BAB V KESIMPULAN DAN IMPLIKASI
B. Implikasi
Variabel Inflasi memiliki hubungan kausalitas dan hubungan jangka panjang atau jangka pendek pada variabel suku bunga SBI dan kurs, maka Bank Indonesia sudah melakukan tugasnya dengan baik dalam mengatur tingkat inflasi di Indonesia yaitu pengendalian inflasi dari sisi moneter melalui Inflation
Targeting Framework (ITF). Inflation Targeting Framework (ITF) adalah sebuah
kerangka kerja di mana Bank Indonesia secara eksplisit mengumumkan sasaran inflasi kepada publik dan kebijakan moneter diarahkan untuk mencapai sasaran inflasi yang ditetapkan oleh pemerintah tersebut. (Bank Indonesia, Kerangka Kebijakan Moneter). Dengan mengkerucuti hal-hal yang berpengaruh terhadap inflasi khususnya dalam jangka pendek dan jangka panjang maka dapat dirumuskan kebijakan yang tetap untuk diterapkan pada negara tersebut agar tingkat inflasi tetap stabil yang berorientasi pada kurs dan suku bunga SBI.
Dengan tingkat inflasi yang relatif stabil diharapkan dapat mengurangi ketidakpastian (uncertainty) bagi pelaku ekonomi dalam mengambil keputusan. Pengalaman empiris menunjukkan bahwa inflasi yang tidak stabil akan menyulitkan keputusan masyarakat dalam melakukan konsumsi, investasi, dan
produksi, yang pada akhirnya akan menurunkan pertumbuhan ekonomi. Hal ini juga dapat menunjang ekspor-impor dalam hal pendapatan untuk cadangan devisa dengan melakukan kebijakan atau intervensi pada kurs.
Dengan melihat Inflation Targeting Framework (ITF) dapat berjalan dengan baik dan sesuai dengan harapan maka diharapkan dapat mengurangi kemiskinan di masa yang akan datang karena inflasi yang tinggi akan menyebabkan pendapatan riil masyarakat akan terus turun sehingga standar hidup dari masyarakat turun dan akhirnya menjadikan semua orang, terutama orang miskin, bertambah miskin. Harapan lain adalah agar di masa yang akan datang dapat mencegah tingkat inflasi domestik yang lebih tinggi dibanding dengan tingkat inflasi di negara tetangga karena dapat menjadikan tingkat bunga domestik riil menjadi tidak kompetitif sehingga dapat memberikan tekanan pada nilai rupiah.
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Lampiran 1
Data Sebelum Diolah
Tahun Inflasi (%) Kurs (Rupiah) JUB (Miliar Rupiah) Suku Bunga SBI (%)
2001.1 9.35 9757.07 753814 14.86 2001.2 11.15 11220.08 792329 15.96 2001.3 12.76 9716.27 776092 17.18 2001.4 12.64 10301.99 824753 17.62 2002.1 14.54 10180.9 835531 17.11 2002.2 12.57 9096.51 833332 16.07 2002.3 10.38 8948.64 856420 14.68 2002.4 10.28 9044.62 872321 13.12 2003.1 7.82 8907.39 877558 12.52 2003.2 7.25 8491.09 890017 10.78 2003.3 6.37 8433.74 906037 8.99 2003.4 5.72 8474.68 942221 8.38 2004.1 4.84 8462.98 931166 7.72 2004.2 6.41 8985.32 951277 7.25 2004.3 6.71 9151.63 981646 7.3 2004.4 6.27 9116.93 1011210 7.3 2005.1 7.76 9273.2 1018190 7.29 2005.2 7.65 9545.2 1057566 7.79 2005.3 8.41 10006.17 1121787 8.75 2005.4 17.79 9997.14 1180230 12.54 2006.1 16.9 9305.91 1197153 12.85 2006.2 15.51 9094.84 1232257 12.4 2006.3 14.87 9121.02 1273881 11.36 2006.4 6.05 9136.19 1351286 9.5 2007.1 6.36 9099.42 1372146 8.1 2007.2 6.02 8975.18 1412120 7.83 2007.3 6.51 9247.91 1494901 8.27 2007.4 6.73 9234.98 1581026 8.2 2008.1 7.64 9257.48 1598235 7.99 2008.2 10.12 9265.05 1652268 8.43 2008.3 11.96 9217.78 1715667 9.7 2008.4 11.5 11028.11 1853117 11.25 2009.1 8.56 11623.17 1897035 9.68 2009.2 5.67 10541.46 1939075 7.63 2009.3 2.76 9996.55 1991585 6.7 2009.4 2.59 9470.14 2075036 6.59 2010.1 3.65 9265.8 2084141 6.58 2010.2 4.37 9119.63 2163467 6.56 2010.3 6.15 8999.02 2243001 6.63 2010.4 6.32 8962.97 2374792 6.37
Sumber: 1. Data Inflasi didapat dari Laporan Inflasi (Indeks Harga Konsumen) pada situs resmi Bank Indonesia.
