Transaksi E-Money di Indonesia Tahun 2009 - 2018
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LAMPIRAN
(Milliar Rupiah) Inflasi Kurs
Jan-09 528.057 21.658 1.874.145 0,0917 11.167,21
Apr-11 612.200 59.243 2.434.478 0,0616 8.651,30
Nov-12 1.094.173 243.796 3.207.908 0,0432 9.627,95
Des-12 1.526.284 246.116 3.307.508 0,043 9.645,89
Jan-13 1.958.395 168.394 3.268.789 0,0457 9.687,33 Feb-13 1.984.535 165.335 3.280.420 0,0531 9.686,65
Mar-13 2.010.675 252.791 3.322.529 0,059 9.709,42
Apr-13 2.036.816 219.757 3.360.928 0,0557 9.724,05 Mei-13 2.059.076 214.515 3.426.305 0,0547 9.760,91
Jun-13 2.081.337 250.006 3.413.379 0,059 9.881,53
Jul-13 2.103.598 387.171 3.506.574 0,0861 10.073,39 Agu-13 2.088.294 279.902 3.502.420 0,0879 10.572,50
Sep-13 2.072.990 231.602 3.584.081 0,084 11.346,24
Okt-13 2.057.687 245.149 3.576.869 0,0832 11.366,90 Nov-13 2.057.986 244.577 3.616.049 0,0837 11.613,10 Des-13 2.058.285 248.233 3.730.409 0,0838 12.087,10 Jan-14 2.058.584 239.691 3.652.349 0,0822 12.179,65
Feb-14 2.084.851 212.101 3.635.060 0,0775 11.935,10 Mar-14 2.111.118 297.160 3.652.531 0,0732 11.427,05 Apr-14 2.137.385 231.800 3.721.882 0,0725 11.435,75 Mei-14 2.160.704 270.601 3.780.955 0,0732 11.525,94 Jun-14 2.184.023 331.492 3.857.962 0,067 11.892,62 Jul-14 2.207.343 361.063 3.887.407 0,0453 11.689,06 Agu-14 2.192.079 274.586 3.886.520 0,0399 11.706,67 Sep-14 2.176.815 305.574 4.010.147 0,0453 11.890,77 Okt-14 2.161.552 239.473 4.024.489 0,0483 12.144,87 Nov-14 2.160.381 274.630 4.076.670 0,0623 12.158,30 Des-14 2.159.210 281.383 4.173.327 0,0836 12.438,29 Jan-15 2.158.040 253.373 4.174.826 0,0696 12.579,10 Feb-15 2.184.928 246.223 4.218.123 0,0629 12.749,84 Mar-15 2.211.816 339.241 4.246.361 0,0638 13.066,82 Apr-15 2.238.704 294.805 4.275.711 0,0679 12.947,76 Mei-15 2.263.417 478.024 4.288.369 0,0715 13.140,53 Jun-15 2.288.130 663.652 4.358.802 0,0726 13.313,24 Jul-15 2.312.843 665.753 4.373.208 0,0726 13.374,79 Agu-15 2.299.538 527.866 4.404.085 0,0718 13.781,75 Sep-15 2.286.233 471.545 4.508.603 0,0683 14.396,10 Okt-15 2.272.929 450.389 4.443.078 0,0625 13.795,86 Nov-15 2.270.193 461.044 4.452.325 0,0489 13.672,57 Des-15 2.267.457 431.102 4.548.800 0,0335 13.854,60 Jan-16 2.264.721 387.404 4.498.361 0,0414 13.889,05 Feb-16 2.294.962 519.364 4.521.951 0,0442 13.515,70 Mar-16 2.325.203 492.166 4.561.873 0,0445 13.193,14 Apr-16 2.355.445 515.232 4.581.878 0,036 13.179,86 Mei-16 2.380.050 587.052 4.614.062 0,0333 13.419,65 Jun-16 2.404.655 673.151 4.737.451 0,0345 13.355,05 Jul-16 2.429.260 561.862 4.730.380 0,0321 13.118,82 Agu-16 2.414.568 616.484 4.746.027 0,0279 13.165,00 Sep-16 2.399.877 544.916 4.737.631 0,0307 13.118,24 Okt-16 2.385.186 584.319 4.778.479 0,0331 13.017,24
Des-16 2.380.460 749.766 5.004.977 0,0302 13.417,67 Jan-17 2.378.097 665.791 4.936.882 0,0349 13.358,71 Feb-17 2.409.875 812.282 4.942.920 0,0383 13.340,84 Mar-17 2.441.654 746.397 5.017.644 0,0361 13.345,50 Apr-17 2.473.433 633.561 5.033.780 0,0417 13.306,39 Mei-17 2.499.722 879.108 5.126.370 0,0433 13.323,35 Jun-17 2.526.011 1.019.650 5.225.166 0,0437 13.298,25 Jul-17 2.552.301 1.141.504 5.178.079 0,0388 13.342,10 Agu-17 2.537.824 790.699 5.219.648 0,0382 13.341,82 Sep-17 2.523.347 817.366 5.254.139 0,0372 13.303,47 Okt-17 2.508.871 1.264.462 5.284.320 0,0358 13.526,00 Nov-17 2.505.410 1.647.358 5.321.432 0,033 13.527,36 Des-17 2.501.949 1.957.290 5.419.165 0,0361 13.556,21 Jan-18 2.498.488 3.491.803 5.351.685 0,0325 13.380,36 Feb-18 2.533.574 3.360.791 5.351.650 0,0318 13.590,05 Mar-18 2.568.661 3.458.627 5.395.826 0,034 13.758,29 Apr-18 2.603.748 3.352.894 5.409.089 0,0341 13.802,95 Mei-18 2.630.560 3.534.569 5.435.083 0,0323 14.059,70 Jun-18 2.657.372 3.469.727 5.534.150 0,0312 14.036,14 Jul-18 2.684.185 3.582.677 5.507.792 0,0318 14.414,50 Agu-18 2.669.088 3.899.474 5.529.452 0,032 14.559,86 Sep-18 2.653.991 3.517.835 5.606.780 0,0288 14.868,74 Okt-18 2.638.894 4.448.574 5.667.512 0,0316 15.178,87 Nov-18 2.634.280 5.195.495 5.670.975 0,0323 14.696,86 Des-18 2.629.666 5.886.152 5.760.046 0,0313 14.496,95
