THE EFFECT OF BI RATE, EXCHANGE RATE, AND WORLD OIL PRICES ON GREEN INVESTMENT IN INDONESIA
Published:
2026-06-30Downloads
Abstract
This study examines how monetary policy and external shocks influence green investment in Indonesia, proxied by the SRI-KEHATI Index. Drawing on the perspective of asset pricing theory, macroeconomic variables are treated as systematic factors affecting sustainable stock performance. Using monthly data from 2007-2024 and an ARDL approach, the results reveal distinct short-run and long-run dynamics. In the short run, higher interest rates and exchange rate depreciation significantly reduce green investment, while global oil prices initially exert a positive influence before turning negative in subsequent periods. In the long run, exchange rates and global oil prices have a positive and significant effect on green investment, whereas interest rates are not statistically significant. These findings indicate that green investment is more responsive to external factors than domestic monetary policy over longer horizons. This study contributes to the limited empirical evidence on green finance in emerging markets by jointly examining monetary and external determinants within a unified framework. The results highlight the importance of exchange rate stability and energy transition strategies in supporting the development of sustainable financial markets in Indonesia.
Keywords:
BI Rate Exchange Rate World Oil Price SRI-KEHATI Index Green Investment.References
Aguila, N., & Wullweber, J. (2024). Greener and cheaper: green monetary policy in the era of inflation and high interest rates. Eurasian Economic Review, 14(1), 39–60. https://doi.org/10.1007/s40822-024-00266-y
Al-Najjar, B., & Anfimiadou, A. (2012). Environmental policies and firm value. Business Strategy and the Environment, 21(1), 49–59. https://doi.org/10.1002/bse.713
Allegret, J. P., Mignon, V., & Sallenave, A. (2015). Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies. Economic Modelling, 49, 232–247. https://doi.org/10.1016/j.econmod.2015.04.009
Bahmani-oskooee, M., & Saha, S. (2016). Do exchange rate changes have symmetric or asymmetric effects on stock prices ? ☆. Global Finance Journal. https://doi.org/10.1016/j.gfj.2016.06.005
Belcaid, K. (2024). Morocco’s green shield: ESG stock performance under global climate, economic, geopolitical and oil uncertainties. Sustainable Futures, 8(March), 100250. https://doi.org/10.1016/j.sftr.2024.100250
Bodie, Zvi; Kane, Alex; Marcus, A. J. (2014). Investments (10th Editi). McGraw-Hill Education.
Bondia, R., Ghosh, S., & Kanjilal, K. (2016). International crude oil prices and the stock prices of clean energy and technology companies: Evidence from non-linear cointegration tests with unknown structural breaks. Energy, 101, 558–565. https://doi.org/10.1016/j.energy.2016.02.031
Darsono, S. N. A. C., Wong, W. K., Nguyen, T. T. H., & Wardani, D. T. K. (2022). The Economic Policy Uncertainty and Its Effect on Sustainable Investment: A Panel ARDL Approach. Journal of Risk and Financial Management, 15(6). https://doi.org/10.3390/jrfm15060254
Dawood, A. S. M., Akkad, M., Samir, N., Hussein, M., Ibrahim, A., & Mohamed, B. (2021). The Impact of Macroeconomic Variables on Stock Price Change Percentage for the ESG Listed Companies in Egypt. International Journal of Science and Management Studies (IJSMS), 4(6), 171–187. https://doi.org/10.51386/25815946/ijsms-v4i6p117
Dutta, A., Jana, R. K., & Das, D. (2020). Do green investments react to oil price shocks? Implications for sustainable development. Journal of Cleaner Production, 266. https://doi.org/10.1016/j.jclepro.2020.121956
Escrig-Olmedo, E., Rivera-Lirio, J. M., Muñoz-Torres, M. J., & Fernández-Izquierdo, M. Á. (2017). Integrating multiple ESG investors’ preferences into sustainable investment: A fuzzy multicriteria methodological approach. Journal of Cleaner Production, 162, 1334–1345. https://doi.org/10.1016/j.jclepro.2017.06.143
Eyraud, L., Clements, B., & Wane, A. (2013). Green investment: Trends and determinants. Energy Policy, 60, 852–865. https://doi.org/10.1016/j.enpol.2013.04.039
Fama, E. (1970). Efficient Capital Markets: A Review Of Theory And Empirical Work. The Journal of Finance, 25(2), 28–30. https://doi.org/https://doi.org/10.2307/2325486
Gujarati, D. N., & Porter, D. C. (2013). Dasar-dasar Ekonometrika. In Basic Econometrics (pp. 235-255). Jakarta: Salemba Empat.