2. Data Kurs didapat dari Kalkulator Kurs pada situs resmi Bank Indonesia.
3. Data Jumlah Uang Beredar didapat dari Statistik Ekonomi Keuangan Indonesia sektor moneter pada situs resmi Bank Indonesia.
4. Data Suku Bunga SBI didapat dari sub bagian Suku Bunga SBI pada situs resmi Bank Indonesia.
Data Penelitian
Tahun Inflasi (%) Log Kurs (Rupiah) Log JUB (Miliar Rupiah) Suku Bunga SBI (%)
2001.I 9.35 3.99 5.88 14.86 2001.II 11.15 4.05 5.9 15.96 2001.III 12.76 3.99 5.89 17.18 2001.IV 12.64 4.01 5.92 17.62 2002.I 14.54 4.01 5.92 17.11 2002.II 12.57 3.96 5.92 16.07 2002.III 10.38 3.95 5.93 14.68 2002.IV 10.28 3.96 5.94 13.12 2003.I 7.82 3.95 5.94 12.52 2003.II 7.25 3.93 5.95 10.78 2003.III 6.37 3.93 5.96 8.99 2003.IV 5.72 3.93 5.97 8.38 2004.I 4.84 3.93 5.97 7.72 2004.II 6.41 3.95 5.98 7.25 2004.III 6.71 3.96 5.99 7.3 2004.IV 6.27 3.96 6 7.3 2005.I 7.76 3.97 6.01 7.29 2005.II 7.65 3.98 6.02 7.79 2005.III 8.41 4 6.05 8.75 2005.IV 17.79 4 6.07 12.54 2006.I 16.9 3.97 6.08 12.85 2006.II 15.51 3.96 6.09 12.4 2006.III 14.87 3.96 6.11 11.36 2006.IV 6.05 3.96 6.13 9.5 2007.I 6.36 3.96 6.14 8.1 2007.II 6.02 3.95 6.15 7.83 2007.III 6.51 3.97 6.17 8.27 2007.IV 6.73 3.97 6.2 8.2 2008.I 7.64 3.97 6.2 7.99 2008.II 10.12 3.97 6.22 8.43 2008.III 11.96 3.96 6.23 9.7 2008.IV 11.5 4.04 6.27 11.25 2009.I 8.56 4.07 6.28 9.68 2009.II 5.67 4.02 6.29 7.63 2009.III 2.76 4 6.3 6.7 2009.IV 2.59 3.98 6.32 6.59 2010.I 3.65 3.97 6.32 6.58 2010.II 4.37 3.96 6.34 6.56 2010.III 6.15 3.95 6.35 6.63 2010.IV 6.32 3.95 6.38 6.37
Lampiran 2
Uji Stasioneritas Data Inflasi (Data diolah dengan EViews 5)
Null Hypothesis: INFLASI has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=13)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.324788 0.4114 Test critical values: 1% level -4.211868
5% level -3.529758
10% level -3.196411 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INFLASI) Method: Least Squares
Date: 05/31/11 Time: 21:39 Sample (adjusted): 2001Q2 2010Q4 Included observations: 39 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. INFLASI(-1) -0.257202 0.110635 -2.324788 0.0258 C 2.965179 1.478747 2.005197 0.0525 @TREND(2001Q1) -0.039835 0.037213 -1.070467 0.2915 R-squared 0.131348 Mean dependent var -0.077692 Adjusted R-squared 0.083090 S.D. dependent var 2.524265 S.E. of regression 2.417120 Akaike info criterion 4.676834 Sum squared resid 210.3289 Schwarz criterion 4.804801 Log likelihood -88.19827 F-statistic 2.721772 Durbin-Watson stat 1.522223 Prob(F-statistic) 0.079290
Uji Stasioneritas Data Kurs (Data diolah dengan EViews 5) Null Hypothesis: KURS has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.264696 0.0876 Test critical values: 1% level -4.219126
5% level -3.533083
10% level -3.198312 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS)
Method: Least Squares Date: 05/30/11 Time: 23:41 Sample (adjusted): 2001Q3 2010Q4 Included observations: 38 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. KURS(-1) -0.386817 0.118485 -3.264696 0.0025 D(KURS(-1)) 0.120646 0.148955 0.809952 0.4236 C 1.527004 0.470031 3.248729 0.0026 @TREND(2001Q1) 0.000375 0.000318 1.179603 0.2463 R-squared 0.252741 Mean dependent var -0.002632 Adjusted R-squared 0.186807 S.D. dependent var 0.023559 S.E. of regression 0.021245 Akaike info criterion -4.766061 Sum squared resid 0.015346 Schwarz criterion -4.593684 Log likelihood 94.55517 F-statistic 3.833212 Durbin-Watson stat 1.656756 Prob(F-statistic) 0.018179
Uji Stasioneritas Data Jumlah Uang Beredar (Data diolah dengan EViews 5)