Lampiran 2
Hasil Uji Akar Unit (Unit Roots Test) Menggunakan Augmented Dickey-Fuller test
Tingkat Level
Product Domestic Bruto (PDB)
Null Hypothesis: PDB has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=14)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.252092 0.6499 Test critical values: 1% level -3.486551
5% level -2.886074
10% level -2.579931
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(PDB)
Method: Least Squares Date: 04/16/20 Time: 11:23 Sample (adjusted): 3 120
Included observations: 118 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
PDB(-1) -0.008567 0.006842 -1.252092 0.2131 D(PDB(-1)) 0.571322 0.076019 7.515470 0.0000
C 0.126783 0.096774 1.310098 0.1928
R-squared 0.335759 Mean dependent var 0.013538 Adjusted R-squared 0.324207 S.D. dependent var 0.059383 S.E. of regression 0.048817 Akaike info criterion -3.176383 Sum squared resid 0.274056 Schwarz criterion -3.105942 Log likelihood 190.4066 Hannan-Quinn criter. -3.147781 F-statistic 29.06500 Durbin-Watson stat 1.910623 Prob(F-statistic) 0.000000
E-money
Null Hypothesis: EM has a unit root Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=14)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 0.461948 0.9847 Test critical values: 1% level -3.487046
5% level -2.886290
10% level -2.580046
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(EM)
Method: Least Squares Date: 04/16/20 Time: 11:26 Sample (adjusted): 4 120
Included observations: 117 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
EM(-1) 0.006595 0.014277 0.461948 0.6450
D(EM(-1)) -0.159981 0.091086 -1.756381 0.0817 D(EM(-2)) -0.275386 0.090856 -3.031010 0.0030
C -0.017353 0.178462 -0.097235 0.9227
R-squared 0.088942 Mean dependent var 0.045185 Adjusted R-squared 0.064755 S.D. dependent var 0.202364 S.E. of regression 0.195702 Akaike info criterion -0.390856 Sum squared resid 4.327825 Schwarz criterion -0.296422 Log likelihood 26.86506 Hannan-Quinn criter. -0.352517 F-statistic 3.677210 Durbin-Watson stat 2.007068 Prob(F-statistic) 0.014281
Jumlah Uang Beredar
Null Hypothesis: JUB has a unit root Exogenous: Constant
Lag Length: 12 (Automatic - based on SIC, maxlag=14)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.734899 0.0715 Test critical values: 1% level -3.492523
5% level -2.888669
Included observations: 107 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
JUB(-1) -0.010448 0.003820 -2.734899 0.0075 D(JUB(-1)) -0.094102 0.081421 -1.155740 0.2507 D(JUB(-2)) -0.092980 0.081099 -1.146493 0.2545 D(JUB(-3)) -0.102885 0.081320 -1.265183 0.2090 D(JUB(-4)) -0.056998 0.081702 -0.697640 0.4871 D(JUB(-5)) 0.011604 0.080473 0.144203 0.8857 D(JUB(-6)) 0.041028 0.080528 0.509494 0.6116 D(JUB(-7)) 0.007628 0.079470 0.095991 0.9237 D(JUB(-8)) -0.184421 0.079473 -2.320558 0.0225 D(JUB(-9)) 0.029667 0.079997 0.370849 0.7116 D(JUB(-10)) -0.126127 0.079905 -1.578456 0.1179 D(JUB(-11)) -0.117222 0.079726 -1.470310 0.1449 D(JUB(-12)) 0.488708 0.080386 6.079531 0.0000
C 0.169219 0.060351 2.803917 0.0061
R-squared 0.565904 Mean dependent var 0.009547 Adjusted R-squared 0.505223 S.D. dependent var 0.012842 S.E. of regression 0.009033 Akaike info criterion -6.454349 Sum squared resid 0.007589 Schwarz criterion -6.104633 Log likelihood 359.3077 Hannan-Quinn criter. -6.312578 F-statistic 9.326009 Durbin-Watson stat 2.039190 Prob(F-statistic) 0.000000
Inflasi
Null Hypothesis: INF has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=14)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.298667 0.0171 Test critical values: 1% level -3.486551
5% level -2.886074
10% level -2.579931
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INF)
Method: Least Squares Date: 04/16/20 Time: 11:27 Sample (adjusted): 3 120
Included observations: 118 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
INF(-1) -0.103810 0.031470 -3.298667 0.0013 D(INF(-1)) 0.390600 0.083861 4.657727 0.0000
C 0.490156 0.166230 2.948670 0.0039
