Analisis Hubungan Volatilitas Harga Crude Palm Oil, Volume Ekspor dan Nilai Tukar Indonesia

Muhammad Abdur  Rokhim

doi:10.33005/jdep.v5i2.409

Authors

Muhammad Abdur Rokhim Fakultas Ekonomi, Universitas Tidar

DOI:

https://doi.org/10.33005/jdep.v5i2.409

Keywords:

CPO Volatility, CPO export volume, exchange rate, GARCH model, long-term cointegration

Abstract

Changes in supply and demand can result in variations in the price movement of Crude Palm
Oil (CPO) as Indonesia's main export commodity where the price is influenced by domestik
prices which tend to fluctuate, resulting in high levels of volatility in certain periods. For this
reason, the government is trying to increase CPO production by implementing mandatory
biodiesel regulations, namely B30 in 2019. This means that diesel fuel must have at least 20%
biofuel content. In addition, the application of a free tariff barrier policy so that CPO producers are encouraged to export. This study aims to analyze the cointegration of export volume and exchange rate on the volatility of CPO prices in the long term. Domestik CPO prices from January 2012 to December 2017 were analyzed by Long Run Regression with the adoption of the GARCH element of the CPO's times sries volatility method through Cointegration Test. The result of this research is that the domestik CPO price has a very high level of volatility. In addition, export volume and exchange rate have a negative cointegration with CPO in the long run.