V. KESIMPULAN DAN SARAN
5.2. Saran
Beberapa saran yang dapat diberikan berdasarkan hasil penelitian yang dilakukan ini adalah:
1. Untuk pengelolaan pembayaran utang, dapat dilakukan reprofiling debt, buyback dan debt to poverty swap. Reprofiling debt bertujuan untuk mengurangi beban utang dengan mengkaji ulang jadwal pembayaran
kembali utang luar negeri. Buyback bertujuan untuk mengurangi stok utang beredar untuk mengurangi beban bunga utang. Sedangkan debt to poverty swap adalah sebagai langkah simultan untuk mengurangi kemiskinan.
2. Adanya badan tertentu yang mengawasi kinerja badan pengawas pengelolaan utang negara. Badan ini bertugas untuk mengawasi, memberikan pandangan dan evaluasi terhadap kinerja Direktorat Pengelolaan Utang Negara Republik Indonesia. Saran tentang dibentuknya badan ini berhubungan dengan beberapa penelitian yang menemukan bahwa manajemen utang luar negeri kurang bagus terutama efisiensi penggunaan dana pinjaman terutama utang luar negeri.
3. Pemerintah diharapkan dapat meningkatkan pertumbuhan ekonomi dalam negeri. Hal ini dikarenakan tingkat pertumbuhan ekonomi sangat signifikan berpengaruh terhadap kondisi kestabilan ekonomi terutama untuk mengurangi ketergantungan terhadap utang luar negeri.
DAFTAR PUSTAKA
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Lampiran 1. Data Nominal Penelitian
DATA NOMINAL PENELITIAN
Tahun Kuartal ULN ULN GDP GD NT INF LIBOR IHK DUMMY
1995 Q-1 67578 149955.582 92551.6 5421.829 2219 3 6.29 42.65 0 Q-2 70081 157401.926 94197.7 7304.838 2246 2.34 6.13 43.9 0 Q-3 66185 150570.875 99125.8 9013.928 2275 1.41 5.89 44.48 0 Q-4 64410 148658.28 97892.6 10085 2308 1.85 5.85 45.17 0 1996 Q-1 63515 148434.555 98431.3 10049.93 2337 3.26 5.40 47.18 0 Q-2 61613 144297.646 92427.9 9220.938 2342 0.77 5.51 47.4 0 Q-3 61052 142861.68 98363.4 7894.229 2340 0.91 5.59 47.61 0 Q-4 59054 140725.682 98954.2 6366 2383 1.53 5.53 48.04 0 1997 Q-1 56282 136146.158 105411.2 5406.318 2419 1.96 5.56 49.28 0 Q-2 57929 141926.05 107323.3 4787.581 2450 0.58 5.81 49.71 0 Q-3 56417 184765.675 110063.3 4756.053 3275 2.83 5.73 50.64 1 Q-4 57860 269049 111297.5 5558 4650 11.05 5.84 52.45 1 1998 Q-1 58002 482866.65 101083.5 4910.519 8325 25.3 5.66 62.85 1 Q-2 59174 881692.6 90403.5 2778.226 14900 46.55 5.69 74.37 1 Q-3 62515 668910.5 94132 -3403.429 10700 75.47 5.62 89.29 1 Q-4 71467 573522.675 90432.6 -16199 8025 77.63 5.27 93.56 1 1999 Q-1 72526 629888.31 93972.8 -33859.15 8685 4.08 5.01 98.01 1 Q-2 74538 501342.588 93847.5 -54856.22 6726 2.73 5.07 97.36 1 Q-3 78829 661059.994 95126.8 -73348.68 8386 0.02 5.44 95.18 1 Q-4 80724 571929.54 95104.3 -83495 7085 2.01 6.12 95.11 1 2000 Q-1 80002 607215.18 97802.1 -81083.64 7590 -1.1 5.34 97.45 1 Q-2 81549 712330.515 98036.3 -70025.64 8735 2.1 4.18 98.43 1 Q-3 80419 706078.82 100898.9 -55862.08 8780 6.8 3.45 100.63 1 Q-4 79972 767331.34 101197 -44134 9595 9.4 2.14 103.49 1 2001 Q-1 77326 804190.4 102492.1 -41381.03 10400 10.6 6.11 106.56 1 Q-2 75502 863742.88 101751.7 -43759.37 11440 12.11 6.50 109.41 1 Q-3 77316 748032.3 104074.3 -48423.77 9675 13.01 6.70 113.47 1 Q-4 73615 765596 102814 -52529 10400 12.55 6.70 116.58 1 2002 Q-1 131556 1270173.18 104917.3 -52321.51 9655 14.08 1.90 122.05 1 Q-2 132137 1153556.01 106277.7 -49795.85 8730 11.48 1.92 123.15 1 Q-3 131288 1183561.32 109199.6 -46038.26 9015 10.1 1.81 125.24 1 Q-4 131343 1174206.42 106345.9 -42135 8940 10 1.55 128.56 1 2003 Q-1 129466 1153283.128 386722.1 -39613.21 8908 7.1 1.33 131.51 0 Q-2 130587 1081913.295 392607.2 -37706.46 8285 6.6 1.23 131.77 0 Q-3 132072 1107952.008 402661.9 -36089.24 8389 6.2 1.13 132.89 0 Q-4 135401 1146169.465 390168.1 -34436 8465 5.1 1.17 135.69 0 2004 Q-1 136679 1173662.573 404936 -32271.45 8587 5.1 1.12 137.91 0 Q-2 133377 1255744.455 411522.1 -29826.21 9415 6.8 1.30 140.65 0 Q-3 131837 1208945.29 425349.9 -27181.12 9170 6.3 1.75 142.15 0 Q-4 137024 1272952.96 418770.8 -24417 9290 6.4 2.29 144.35 0 2005 Q-1 134362 1273751.76 427760.3 -21983.3 9480 8.8 2.83 148.59 0 Q-2 136288 1323765.344 434998.9 -19805.31 9713 7.8 3.28 151.4 0 Q-3 135736 1399438.16 448287.5 -18176.92 10310 9.1 3.77 154.1 0 Q-4 130652 1284309.16 438500.2 -17392 9830 17.1 4.34 170.03 0
Keterangan:
GDP = Gross Domestic Product (miliar Rp) GD = Government Deficit (miliar Rp) NT = Nilai Tukar (Rp/Dollar)
INF = Tingkat Inflasi (persen per tahun)
LIBOR= London Inter Bank Offer Rate (persen per tahun) IHK = Indeks Harga Konsumen (Rupiah)
Lampiran 2. Data Riil Penelitian
DATA RIIL PENELITIAN
Tahun Kuartal ULN GDP PE GD INF LIBOR IHK DUMMY
1995 Q-1 351595.7374 217002.6 8.1 12712.38 3 6.29 42.65 0 Q-2 358546.5285 214573.3 7.2 16639.72 2.34 6.13 43.9 0 Q-3 338513.6578 222854.8 8.8 20265.13 1.41 5.89 44.48 0 Q-4 329108.4348 216720.4 8.8 22326.77 1.85 5.85 45.17 0 1996 Q-1 314613.3001 208629.3 5.8 21301.25 3.26 5.40 47.18 0 Q-2 304425.4135 194995.6 6.6 19453.46 0.77 5.51 47.4 0 Q-3 300066.5406 206602.4 9.6 16581.03 0.91 5.59 47.61 0 Q-4 292934.3922 205982.9 9.1 13251.46 1.53 5.53 48.04 0 1997 Q-1 276270.6128 213902.6 8.5 10970.61 1.96 5.56 49.28 0 Q-2 285508.0467 215898.8 6.8 9631.022 0.58 5.81 49.71 0 Q-3 364861.1276 217344.6 2.5 9391.89 2.83 5.73 50.64 1 Q-4 512962.8217 212197.3 1.4 10596.76 11.05 5.84 52.45 1 1998 Q-1 768284.2482 160832.9 -4 7813.077 25.3 5.66 62.85 1 Q-2 1185548.743 121559.1 -14.6 3735.681 46.55 5.69 74.37 1 Q-3 749143.8011 105422.8 -16.1 -3811.66 75.47 5.62 89.29 1 Q-4 612999.8664 96657.33 -17.7 -17314 77.63 5.27 93.56 1 1999 Q-1 642677.5941 95880.828 -9.4 -34546.6 4.08 5.01 98.01 1 Q-2 514936.9228 96392.256 3.3 -56343.7 2.73 5.07 97.36 1 Q-3 694536.6611 99944.106 0.9 -77063.1 0.02 5.44 95.18 1 Q-4 601334.8123 99994.007 5.8 -87787.8 2.01 6.12 95.11 1 2000 Q-1 623104.3407 100361.31 3.2 -83205.4 -1.1 5.34 97.45 1 Q-2 723692.487 99600.02 4.1 -71142.6 2.1 4.18 98.43 1 Q-3 701658.3723 100267.22 5.1 -55512.4 6.8 3.45 100.63 1 Q-4 741454.5753 97784.327 5.2 -42645.7 9.4 2.14 103.49 1 2001 Q-1 754683.1832 96182.526 3.2 -38833.5 10.6 6.11 