R-squared 0.201321 Mean dependent var -0.046356 Adjusted R-squared 0.187431 S.D. dependent var 0.647574 S.E. of regression 0.583740 Akaike info criterion 1.786371 Sum squared resid 39.18647 Schwarz criterion 1.856813 Log likelihood -102.3959 Hannan-Quinn criter. 1.814973 F-statistic 14.49392 Durbin-Watson stat 1.880769 Prob(F-statistic) 0.000002
Kurs
Null Hypothesis: KURS has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -0.298571 0.9206 Test critical values: 1% level -3.486551
5% level -2.886074
10% level -2.579931
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS)
Method: Least Squares Date: 04/27/20 Time: 14:43 Sample (adjusted): 3 120
Included observations: 118 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
KURS(-1) -0.002846 0.009530 -0.298571 0.7658 D(KURS(-1)) 0.334353 0.085527 3.909302 0.0002
C 0.027466 0.088870 0.309060 0.7578
R-squared 0.117779 Mean dependent var 0.001707 Adjusted R-squared 0.102436 S.D. dependent var 0.019242 S.E. of regression 0.018230 Akaike info criterion -5.146383 Sum squared resid 0.038219 Schwarz criterion -5.075942 Log likelihood 306.6366 Hannan-Quinn criter. -5.117782 F-statistic 7.676446 Durbin-Watson stat 1.835327 Prob(F-statistic) 0.000742
Tingkat First Difference
Product Domestic Bruto (PDB)
Null Hypothesis: D(PDB) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=14)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.620124 0.0000 Test critical values: 1% level -3.486551
5% level -2.886074
10% level -2.579931
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(PDB,2)
Method: Least Squares Date: 04/16/20 Time: 11:29 Sample (adjusted): 3 120
Included observations: 118 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(PDB(-1)) -0.428279 0.076205 -5.620124 0.0000
C 0.005751 0.004623 1.244034 0.2160
R-squared 0.214016 Mean dependent var -8.20E-05 Adjusted R-squared 0.207241 S.D. dependent var 0.054962 S.E. of regression 0.048936 Akaike info criterion -3.179791 Sum squared resid 0.277792 Schwarz criterion -3.132831 Log likelihood 189.6077 Hannan-Quinn criter. -3.160724 F-statistic 31.58579 Durbin-Watson stat 1.902670 Prob(F-statistic) 0.000000
E-money
Null Hypothesis: D(EM) has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=14)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -10.57948 0.0000 Test critical values: 1% level -3.487046
5% level -2.886290
10% level -2.580046
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(EM,2)
Method: Least Squares Date: 04/16/20 Time: 11:30 Sample (adjusted): 4 120
Included observations: 117 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(EM(-1)) -1.424603 0.134657 -10.57948 0.0000 D(EM(-1),2) 0.270604 0.089953 3.008295 0.0032
C 0.064613 0.019058 3.390352 0.0010
R-squared 0.594421 Mean dependent var -0.000997 Adjusted R-squared 0.587306 S.D. dependent var 0.303583 S.E. of regression 0.195026 Akaike info criterion -0.406063 Sum squared resid 4.335998 Schwarz criterion -0.335238 Log likelihood 26.75469 Hannan-Quinn criter. -0.377309 F-statistic 83.53990 Durbin-Watson stat 2.002089 Prob(F-statistic) 0.000000
Jumlah Uang Beredar
Null Hypothesis: D(JUB) has a unit root Exogenous: Constant
Lag Length: 11 (Automatic - based on SIC, maxlag=14)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.478317 0.5409 Test critical values: 1% level -3.492523
5% level -2.888669
Included observations: 107 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(JUB(-1)) -0.482233 0.326204 -1.478317 0.1427 D(JUB(-1),2) -0.561244 0.308861 -1.817137 0.0724 D(JUB(-2),2) -0.592988 0.295101 -2.009439 0.0474 D(JUB(-3),2) -0.628649 0.284952 -2.206160 0.0298 D(JUB(-4),2) -0.612302 0.271856 -2.252303 0.0266 D(JUB(-5),2) -0.530716 0.262740 -2.019931 0.0462 D(JUB(-6),2) -0.420933 0.249252 -1.688786 0.0946 D(JUB(-7),2) -0.352268 0.226684 -1.554004 0.1235 D(JUB(-8),2) -0.478485 0.197579 -2.421742 0.0174 D(JUB(-9),2) -0.390087 0.165572 -2.355991 0.0206 D(JUB(-10),2) -0.466144 0.126765 -3.677241 0.0004 D(JUB(-11),2) -0.535868 0.081176 -6.601353 0.0000
C 0.004389 0.003247 1.351783 0.1797