Null Hypothesis: JUB has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.577717 0.7836 Test critical values: 1% level -4.211868
5% level -3.529758
10% level -3.196411 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(JUB)
Method: Least Squares Date: 05/30/11 Time: 23:41 Sample (adjusted): 2001Q2 2010Q4 Included observations: 39 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. JUB(-1) -0.105936 0.067145 -1.577717 0.1234 C 0.624472 0.391338 1.595736 0.1193 @TREND(2001Q1) 0.001660 0.000881 1.884844 0.0675 R-squared 0.160363 Mean dependent var 0.012821 Adjusted R-squared 0.113716 S.D. dependent var 0.010247 S.E. of regression 0.009646 Akaike info criterion -6.370652 Sum squared resid 0.003350 Schwarz criterion -6.242686 Log likelihood 127.2277 F-statistic 3.437833 Durbin-Watson stat 2.555094 Prob(F-statistic) 0.043018
Uji Stasioneritas Data Suku Bunga SBI (Data diolah dengan EViews 5)
Null Hypothesis: SBI has a unit root Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic based on SIC, MAXLAG=13)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.088517 0.1235 Test critical values: 1% level -4.219126
5% level -3.533083
10% level -3.198312 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(SBI)
Method: Least Squares Date: 05/31/11 Time: 21:41 Sample (adjusted): 2001Q3 2010Q4 Included observations: 38 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. SBI(-1) -0.187493 0.060706 -3.088517 0.0040 D(SBI(-1)) 0.627121 0.127858 4.904815 0.0000 C 2.455375 0.938203 2.617104 0.0131 @TREND(2001Q1) -0.032893 0.018317 -1.795780 0.0814 R-squared 0.456527 Mean dependent var -0.252368 Adjusted R-squared 0.408574 S.D. dependent var 1.127896 S.E. of regression 0.867400 Akaike info criterion 2.652667 Sum squared resid 25.58098 Schwarz criterion 2.825044 Log likelihood -46.40066 F-statistic 9.520211 Durbin-Watson stat 2.017449 Prob(F-statistic) 0.000104
Lampiran 3
Uji Derajat Integrasi First Difference Inflasi (Data diolah dengan EViews 5)
Null Hypothesis: D(INFLASI) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 3 (Automatic based on SIC, MAXLAG=13)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.800624 0.0024 Test critical values: 1% level -4.243644
5% level -3.544284
10% level -3.204699 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INFLASI,2) Method: Least Squares
Date: 05/31/11 Time: 21:41 Sample (adjusted): 2002Q2 2010Q4 Included observations: 35 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(INFLASI(-1)) -1.313498 0.273610 -4.800624 0.0000 D(INFLASI(-1),2) 0.445569 0.243897 1.826873 0.0780 D(INFLASI(-2),2) 0.483089 0.204933 2.357307 0.0254 D(INFLASI(-3),2) 0.543197 0.154239 3.521789 0.0014 C -0.375362 0.950409 -0.394948 0.6958 @TREND(2001Q1) 0.003725 0.039398 0.094553 0.9253 R-squared 0.608969 Mean dependent var -0.049429 Adjusted R-squared 0.541550 S.D. dependent var 3.445139 S.E. of regression 2.332667 Akaike info criterion 4.686707 Sum squared resid 157.7988 Schwarz criterion 4.953338 Log likelihood -76.01737 F-statistic 9.032584 Durbin-Watson stat 1.989616 Prob(F-statistic) 0.000029
Uji Derajat Integrasi First Difference Kurs (Data diolah dengan EViews 5)
Null Hypothesis: D(KURS) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -7.000979 0.0000 Test critical values: 1% level -4.219126
5% level -3.533083
10% level -3.198312 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS,2) Method: Least Squares