106.56 1 Q-2 789455.1504 93000.366 3.5 -39995.8 12.11 6.50 109.41 1 Q-3 659233.5419 91719.662 3.2 -42675.4 13.01 6.70 113.47 1 Q-4 656712.9868 88191.8 1.6 -45058.3 12.55 6.70 116.58 1 2002 Q-1 1040699.041 85962.556 2.5 -42868.9 14.08 1.90 122.05 1 Q-2 936708.0877 86299.391 3.5 -40435.1 11.48 1.92 123.15 1 Q-3 945034.5896 87192.271 3.9 -36760 10.1 1.81 125.24 1 Q-4 913352.8469 82720.831 3.8 -32774.6 10 1.55 128.56 1 2003 Q-1 876954.7015 294062.88 3.4 -30121.8 7.1 1.33 131.51 0 Q-2 821061.9223 297948.85 3.8 -28615.4 6.6 1.23 131.77 0 Q-3 833736.1788 303003.91 3.9 -27157.2 6.2 1.13 132.89 0 Q-4 844697.0779 287543.74 4.4 -25378.4 5.1 1.17 135.69 0 2004 Q-1 851035.1483 293623.38 4.5 -23400.4 5.1 1.12 137.91 0 Q-2 892815.112 292585.92 4.3 -21206 6.8 1.30 140.65 0 Q-3 850471.5371 299226.1 5 -19121.4 6.3 1.75 142.15 0 Q-4 881851.7215 290107.93 6.7 -16915.1 6.4 2.29 144.35 0 2005 Q-1 857225.7622 287879.6 6.4 -14794.6 8.8 2.83 148.59 0 Q-2 874349.6328 287317.64 5.5 -13081.4 7.8 3.28 151.4 0 Q-3 908136.379 290906.88 5.3 -11795.5 9.1 3.77 154.1 0 Q-4 755342.6807 257895.78 4.9 -10228.8 17.1 4.34 170.03 0
Keterangan:
GDP = Gross Domestic Product (miliar Rp) GD = Government Deficit (miliar Rp) NT = Nilai Tukar (Rp/Dollar)
INF = Tingkat Inflasi (persen per tahun)
LIBOR= London Inter Bank Offer Rate (persen per tahun) IHK = Indeks Harga Konsumen (Rupiah)
Lampiran 3. Data yang diolah dalam E-Views
Tahun Kuartal ULN_GDP GD_GDP PE INF LIBOR DUMMY_PLTK
1995 Q-1 1.6202374 0.0585 8.1 3 6.29 0 Q-2 1.6709746 0.0775 7.2 2.34 6.13 0 Q-3 1.5189875 0.0909 8.8 1.41 5.89 0 Q-4 1.5185854 0.103 8.8 1.85 5.85 0 1996 Q-1 1.5080015 0.1021 5.8 3.26 5.40 0 Q-2 1.5611912 0.0997 6.6 0.77 5.51 0 Q-3 1.4523865 0.0802 9.6 0.91 5.59 0 Q-4 1.4221297 0.0643 9.1 1.53 5.53 0 1997 Q-1 1.291572 0.0512 8.5 1.96 5.56 0 Q-2 1.3224161 0.0446 6.8 0.58 5.81 0 Q-3 1.6787218 0.0432 2.5 2.83 5.73 1 Q-4 2.4173862 0.0499 1.4 11.05 5.84 1 1998 Q-1 4.7769098 0.0485 -4 25.3 5.66 1 Q-2 9.7528588 0.0307 -14.6 46.55 5.69 1 Q-3 7.106089 -0.0361 -16.1 75.47 5.62 1 Q-4 6.3419905 -0.1791 -17.7 77.63 5.27 1 1999 Q-1 6.7028791 -0.3603 -9.4 4.08 5.01 1 Q-2 5.3420985 -0.5845 3.3 2.73 5.07 1 Q-3 6.9492508 -0.771 0.9 0.02 5.44 1 Q-4 6.0137085 -0.8779 5.8 2.01 6.12 1 2000 Q-1 6.2086111 -0.829 3.2 -1.1 5.34 1 Q-2 7.2659874 -0.7142 4.1 2.1 4.18 1 Q-3 6.997884 -0.5536 5.1 6.8 3.45 1 Q-4 7.5825503 -0.4361 5.2 9.4 2.14 1 2001 Q-1 7.8463648 -0.4037 3.2 10.6 6.11 1 Q-2 8.4887317 -0.43 3.5 12.11 6.50 1 Q-3 7.1874833 -0.4652 3.2 13.01 6.70 1 Q-4 7.4464178 -0.5109 1.6 12.55 6.70 1 2002 Q-1 12.106423 -0.4986 2.5 14.08 1.90 1 Q-2 10.854168 -0.4685 3.5 11.48 1.92 1 Q-3 10.838513 -0.4215 3.9 10.1 1.81 1 Q-4 11.041389 -0.3962 3.8 10 1.55 1 2003 Q-1 2.9822013 -0.1024 3.4 7.1 1.33 0 Q-2 2.7557144 -0.096 3.8 6.6 1.23 0 Q-3 2.751569 -0.0896 3.9 6.2 1.13 0 Q-4 2.9376299 -0.0882 4.4 5.1 1.17 0 2004 Q-1 2.8983903 -0.0796 4.5 5.1 1.12 0 Q-2 3.051463 -0.0724 4.3 6.8 1.30 0 Q-3 2.8422371 -0.0639 5 6.3 1.75 0 Q-4 3.0397367 -0.0583 6.7 6.4 2.29 0 2005 Q-1 2.9777232 -0.0513 6.4 8.8 2.83 0 Q-2 3.0431464 -0.0455 5.5 7.8 3.28 0 Q-3 3.1217425 -0.0405 5.3 9.1 3.77 0 Q-4 2.9288679 -0.0396 4.9 17.1 4.34 0