R-squared 0.808794 Mean dependent var 0.000445 Adjusted R-squared 0.784385 S.D. dependent var 0.020113 S.E. of regression 0.009339 Akaike info criterion -6.395684 Sum squared resid 0.008199 Schwarz criterion -6.070948 Log likelihood 355.1691 Hannan-Quinn criter. -6.264040 F-statistic 33.13473 Durbin-Watson stat 2.002293 Prob(F-statistic) 0.000000
Inflasi
Null Hypothesis: D(INF) has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -7.546292 0.0000 Test critical values: 1% level -3.487046
5% level -2.886290
10% level -2.580046
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INF,2)
Method: Least Squares Date: 04/30/20 Time: 12:32 Sample (adjusted): 4 120
Included observations: 117 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(INF(-1)) -0.782905 0.103747 -7.546292 0.0000 D(INF(-1),2) 0.204489 0.091211 2.241933 0.0269
C -0.032095 0.055597 -0.577274 0.5649
R-squared 0.356035 Mean dependent var 0.004957 Adjusted R-squared 0.344737 S.D. dependent var 0.739825 S.E. of regression 0.598876 Akaike info criterion 1.837781 Sum squared resid 40.88634 Schwarz criterion 1.908606 Log likelihood -104.5102 Hannan-Quinn criter. 1.866535 F-statistic 31.51409 Durbin-Watson stat 1.972050 Prob(F-statistic) 0.000000
Kurs
Null Hypothesis: D(KURS) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -7.938726 0.0000 Test critical values: 1% level -3.486551
5% level -2.886074
10% level -2.579931
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS,2) Method: Least Squares
Date: 04/27/20 Time: 14:44 Sample (adjusted): 3 120
Included observations: 118 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(KURS(-1)) -0.669311 0.084310 -7.938726 0.0000
C 0.000937 0.001683 0.556654 0.5788
R-squared 0.352040 Mean dependent var -0.000621 Adjusted R-squared 0.346454 S.D. dependent var 0.022462 S.E. of regression 0.018158 Akaike info criterion -5.162558 Sum squared resid 0.038249 Schwarz criterion -5.115597 Log likelihood 306.5909 Hannan-Quinn criter. -5.143490 F-statistic 63.02337 Durbin-Watson stat 1.833291 Prob(F-statistic) 0.000000
Tingkat Second Difference
Product Domestic Bruto (PDB)
Null Hypothesis: D(LOGPDB,2) has a unit root Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -9.613309 0.0000 Test critical values: 1% level -3.488063
5% level -2.886732
10% level -2.580281
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(LOGPDB,3) Method: Least Squares
Date: 06/11/20 Time: 16:25 Sample (adjusted): 6 120
Included observations: 115 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(LOGPDB(-1),2) -1.623878 0.168920 -9.613309 0.0000 D(LOGPDB(-1),3) 0.461291 0.134159 3.438386 0.0008 D(LOGPDB(-2),3) 0.375394 0.087973 4.267156 0.0000
C -0.000195 0.004822 -0.040434 0.9678
R-squared 0.634123 Mean dependent var -4.37E-05 Adjusted R-squared 0.624234 S.D. dependent var 0.084349 S.E. of regression 0.051706 Akaike info criterion -3.052333 Sum squared resid 0.296757 Schwarz criterion -2.956857 Log likelihood 179.5092 Hannan-Quinn criter. -3.013580 F-statistic 64.12689 Durbin-Watson stat 2.095795 Prob(F-statistic) 0.000000
E-money
Null Hypothesis: D(LOGEM,2) has a unit root Exogenous: Constant
Lag Length: 10 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -7.745689 0.0000 Test critical values: 1% level -3.492523
5% level -2.888669
Included observations: 107 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(LOGEM(-1),2) -10.01616 1.293127 -7.745689 0.0000 D(LOGEM(-1),3) 8.009793 1.248657 6.414728 0.0000 D(LOGEM(-2),3) 6.900929 1.177688 5.859726 0.0000 D(LOGEM(-3),3) 5.890173 1.073615 5.486298 0.0000 D(LOGEM(-4),3) 4.970401 0.941649 5.278403 0.0000 D(LOGEM(-5),3) 3.978909 0.801510 4.964269 0.0000 D(LOGEM(-6),3) 3.142700 0.644919 4.873016 0.0000 D(LOGEM(-7),3) 2.308410 0.495107 4.662445 0.0000 D(LOGEM(-8),3) 1.662605 0.342951 4.847935 0.0000 D(LOGEM(-9),3) 1.038457 0.203006 5.115408 0.0000 D(LOGEM(-10),3) 0.414961 0.095417 4.348922 0.0000
C 0.000917 0.018094 0.050665 0.9597