Date: 05/30/11 Time: 23:42 Sample (adjusted): 2001Q3 2010Q4 Included observations: 38 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(KURS(-1)) -1.076651 0.153786 -7.000979 0.0000 C -0.007320 0.008254 -0.886816 0.3812 @TREND(2001Q1) 0.000225 0.000355 0.632976 0.5309 R-squared 0.586142 Mean dependent var -0.001579 Adjusted R-squared 0.562493 S.D. dependent var 0.036282 S.E. of regression 0.023998 Akaike info criterion -4.546015 Sum squared resid 0.020157 Schwarz criterion -4.416732 Log likelihood 89.37428 F-statistic 24.78502 Durbin-Watson stat 1.592657 Prob(F-statistic) 0.000000
Uji Derajat Integrasi First Difference Jumlah Uang Beredar (Data diolah dengan EViews 5)
Null Hypothesis: D(JUB) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 3 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.432265 0.3577 Test critical values: 1% level -4.243644
5% level -3.544284
10% level -3.204699 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(JUB,2)
Method: Least Squares Date: 05/30/11 Time: 23:43 Sample (adjusted): 2002Q2 2010Q4 Included observations: 35 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(JUB(-1)) -1.092536 0.449185 -2.432265 0.0214 D(JUB(-1),2) -0.106251 0.367921 -0.288788 0.7748 D(JUB(-2),2) -0.228812 0.281313 -0.813375 0.4226 D(JUB(-3),2) -0.311268 0.166523 -1.869219 0.0717 C 0.006486 0.004275 1.517285 0.1400 @TREND(2001Q1) 0.000352 0.000196 1.797634 0.0827 R-squared 0.664405 Mean dependent var 0.000857 Adjusted R-squared 0.606544 S.D. dependent var 0.013366 S.E. of regression 0.008384 Akaike info criterion -6.570155 Sum squared resid 0.002038 Schwarz criterion -6.303524 Log likelihood 120.9777 F-statistic 11.48274 Durbin-Watson stat 1.951519 Prob(F-statistic) 0.000004
Uji Derajat Integrasi First Difference Suku Bunga SBI (Data diolah dengan EViews 5)
Null Hypothesis: D(SBI) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=13)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.367444 0.0711 Test critical values: 1% level -4.219126
5% level -3.533083
10% level -3.198312 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(SBI,2)
Method: Least Squares Date: 05/31/11 Time: 21:44 Sample (adjusted): 2001Q3 2010Q4 Included observations: 38 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(SBI(-1)) -0.466517 0.138537 -3.367444 0.0019 C -0.289411 0.335390 -0.862910 0.3941 @TREND(2001Q1) 0.007443 0.014324 0.519628 0.6066 R-squared 0.247058 Mean dependent var -0.035789 Adjusted R-squared 0.204032 S.D. dependent var 1.084367 S.E. of regression 0.967440 Akaike info criterion 2.847330 Sum squared resid 32.75791 Schwarz criterion 2.976613 Log likelihood -51.09927 F-statistic 5.742150 Durbin-Watson stat 1.779061 Prob(F-statistic) 0.006972
Uji Derajat Integrasi Second Difference Inflasi (Data diolah dengan EViews 5)
Null Hypothesis: D(INFLASI,2) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=13)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -9.502998 0.0000 Test critical values: 1% level -4.226815
5% level -3.536601
10% level -3.200320 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INFLASI,3) Method: Least Squares
Date: 05/31/11 Time: 21:44 Sample (adjusted): 2001Q4 2010Q4 Included observations: 37 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(INFLASI(-1),2) -1.457070 0.153327 -9.502998 0.0000 C -0.393659 1.123290 -0.350452 0.7282 @TREND(2001Q1) 0.016881 0.047695 0.353927 0.7256 R-squared 0.726541 Mean dependent var -0.038378 Adjusted R-squared 0.710456 S.D. dependent var 5.748179 S.E. of regression 3.093056 Akaike info criterion 5.173801 Sum squared resid 325.2779 Schwarz criterion 5.304416 Log likelihood -92.71532 F-statistic 45.16663 Durbin-Watson stat 2.249965 Prob(F-statistic) 0.000000
Uji Derajat Integrasi Second Difference Kurs (Data diolah dengan EViews 5)