Hermawan, T. W., & Purwohandoko, P. (2020). Analisis Pengaruh Inflasi, Nilai Tukar Rupiah, BI Rate, Jumlah Uang Beredar, dan Indeks Shanghai Stock Exchange terhadap Indeks Sri Kehati di Bursa Efek Indonesia Periode 2014-2019. Jurnal Ilmu Manajemen, 8(4), 1338. https://doi.org/10.26740/jim.v8n4.p1338-1352
Huang, L., & Lei, Z. (2021). How environmental regulation affect corporate green investment: Evidence from China. Journal of Cleaner Production, 279, 123560. https://doi.org/10.1016/j.jclepro.2020.123560
Inderst, G., Kaminker, C., & Stewart, F. (2012). Defining and Measuring Green Investments. Investors ' ASSET ALLOCATIONS. OECD Working Papers on Finance, Insurance and Private Pensions, 24, 2012.
Inderst, G., Kaminker, C., & Stewart, F. (2016). Defining and Measuring Green Investments. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2742085
Journeault, M., De Rongé, Y., & Henri, J. F. (2016). Levers of eco-control and competitive environmental strategy. British Accounting Review, 48(3), 316–340. https://doi.org/10.1016/j.bar.2016.06.001
Kaur, J., & Chaudhary, R. (2022). Relationship between macroeconomic variables and sustainable stock market index: an empirical analysis. Journal of Sustainable Finance & Investment, 1–18. https://doi.org/10.1080/20430795.2022.2073957
Kilian, L. (2008). Exogenous oil supply shocks: How big are they and how much do they matter for the U.S. economy? Review of Economics and Statistics, 90(2), 216–240. https://doi.org/10.1162/rest.90.2.216
Kripfganz, S., & Schneider, D. C. (2023). ardl : Estimating autoregressive distributed lag and equilibrium correction models. The Stata Journal, 23(4), 983–1019. https://doi.org/10.1177/1536867X231212434
Kumajas, L. I., Saerang, I. S., Gamaliel, H., & Maramis, J. B. (2024). Impact of FED Rate and Energy Commodity Price on ASEAN Sustainable Stock Returns. International Journal of Sustainable Development and Planning, 19(3), 1151–1161. https://doi.org/10.18280/ijsdp.190333
Mankiw, N. G. (2016). Macroeconomics. In Worth Publishers (9th ed., Vol. 9, Issue 1). Worth Publishers 41.
Martin, P. R., & Moser, D. V. (2016). Managers’ green investment disclosures and investors’ reaction. Journal of Accounting and Economics, 61(1), 239–254. https://doi.org/10.1016/j.jacceco.2015.08.004
Narayan, P. K., Garg, B., Gunadi, I., & Rishanty, A. (2024a). How are green stocks and monetary policy related? Pacific Basin Finance Journal, 87. https://doi.org/10.1016/j.pacfin.2024.102516
Narayan, P. K., Garg, B., Gunadi, I., & Rishanty, A. (2024b). How are green stocks and monetary policy related? Pacific Basin Finance Journal, 87(June), 102516. https://doi.org/10.1016/j.pacfin.2024.102516
Ojk.go.id. (2019). Roadmap Keuangan Berkelanjutan di Indonesia-Roadmap For Sustainable Finance In Indonesia. Otoritas Jasa Keuangan, 1–37.
Pastor, Lubos and Stambaugh, Robert F. and Taylor, Lucian A., Dissecting Green Returns (June 10, 2022). Fama-Miller Center Working Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper, Available at SSRN: https://ssrn.com/abstract=3864502 or http://dx.doi.org/10.2139/ssrn.3864502
Permana, Y., & Sularto, L. (2008). Analisis Pengaruh Fundamental Keuangan, Tingkat Bunga SBI dan Tingkat Inflasi Terhadap Pergerakan Harga Saham Pada Perusahaan Semen yang Terdaftar di BEI. Jurnal Ekonomi Bisnis, 13(2), 103–111.
Prasetyo, A. D., & Adinugraha, H. H. (2023). Kebijakan Moneter Dan Keuangan Berkelanjutan Pengaruh Terhadap Investasi Hijau. In Jurnal Perbankan Syariah dan Ekonomi Islam (Vol. 1, Issue 2).
Ross, S. A. (1976). The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory, 3, 341–360. https://doi.org/doi.org/10.1016/0022-0531(76)90046-6
Sakuntala, D., Majid, M. S. A., Aliasuddin, & Suriani, S. (2022). Causality between Green Stock Market with Monetary Policy, Global Uncertainty, and Environmental Damage in Indonesia. International Journal of Energy Economics and Policy, 12(6), 215–223. https://doi.org/10.32479/ijeep.13348
Sill, K. (2007). The Macroeconomics of Oil Shocks. Business Review, Q1, 21–31. www.philadelphiafed.org
Utama, O. Y., & Puryandani, S. (2020). The Effect of BI Rate, USD to IDR Exchange Rates, and Gold Price on Stock Returns Listed in the SRI KEHATI Index. Jurnal Dinamika Manajemen, 11(1), 39–47. https://doi.org/10.15294/jdm.v11i1.21207
License
Copyright (c) 2026 Yulia Risma, Weri, Miksalmina, Talbani Farlian, Cut Zakia Rizki, Fakhruddin
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