R-squared 0.881900 Mean dependent var 0.001990 Adjusted R-squared 0.868225 S.D. dependent var 0.515053 S.E. of regression 0.186968 Akaike info criterion -0.410407 Sum squared resid 3.320933 Schwarz criterion -0.110651 Log likelihood 33.95678 Hannan-Quinn criter. -0.288890 F-statistic 64.49113 Durbin-Watson stat 2.130697 Prob(F-statistic) 0.000000
Jumlah Uang Beredar
Null Hypothesis: D(LOGJUB,2) has a unit root Exogenous: Constant
Lag Length: 10 (Automatic - based on SIC, maxlag=11)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -7.840927 0.0000 Test critical values: 1% level -3.492523
5% level -2.888669
Included observations: 107 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(LOGJUB(-1),2) -9.266756 1.181845 -7.840927 0.0000 D(LOGJUB(-1),3) 7.263514 1.151741 6.306553 0.0000 D(LOGJUB(-2),3) 6.268535 1.091219 5.744523 0.0000 D(LOGJUB(-3),3) 5.275695 1.000109 5.275118 0.0000 D(LOGJUB(-4),3) 4.340830 0.888302 4.886660 0.0000 D(LOGJUB(-5),3) 3.524905 0.751807 4.688578 0.0000 D(LOGJUB(-6),3) 2.856447 0.598248 4.774691 0.0000 D(LOGJUB(-7),3) 2.295402 0.445375 5.153859 0.0000 D(LOGJUB(-8),3) 1.647338 0.304714 5.406171 0.0000 D(LOGJUB(-9),3) 1.130770 0.177950 6.354413 0.0000 D(LOGJUB(-10),3) 0.579195 0.076189 7.602095 0.0000
C -0.000221 0.000910 -0.242854 0.8086
R-squared 0.938622 Mean dependent var 0.000791 Adjusted R-squared 0.931516 S.D. dependent var 0.035906 S.E. of regression 0.009396 Akaike info criterion -6.391627 Sum squared resid 0.008388 Schwarz criterion -6.091871 Log likelihood 353.9521 Hannan-Quinn criter. -6.270110 F-statistic 132.0725 Durbin-Watson stat 2.034922 Prob(F-statistic) 0.000000
Inflasi
Null Hypothesis: D(INF,2) has a unit root Exogenous: Constant
Lag Length: 4 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -8.363381 0.0000 Test critical values: 1% level -3.489117
5% level -2.887190
10% level -2.580525
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INF,3)
Method: Least Squares Date: 06/11/20 Time: 16:27 Sample (adjusted): 8 120
Included observations: 113 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(INF(-1),2) -2.993417 0.357919 -8.363381 0.0000 D(INF(-1),3) 1.535360 0.302595 5.073969 0.0000 D(INF(-2),3) 0.928160 0.236349 3.927078 0.0002 D(INF(-3),3) 0.484720 0.158960 3.049316 0.0029 D(INF(-4),3) 0.193399 0.092400 2.093055 0.0387
C 0.000298 0.000590 0.504027 0.6153
R-squared 0.706624 Mean dependent var -0.000143 Adjusted R-squared 0.692914 S.D. dependent var 0.011303 S.E. of regression 0.006264 Akaike info criterion -7.256457 Sum squared resid 0.004198 Schwarz criterion -7.111640 Log likelihood 415.9898 Hannan-Quinn criter. -7.197691 F-statistic 51.54384 Durbin-Watson stat 2.032225 Prob(F-statistic) 0.000000
Kurs
Null Hypothesis: D(LOGKURS,2) has a unit root Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=12)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -11.17961 0.0000 Test critical values: 1% level -3.488063
5% level -2.886732
10% level -2.580281
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(LOGKURS,3) Method: Least Squares
Date: 06/11/20 Time: 16:28 Sample (adjusted): 6 120
Included observations: 115 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(LOGKURS(-1),2) -2.216650 0.198276 -11.17961 0.0000 D(LOGKURS(-1),3) 0.686723 0.138608 4.954434 0.0000 D(LOGKURS(-2),3) 0.206133 0.083329 2.473722 0.0149
C 0.000596 0.001662 0.358851 0.7204
R-squared 0.732345 Mean dependent var 4.81E-05 Adjusted R-squared 0.725111 S.D. dependent var 0.033987 S.E. of regression 0.017820 Akaike info criterion -5.182881 Sum squared resid 0.035246 Schwarz criterion -5.087405 Log likelihood 302.0156 Hannan-Quinn criter. -5.144127 F-statistic 101.2379 Durbin-Watson stat 2.101781 Prob(F-statistic) 0.000000
Lampiran 3
Uji Stabilitas Model VAR
Roots of Characteristic Polynomial Endogenous variables: LOGPDB LOGEM LOGJUB INF LOGKURS
Exogenous variables: C Lag specification: 1 2 Date: 06/11/20 Time: 16:35
Root Modulus
0.985324 0.985324
0.972194 0.972194
0.912232 0.912232
0.725926 0.725926
0.705528 - 0.143337i 0.719942 0.705528 + 0.143337i 0.719942 0.362022 - 0.041249i 0.364364 0.362022 + 0.041249i 0.364364
-0.284623 0.284623
-0.110872 0.110872
No root lies outside the unit circle.
