymmetric Impact of Fuel and Oil Prices on Inflation and Inflation Expectations in Emerging Economies.” Energy Economics 147, no. 2020 (2025): 108519. https://doi.org/10.1016/j.eneco.2025.108519.
Widarjono, Agus, Md Mahmudul Alam, Eko Atmadji, Priyonggo Suseno, and Listya Endang Artiani. “The Asymmetric Exchange Rate Pass-Through to Inflation in the Selected Asean Countries.” Buletin Ekonomi Moneter Dan Perbankan/Monetary and Banking Economics Bulletin 26, no. 1 (2023): 105–24. https://doi.org/10.59091/1410-8046.2047.
Yusnita, Fitri, Indah Khairunnisa, and Peny Cahaya Azwari. “Pengaruh Kurs, Emas, Minyak Terhadap Harga Saham Dengan Inflasi Sebagai Variabel Intervening.” Value : Jurnal Manajemen Dan Akuntansi 18, no. 2 (2023): 618–31. https://doi.org/10.32534/jv.v18i2.4107.
Downloads
Published
Issue
Section
License
Copyright (c) 2026 Sabilillah Rizka, Aminudin Ma’ruf, Ladi Wajuba Perdini Fisabilillah (Author)
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
This work is licensed under the Creative Commons Attribution-ShareAlike 4.0 International License.
You are free to:
- Share — copy and redistribute the material in any medium or format for any purpose, even commercial purposes.
- Adaptation — mixing, changing, and developing materials for any purpose, even commercial ones.
Under the following terms:
- Attribution — You must give appropriate credit , provide a link to the license, and indicate if changes were made . You may do so in any reasonable manner, but not in any way that suggests the licensor endorses you or your use.
- ShareAlike — If you remix, transform, or build upon the material, you must distribute your contributions under the same license as the original.
- No additional restrictions — You may not apply legal terms or technological measures that legally restrict others from doing anything the license permits.
