Tingkat Mobilitas Kapital: Sebuah Studi Empirik di Indonesia

One of central issues in earlier 1980s is about international capital mobility, especially since Feldstein and Horioka (1980) approach in the empirical framework. The Feldstein and Horioka measured international capital mobility from coefficient of gross domestic product of domestic saving values over its investment. In the further development, several international economist disagreed with Feldstein and Horioka (1980) approach. Sachs’s (1981; 1983), Proposed the measurement of international capital mobility from the share of gross domestic product of domestic invesment value (and domestic saving value) over total current account in gross domestic product. The objective of this paper: (1) describe capital mobility based on Feldstein and Horioka (1980) and Jeffrey D. Sachs’s approach and (2) employe Jeffrey D. Sachs’s for evidence about capital mobility in Indonesia for the period of 1970-1998. Tools of analysis in this paper are cointegration test, Engle-Granger Error Correction Model (EG-ECM) and Forward Looking Model Error Correction Model with Rational Expectation (F-ECM). The empirical results with using EG-ECM and F-ECM shows that Sachs’s approach proved useful to identify the degree of capital mobility in Indonesia over 1970-1998. The empirical result of EG-ECM and F-ECM for Sachs first approach fail to identify degree of capital mobility in Indonesia. However, using second approach the empirical result of EG-ECM and F-ECM shows that in the short-run capital mobility in Indonesia is hearly perfect—from Indonesia to foreign, but in the long-run is imperfect capital mobility. Morever, using JM test, it indicates that EG-ECM is superior than F-ECM for explaining capital mobility in Indonesia.