Null Hypothesis: D(KURS,2) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 3 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.589697 0.0003 Test critical values: 1% level -4.252879
5% level -3.548490
10% level -3.207094 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS,3) Method: Least Squares
Date: 05/30/11 Time: 23:44 Sample (adjusted): 2002Q3 2010Q4 Included observations: 34 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(KURS(-1),2) -2.738675 0.489951 -5.589697 0.0000 D(KURS(-1),3) 1.318248 0.394330 3.343007 0.0024 D(KURS(-2),3) 0.586155 0.264859 2.213085 0.0352 D(KURS(-3),3) 0.290588 0.130701 2.223310 0.0344 C 0.006264 0.009687 0.646676 0.5231 @TREND(2001Q1) -0.000258 0.000394 -0.655496 0.5175 R-squared 0.787005 Mean dependent var 0.001765 Adjusted R-squared 0.748970 S.D. dependent var 0.044550 S.E. of regression 0.022321 Akaike info criterion -4.607825 Sum squared resid 0.013950 Schwarz criterion -4.338467 Log likelihood 84.33302 F-statistic 20.69173 Durbin-Watson stat 2.036258 Prob(F-statistic) 0.000000
Uji Derajat Integrasi Second Difference Jumlah Uang Beredar (Data diolah dengan EViews 5)
Null Hypothesis: D(JUB,2) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 2 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.291267 0.0000 Test critical values: 1% level -4.243644
5% level -3.544284
10% level -3.204699 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(JUB,3)
Method: Least Squares Date: 05/30/11 Time: 23:44 Sample (adjusted): 2002Q2 2010Q4 Included observations: 35 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(JUB(-1),2) -3.287003 0.396442 -8.291267 0.0000 D(JUB(-1),3) 1.352882 0.291377 4.643057 0.0001 D(JUB(-2),3) 0.569122 0.138540 4.108007 0.0003 C 0.000217 0.003679 0.058875 0.9534 @TREND(2001Q1) 2.06E-05 0.000152 0.135696 0.8930 R-squared 0.874960 Mean dependent var 0.001429 Adjusted R-squared 0.858289 S.D. dependent var 0.024027 S.E. of regression 0.009045 Akaike info criterion -6.441651 Sum squared resid 0.002454 Schwarz criterion -6.219459 Log likelihood 117.7289 F-statistic 52.48104 Durbin-Watson stat 2.160347 Prob(F-statistic) 0.000000
Uji Derajat Integrasi Second Difference Suku Bunga SBI (Data diolah dengan EViews 5)
Null Hypothesis: D(SBI,2) has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=13)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.164543 0.0001 Test critical values: 1% level -4.226815
5% level -3.536601
10% level -3.200320 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(SBI,3)
Method: Least Squares Date: 05/31/11 Time: 21:48 Sample (adjusted): 2001Q4 2010Q4 Included observations: 37 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(SBI(-1),2) -1.056736 0.171422 -6.164543 0.0000 C -0.188740 0.409842 -0.460518 0.6481 @TREND(2001Q1) 0.007008 0.017392 0.402926 0.6895 R-squared 0.527797 Mean dependent var -0.012162 Adjusted R-squared 0.500020 S.D. dependent var 1.593381 S.E. of regression 1.126668 Akaike info criterion 3.154011 Sum squared resid 43.15893 Schwarz criterion 3.284626 Log likelihood -55.34920 F-statistic 19.00144 Durbin-Watson stat 2.002916 Prob(F-statistic) 0.000003
Lampiran 4
Uji Kausalitas Granger
Uji Kausalitas Granger Antara Kurs dan Inflasi
Pairwise Granger Causality Tests Date: 06/16/11 Time: 12:37 Sample: 2001Q1 2010Q4 Lags: 12
Null Hypothesis: Obs F-Statistic Probability INFLASI does not Granger Cause KURS 28 13.2542 0.02795 KURS does not Granger Cause INFLASI 0.39304 0.89480
Uji Kausalitas Granger Antara JUB dan Inflasi Pairwise Granger Causality Tests