VAR satisfies the stability condition.
Lampiran 4
Uji Panjang Lag (Lag Length Criteria)
VAR Lag Order Selection Criteria
Endogenous variables: LOGPDB LOGEM LOGJUB INF LOGKURS
Exogenous variables: C Date: 06/11/20 Time: 16:33 Sample: 1 120
Included observations: 112
Lag LogL LR FPE AIC SC HQ
0 382.6501 NA 8.11e-10 -6.743751 -6.622389 -6.694511 1 1251.695 1644.978 2.31e-16 -21.81598 -21.08781* -21.52054 2 1295.140 78.35580 1.66e-16* -22.14535* -20.81038 -21.60371*
3 1319.523 41.79947 1.69e-16 -22.13433 -20.19255 -21.34649 4 1336.926 28.27970 1.97e-16 -21.99867 -19.45008 -20.96463 5 1362.929 39.93366* 1.97e-16 -22.01659 -18.86119 -20.73634 6 1388.957 37.64783 2.00e-16 -22.03495 -18.27274 -20.50850 7 1414.152 34.19250 2.08e-16 -22.03842 -17.66940 -20.26577 8 1428.871 18.66196 2.65e-16 -21.85484 -16.87901 -19.83599
* indicates lag order selected by the criterion
LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error
AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion
Lampiran 5
Uji Kointegrasi (Johansen Cointegration)
Date: 06/11/20 Time: 16:59 Sample (adjusted): 4 120
Included observations: 117 after adjustments
Trend assumption: Linear deterministic trend (restricted) Series: LOGPDB LOGEM LOGJUB INF LOGKURS Lags interval (in first differences): 1 to 2
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.345291 108.8240 88.80380 0.0009
At most 1 0.228943 59.26702 63.87610 0.1149 At most 2 0.108477 28.84787 42.91525 0.5711 At most 3 0.077628 15.41343 25.87211 0.5403 At most 4 0.049656 5.958993 12.51798 0.4655 Trace test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.345291 49.55700 38.33101 0.0018
At most 1 0.228943 30.41914 32.11832 0.0795 At most 2 0.108477 13.43444 25.82321 0.7695 At most 3 0.077628 9.454436 19.38704 0.6770 At most 4 0.049656 5.958993 12.51798 0.4655 Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
LOGPDB LOGEM LOGJUB INF LOGKURS @TREND(2)
-0.544689 -2.019038 -15.94975 -12.26869 7.104498 0.183966 -3.722925 0.803478 7.888319 67.49447 8.746182 -0.065304 2.833717 -0.553522 -17.28518 -10.56176 3.280223 0.144292 2.205971 -1.577890 -26.35430 52.61297 -9.723016 0.324167 2.219992 2.536534 3.498334 -0.340160 2.467898 -0.190973
Unrestricted Adjustment Coefficients (alpha):
D(LOGPDB) -0.003329 0.004799 -0.011547 -0.007112 -0.003993 D(LOGEM) 0.010834 -0.000842 0.000817 0.013360 -0.039552 D(LOGJUB) 0.000383 -0.001942 -0.002523 0.002247 -7.14E-05 D(INF) -0.000204 -0.002612 0.000148 -0.000389 -0.000129
D(LOGKURS) -0.009269 -0.001433 -0.000749 0.001361 0.000142
1 Cointegrating Equation(s): Log likelihood 1360.243 Normalized cointegrating coefficients (standard error in parentheses)
LOGPDB LOGEM LOGJUB INF LOGKURS @TREND(2)
1.000000 3.706770 29.28229 22.52421 -13.04321 -0.337745 (1.01359) (8.58362) (20.6499) (3.41823) (0.10969) Adjustment coefficients (standard error in parentheses)
D(LOGPDB) 0.001813
2 Cointegrating Equation(s): Log likelihood 1375.453 Normalized cointegrating coefficients (standard error in parentheses)
LOGPDB LOGEM LOGJUB INF LOGKURS @TREND(2)
1.000000 0.000000 -0.391174 -15.89268 -2.937652 -0.002007 (1.48798) (3.96453) (0.65499) (0.01565) 0.000000 1.000000 8.005207 10.36398 -2.726244 -0.090574 (2.00977) (5.35477) (0.88468) (0.02114) Adjustment coefficients (standard error in parentheses)