Date: 06/16/11 Time: 12:36 Sample: 2001Q1 2010Q4 Lags: 12
Null Hypothesis: Obs F-Statistic Probability INFLASI does not Granger Cause JUB 28 0.44899 0.86240 JUB does not Granger Cause INFLASI 0.81537 0.65727
Uji Kausalitas Granger Antara SBI dan Inflasi
Pairwise Granger Causality Tests Date: 06/16/11 Time: 12:38 Sample: 2001Q1 2010Q4 Lags: 2
Null Hypothesis: Obs F-Statistic Probability INFLASI does not Granger Cause SBI 38 0.90064 0.41606 SBI does not Granger Cause INFLASI 4.56807 0.01773
Lampiran 5
Uji Kointegrasi Variabel Kurs Terhadap Inflasi (Data diolah dengan EViews 5)
Date: 05/30/11 Time: 23:57 Sample (adjusted): 2001Q3 2010Q4 Included observations: 38 after adjustments
Trend assumption: Linear deterministic trend (restricted) Series: KURS INFLASI
Lags interval (in first differences): 1 to 1 Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.** None 0.300445 21.06889 25.87211 0.1766 At most 1 0.178919 7.491091 12.51798 0.2961 Trace test indicates no cointegration 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 0.300445 13.57780 19.38704 0.2837 At most 1 0.178919 7.491091 12.51798 0.2961 Max-eigenvalue test indicates no cointegration 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):
KURS INFLASI
@TREND(01Q 2) 34.15369 -0.211532 -0.056858 -11.90397 -0.246276 -0.016986
Unrestricted Adjustment Coefficients (alpha): D(KURS) -0.011106 0.004747
D(INFLASI) 0.535976 0.958069
1 Cointegrating Equation(s): Log likelihood 7.899062 Normalized cointegrating coefficients (standard error in parentheses)
KURS INFLASI
@TREND(01Q 2) 1.000000 -0.006194 -0.001665
(0.00232) (0.00076) Adjustment coefficients (standard error in parentheses)
D(KURS) -0.379297 (0.11905) D(INFLASI) 18.30555 (14.1052)
Uji Kointegrasi Variabel Jumlah Uang Beredar Terhadap Inflasi (Data diolah dengan EViews 5)
Date: 05/30/11 Time: 23:58 Sample (adjusted): 2001Q3 2010Q4 Included observations: 38 after adjustments
Trend assumption: Linear deterministic trend (restricted) Series: JUB INFLASI
Lags interval (in first differences): 1 to 1 Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.** None * 0.419474 28.05682 25.87211 0.0263 At most 1 0.176768 7.391658 12.51798 0.3054 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 * 0.419474 20.66516 19.38704 0.0325 At most 1 0.176768 7.391658 12.51798 0.3054 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):
JUB INFLASI
@TREND(01Q 2) -15.44385 0.215071 0.295720 -22.52165 -0.208344 0.308382
Unrestricted Adjustment Coefficients (alpha): D(JUB) 0.005361 0.002231 D(INFLASI) -0.766433 0.903292
1 Cointegrating Equation(s): Log likelihood 44.12299 Normalized cointegrating coefficients (standard error in parentheses)
JUB INFLASI
@TREND(01Q 2) 1.000000 -0.013926 -0.019148
(0.00401) (0.00137) Adjustment coefficients (standard error in parentheses)
D(JUB) -0.082795 (0.02183) D(INFLASI) 11.83668 (6.17118)
Uji Kointegrasi Variabel Suku Bunga SBI Terhadap Inflasi (Data diolah dengan EViews 5)
Date: 05/31/11 Time: 00:00 Sample (adjusted): 2001Q3 2010Q4 Included observations: 38 after adjustments
Trend assumption: Linear deterministic trend (restricted) Series: SBI INFLASI
Lags interval (in first differences): 1 to 1 Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.** None 0.334754 20.64268 25.87211 0.1951 At most 1 0.126834 5.153936 12.51798 0.5744 Trace test indicates no cointegration 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 0.334754 15.48874 19.38704 0.1685 At most 1 0.126834 5.153936 12.51798 0.5744 Max-eigenvalue test indicates no cointegration 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):
SBI INFLASI
@TREND(01Q 2) -0.010077 0.323664 0.048903 -0.573093 0.296302 -0.038689
Unrestricted Adjustment Coefficients (alpha): D(SBI) -0.378423 0.233373 D(INFLASI) -1.374406 0.053643
1 Cointegrating Equation(s): Log likelihood -114.4263 Normalized cointegrating coefficients (standard error in parentheses)
SBI INFLASI
@TREND(01Q 2) 1.000000 -32.11855 -4.852882
(7.64752) (2.45435) Adjustment coefficients (standard error in parentheses)
D(SBI) 0.003813 (0.00146) D(INFLASI) 0.013850 (0.00336)
Lampiran 6
Estimasi VECM (Data diolah dengan EViews 5)
Vector Error Correction Estimates Date: 05/31/11 Time: 21:29 Sample (adjusted): 2002Q3 2010Q4 Included observations: 34 after adjustments Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq: CointEq1 DKURS(-1) 1.000000 DJUB(-1) -12.47600 (2.45177) [-5.08857] DSBI(-1) 0.156397 (0.03626) [ 4.31355] DINFLASI(-1) -0.041156 (0.01908) [-2.15668] @TREND(01Q1) 0.204355 (0.03807) [ 5.36859] C 66.20440
Error Correction: D(DKURS) D(DJUB) D(DSBI) D(DINFLASI) CointEq1 0.062799 0.068548 0.520530 -7.170769 (0.03926) (0.00997) (2.11145) (4.97309) [ 1.59963] [ 6.87281] [ 0.24653] [-1.44192] D(DKURS(-1)) 0.256547 0.140624 -5.009282 -17.16179 (0.25256) (0.06416) (13.5836) (31.9934) [ 1.01579] [ 2.19162] [-0.36877] [-0.53642] D(DKURS(-2)) 0.008220 0.088753 5.691761 -9.370053 (0.22698) (0.05767) (12.2079) (28.7532) [ 0.03621] [ 1.53909] [ 0.46624] [-0.32588]
D(DKURS(-3)) 0.265089 0.222272 8.979501 14.78245 (0.21780) (0.05533) (11.7140) (27.5899) [ 1.21713] [ 4.01699] [ 0.76656] [ 0.53579] D(DJUB(-1)) 0.056998 -0.240522 13.65422 -30.29573 (0.65786) (0.16713) (35.3822) (83.3353) [ 0.08664] [-1.43911] [ 0.38591] [-0.36354] D(DJUB(-2)) -0.746936 -0.401681 -7.476358 35.50236 (0.76050) (0.19321) (40.9025) (96.3373) [-0.98217] [-2.07900] [-0.18278] [ 0.36852] D(DJUB(-3)) -0.654582 -0.617740 -16.17369 23.58257 (0.65396) (0.16614) (35.1725) (82.8415) [-1.00095] [-3.71813] [-0.45984] [ 0.28467] D(DSBI(-1)) -0.005014 -0.006376 0.380285 2.477856 (0.01111) (0.00282) (0.59739) (1.40704) [-0.45142] [-2.25938] [ 0.63657] [ 1.76104] D(DSBI(-2)) -0.011708 -0.007138 -0.201848 0.905994 (0.00890) (0.00226) (0.47841) (1.12680) [-1.31628] [-3.15851] [-0.42191] [ 0.80404] D(DSBI(-3)) -0.010598 -0.004376 -0.152588 -0.482324 (0.00693) (0.00176) (0.37259) (0.87755) [-1.52978] [-2.48668] [-0.40954] [-0.54963] D(DINFLASI(-1)) 0.002705 0.003030 0.102077 -0.710394 (0.00401) (0.00102) (0.21542) (0.50739) [ 0.67541] [ 2.97735] [ 0.47384] [-1.40010] D(DINFLASI(-2)) 0.006083 0.003031 0.039285 -0.515085 (0.00390) (0.00099) (0.20974) (0.49401) [ 1.55984] [ 3.05901] [ 0.18730] [-1.04266] D(DINFLASI(-3)) 0.003614 0.001493 0.002019 0.070844 (0.00300) (0.00076) (0.16151) (0.38041) [ 1.20343] [ 1.95667] [ 0.01250] [ 0.18623] C 0.010835 0.025047 -0.135758 -0.023551 (0.02021) (0.00513) (1.08691) (2.56000) [ 0.53614] [ 4.87842] [-0.12490] [-0.00920] R-squared 0.411447 0.775371 0.358669 0.321142 Adj. R-squared 0.028888 0.629363 -0.058195 -0.120116
S.E. equation 0.022120 0.005620 1.189678 2.802039 F-statistic 1.075513 5.310452 0.860397 0.727788 Log likelihood 90.36064 136.9475 -45.12845 -74.25504 Akaike AIC -4.491802 -7.232204 3.478144 5.191473 Schwarz SC -3.863301 -6.603703 4.106646 5.819975 Mean dependent -0.001471 0.012353 -0.325294 -0.243235 S.D. dependent 0.022446 0.009231 1.156503 2.647542 Determinant resid covariance (dof adj.) 2.00E-08
Determinant resid covariance 2.39E-09
Log likelihood 144.4990
Akaike information criterion -4.911708 Schwarz criterion -2.173238