D(LOGPDB) -0.016053 0.010577 (0.01761) (0.01017) D(LOGEM) -0.002766 -0.022552 (0.06774) (0.03912) D(LOGJUB) 0.007021 -0.002334 (0.00429) (0.00248) D(INF) 0.009836 -0.001687 (0.00186) (0.00107) D(LOGKURS) 0.010383 0.017563 (0.00518) (0.00299)
3 Cointegrating Equation(s): Log likelihood 1382.170 Normalized cointegrating coefficients (standard error in parentheses)
LOGPDB LOGEM LOGJUB INF LOGKURS @TREND(2) Adjustment coefficients (standard error in parentheses)
D(LOGPDB) -0.048773 0.016968 0.290534
D(LOGEM) -0.000450 -0.023004 -0.193578 (0.08480) (0.04037) (0.44662) D(LOGJUB) -0.000127 -0.000938 0.022173 (0.00525) (0.00250) (0.02765) D(INF) 0.010254 -0.001768 -0.019901 (0.00232) (0.00111) (0.01223) D(LOGKURS) 0.008260 0.017977 0.149485 (0.00648) (0.00308) (0.03412)
4 Cointegrating Equation(s): Log likelihood 1386.897 Normalized cointegrating coefficients (standard error in parentheses)
LOGPDB LOGEM LOGJUB INF LOGKURS @TREND(2)
1.000000 0.000000 0.000000 0.000000 -8.615163 0.016599 (2.03007) (0.01073) 0.000000 1.000000 0.000000 0.000000 15.86159 -0.070594 (6.04085) (0.03191) 0.000000 0.000000 1.000000 0.000000 -1.920669 -0.004144 (0.63200) (0.00334) 0.000000 0.000000 0.000000 1.000000 -0.309966 0.001273 (0.10213) (0.00054) Adjustment coefficients (standard error in parentheses)
D(LOGPDB) -0.064462 0.028189 0.477957 0.112532 (0.02335) (0.01231) (0.16249) (0.39101) D(LOGEM) 0.029021 -0.044084 -0.545663 0.504496 (0.09340) (0.04924) (0.64990) (1.56394) D(LOGJUB) 0.004829 -0.004483 -0.037041 0.009088 (0.00568) (0.00300) (0.03955) (0.09517) D(INF) 0.009396 -0.001155 -0.009652 -0.195819 (0.00256) (0.00135) (0.01779) (0.04281) D(LOGKURS) 0.011261 0.015831 0.113628 0.096498 (0.00712) (0.00375) (0.04955) (0.11925)
Lampiran 6
Hasil Estimasi Vector Error Correction Model (VECM)
Vector Error Correction Estimates Date: 06/11/20 Time: 16:57 Sample (adjusted): 4 120
Included observations: 117 after adjustments Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq: CointEq1 LOGPDB(-1) 1.000000
Error Correction: D(LOGPDB) D(LOGEM) D(LOGJUB) D(INF) D(LOGKURS) CointEq1 0.001813 -0.005901 -0.000209 0.000111 0.005049
D(LOGPDB(-2)) -0.103456 -0.331456 -0.053825 0.005027 -0.044630 (0.10137) (0.38800) (0.02493) (0.01197) (0.02984) [-1.02059] [-0.85427] [-2.15883] [ 0.42013] [-1.49571]
D(LOGEM(-1)) -0.006896 -0.138615 -0.004066 -0.003566 -0.029334 (0.02648) (0.10134) (0.00651) (0.00313) (0.00779) [-0.26044] [-1.36779] [-0.62440] [-1.14114] [-3.76378]
D(LOGEM(-2)) -0.011225 -0.193358 -0.003113 -0.003411 -0.006236 (0.02628) (0.10059) (0.00646) (0.00310) (0.00774) [-0.42714] [-1.92225] [-0.48159] [-1.09951] [-0.80611]
D(LOGJUB(-1)) 0.287734 -1.419473 -0.290222 0.014324 0.073387
D(LOGKURS(-2)) 0.042521 -0.179935 -0.176982 0.019940 -0.319009 (0.27754) (1.06232) (0.06826) (0.03276) (0.08170)
Akaike AIC -3.021801 -0.337344 -5.827005 -7.295335 -5.467738
Schwarz SC -2.738501 -0.054044 -5.543705 -7.012035 -5.184438
Mean dependent 0.013586 0.045185 0.009404 -0.000409 0.001723 S.D. dependent 0.059636 0.202363 0.013444 0.006477 0.019324 Determinant resid covariance (dof adj.) 9.43E-17
Determinant resid covariance 5.49E-17
Log likelihood 1360.243
Akaike information criterion -22.12381
Schwarz criterion -20.56566
Number of coefficients 66
Lampiran 7
Uji Kausalitas Granger (Granger Causality)
Pairwise Granger Causality Tests Date: 06/11/20 Time: 17:04 Sample: 1 120
Lags: 2
Null Hypothesis: Obs F-Statistic Prob.
LOGEM does not Granger Cause LOGPDB 118 0.75866 0.4707
LOGPDB does not Granger Cause LOGEM 0.72347 0.4873
LOGJUB does not Granger Cause LOGPDB 118 2.66234 0.0742 LOGPDB does not Granger Cause LOGJUB 0.18738 0.8294 INF does not Granger Cause LOGPDB 118 0.12066 0.8864
LOGPDB does not Granger Cause INF 0.29745 0.7433
LOGKURS does not Granger Cause LOGPDB 118 0.12356 0.8839 LOGPDB does not Granger Cause LOGKURS 15.3338 1.E-06 LOGJUB does not Granger Cause LOGEM 118 1.19678 0.3060
LOGEM does not Granger Cause LOGJUB 0.09883 0.9060
INF does not Granger Cause LOGEM 118 0.37332 0.6893
LOGEM does not Granger Cause INF 1.14797 0.3210
LOGKURS does not Granger Cause LOGEM 118 0.78028 0.4607 LOGEM does not Granger Cause LOGKURS 13.3446 6.E-06 INF does not Granger Cause LOGJUB 118 0.12109 0.8861
LOGJUB does not Granger Cause INF 0.12215 0.8851
LOGKURS does not Granger Cause LOGJUB 118 2.11196 0.1258 LOGJUB does not Granger Cause LOGKURS 14.4149 3.E-06 LOGKURS does not Granger Cause INF 118 3.64736 0.0292
INF does not Granger Cause LOGKURS 1.62940 0.2006
Lampiran 8
Uji Impulse Response Function (IRF) Product Domestic Bruto (PDB)
.00
Uji Impulse Response Function (IRF) E-money
Uji Impulse Response Function (IRF) Jumlah Uang Beredar
Uji Impulse Response Function (IRF) Inflasi
Uji Impulse Response Function (IRF) Kurs
.000 .004 .008 .012
1 2 3 4 5 6 7 8 9 10
Response of DKURS to DPDB
.000 .004 .008 .012
1 2 3 4 5 6 7 8 9 10
Response of DKURS to DEM
.000 .004 .008 .012
1 2 3 4 5 6 7 8 9 10
Response of DKURS to DJUB
.000 .004 .008 .012
1 2 3 4 5 6 7 8 9 10
Response of DKURS to DINF
.000 .004 .008 .012
1 2 3 4 5 6 7 8 9 10
Response of DKURS to DKURS
Lampiran 9
Hasil Uji Forecast Error Variance Decomposition (FEVD)
Variance
on of INF:
Period S.E. LOGPDB LOGEM LOGJUB INF LOGKURS
1 0.006006 0.712704 0.345047 1.116473 97.82578 0.000000 2 0.010325 0.494840 0.122802 1.934297 97.24274 0.205320 3 0.013208 0.303358 0.427469 3.560596 95.11044 0.598140 4 0.015358 0.329148 0.478169 4.923276 93.58233 0.687077 5 0.017277 0.449436 0.379530 5.614629 92.96907 0.587331 6 0.019069 0.549978 0.325080 5.856135 92.77194 0.496868 7 0.020707 0.632952 0.298097 6.013408 92.61499 0.440552 8 0.022220 0.720246 0.296979 6.203619 92.37804 0.401117 9 0.023656 0.812352 0.330323 6.375954 92.11744 0.363933 10 0.025036 0.900146 0.394559 6.499121 91.87693 0.329242 Variance
Decompositi on of LOGKURS:
Period S.E. LOGPDB LOGEM LOGJUB INF LOGKURS
1 0.014977 0.165710 0.035804 14.59764 1.076833 84.12401 2 0.022762 0.670496 0.528432 21.21782 3.492163 74.09109 3 0.027358 1.674700 0.627338 27.42480 7.712203 62.56096 4 0.031487 1.962840 2.973546 29.53438 11.35514 54.17409 5 0.035364 1.879008 5.489638 30.00525 13.39567 49.23043 6 0.039045 1.695504 8.112859 30.57669 14.37736 45.23758 7 0.042781 1.456900 11.47388 30.92530 14.98850 41.15542 8 0.046596 1.232991 15.23428 30.74772 15.53171 37.25329 9 0.050437 1.052793 18.96167 30.28220 15.93930 33.76403 10 0.054330 0.917468 22.56308 29.71833 16.13805 30.66307 Cholesky Ordering: LOGPDB LOGEM LOGJUB INF LOGKURS