Lampiran 7
Impulse Response Function (Data diolah dengan EViews 5)
-. 01 . 00 . 01 . 02 . 03 1 2 3 4 5 6 7 8 9 10
Response of DKURS to DKURS
-.01 .00 .01 .02 .03 1 2 3 4 5 6 7 8 9 10
Response of DKURS to DJUB
-. 01 . 00 . 01 . 02 . 03 1 2 3 4 5 6 7 8 9 10
Response of DKURS to DSBI
-.01 .00 .01 .02 .03 1 2 3 4 5 6 7 8 9 10
Response of DKURS to DINFLASI
-.004 .000 .004 .008 .012 .016 1 2 3 4 5 6 7 8 9 10
Response of DJUB to DKURS
-. 004 . 000 . 004 . 008 . 012 . 016 1 2 3 4 5 6 7 8 9 10
Response of DJUB to DJUB
-.004 .000 .004 .008 .012 .016 1 2 3 4 5 6 7 8 9 10
Response of DJUB to DSBI
-. 004 . 000 . 004 . 008 . 012 . 016 1 2 3 4 5 6 7 8 9 10
Response of DJUB to DINFLASI
0.0 0.4 0.8 1.2 1.6 2.0 1 2 3 4 5 6 7 8 9 10
Response of DSBI to DKURS
0. 0 0. 4 0. 8 1. 2 1. 6 2. 0 1 2 3 4 5 6 7 8 9 10
Response of DSBI to DJUB
0.0 0.4 0.8 1.2 1.6 2.0 1 2 3 4 5 6 7 8 9 10
Response of DSBI to DSBI
0. 0 0. 4 0. 8 1. 2 1. 6 2. 0 1 2 3 4 5 6 7 8 9 10
Response of DSBI to DINFLASI
0.0 0.5 1.0 1.5 2.0 2.5 3.0 1 2 3 4 5 6 7 8 9 10
Response of DINFLASI to DKURS
0. 0 0. 5 1. 0 1. 5 2. 0 2. 5 3. 0 1 2 3 4 5 6 7 8 9 10
Response of DINFLASI to DJUB
0.0 0.5 1.0 1.5 2.0 2.5 3.0 1 2 3 4 5 6 7 8 9 10
Response of DINFLASI to DSBI
0. 0 0. 5 1. 0 1. 5 2. 0 2. 5 3. 0 1 2 3 4 5 6 7 8 9 10
Response of DINFLASI to DINFLASI
Lampiran 8
Variance Decomposition (Data diolah dengan EViews 5)
Variance Decomposition of DKURS:
Period S.E. DKURS DJUB DSBI DINFLASI 1 0.020929 100.0000 0.000000 0.000000 0.000000 2 0.032825 95.75159 0.618991 1.065876 2.563542 3 0.038352 91.77217 1.134138 5.112359 1.981334 4 0.041496 90.89767 1.879992 5.406958 1.815378 5 0.043864 91.24531 2.181960 4.860657 1.712074 6 0.045428 91.06551 2.486718 4.850204 1.597570 7 0.046727 90.31832 2.618347 5.519039 1.544298 8 0.048171 88.89065 2.665433 6.988907 1.455015 9 0.049492 87.51424 2.703069 8.404288 1.378402 10 0.050751 86.18123 2.730436 9.770060 1.318278
Variance Decomposition of DJUB:
Period S.E. DKURS DJUB DSBI DINFLASI 1 0.008943 51.70661 48.29339 0.000000 0.000000 2 0.012714 57.99886 30.49236 9.283079 2.225698 3 0.015855 57.09622 27.89027 13.56288 1.450628 4 0.019082 59.49005 22.87346 16.36640 1.270093 5 0.022421 60.24251 20.28281 18.09001 1.384677 6 0.025582 59.49148 18.26590 21.02358 1.219042 7 0.028523 59.09923 17.08184 22.71063 1.108306 8 0.031287 58.86218 16.12919 23.90642 1.102205 9 0.033836 58.47366 15.52444 24.95488 1.047020 10 0.036197 58.24159 15.04282 25.70983 1.005752
Variance Decomposition of DSBI:
Period S.E. DKURS DJUB DSBI DINFLASI 1 1.085548 8.076434 8.525984 83.39758 0.000000 2 2.097719 5.946977 10.97531 82.96914 0.108567 3 2.897844 5.214956 10.97014 83.59332 0.221581 4 3.486901 5.061745 11.30613 83.38435 0.247775 5 3.954236 4.928055 11.46295 83.35657 0.252424 6 4.349197 4.739572 11.65263 83.32900 0.278804 7 4.695569 4.580260 11.80410 83.32000 0.295641 8 5.010511 4.441818 11.95397 83.29745 0.306757 9 5.303750 4.316069 12.07200 83.29169 0.320242 10 5.578831 4.214198 12.17483 83.28016 0.330818
Variance Decomposition of DINFLASI:
Period S.E. DKURS DJUB DSBI DINFLASI 1 2.670994 1.570200 5.353828 71.56205 21.51393 2 4.062293 0.714682 10.44683 76.35162 12.48687 3 5.304079 0.728064 12.39163 77.61370 9.266610 4 6.308796 1.535248 13.09655 75.30427 10.06394 5 6.923215 2.144340 13.79464 73.87573 10.18529 6 7.442570 2.915827 14.41621 72.43856 10.22940 7 7.951038 3.853671 14.71353 70.70841 10.72439 8 8.381947 4.590468 15.04302 69.35116 11.01536 9 8.785800 5.216628 15.33422 68.27511 11.17405 10 9.187737 5.791903 15.52843 67.26190 11.41776
Lampiran 9