Keterangan:
ULN_GDP = Rasio Utang Luar Negeri dengan GDP (miliar Rp)
GD_GDP = Rasio Utang Luar Negeri dengan Government Deficit (miliar Rp) INF = Tingkat Inflasi (persen per tahun)
LIBOR = London Inter Bank Offer Rate (persen per tahun) PE = Tingkat Pertumbuhan Ekonomi (persen)
Lampiran 4. Hasil Uji Akar Unit pada Level ULN_GDP pada Level
Null Hypothesis: ULN_GDP has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.988495 0.2906
Test critical values: 1% level -3.592462
5% level -2.931404
10% level -2.603944
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(ULN_GDP) Method: Least Squares
Date: 07/31/07 Time: 17:26 Sample(adjusted): 1995:2 2005:4
Included observations: 43 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
ULN_GDP(-1) -0.167608 0.084289 -1.988495 0.0535
C 0.842104 0.486998 1.729172 0.0913
R-squared 0.087959 Mean dependent var 0.030433 Adjusted R-squared 0.065714 S.D. dependent var 1.801997 S.E. of regression 1.741783 Akaike info criterion 3.993090 Sum squared resid 124.3861 Schwarz criterion 4.075007 Log likelihood -83.85144 F-statistic 3.954111 Durbin-Watson stat 1.958956 Prob(F-statistic) 0.053460 GD_GDP pada Level
Null Hypothesis: GD_GDP has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.221256 0.2021
Test critical values: 1% level -3.596616
5% level -2.933158
10% level -2.604867
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(GD_GDP) Method: Least Squares
Date: 07/31/07 Time: 17:27 Sample(adjusted): 1995:3 2005:4
Variable Coefficient Std. Error t-Statistic Prob.
GD_GDP(-1) -0.077541 0.034909 -2.221256 0.0322
D(GD_GDP(-1)) 0.669214 0.117254 5.707386 0.0000
C -0.017528 0.012341 -1.420309 0.1635
R-squared 0.471798 Mean dependent var -0.002788 Adjusted R-squared 0.444710 S.D. dependent var 0.086437 S.E. of regression 0.064411 Akaike info criterion -2.578321 Sum squared resid 0.161801 Schwarz criterion -2.454202
Log likelihood 57.14475 F-statistic 17.41767
Durbin-Watson stat 2.150847 Prob(F-statistic) 0.000004 PE pada Level
Null Hypothesis: PE has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.529527 0.1159
Test critical values: 1% level -3.596616
5% level -2.933158
10% level -2.604867
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(PE)
Method: Least Squares Date: 07/31/07 Time: 17:28 Sample(adjusted): 1995:3 2005:4
Included observations: 42 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
PE(-1) -0.202528 0.080066 -2.529527 0.0156
D(PE(-1)) 0.367057 0.147819 2.483152 0.0174
C 0.544985 0.531856 1.024684 0.3118
R-squared 0.203818 Mean dependent var -0.054762 Adjusted R-squared 0.162989 S.D. dependent var 3.396426 S.E. of regression 3.107333 Akaike info criterion 5.174156 Sum squared resid 376.5653 Schwarz criterion 5.298275 Log likelihood -105.6573 F-statistic 4.991898 Durbin-Watson stat 2.149939 Prob(F-statistic) 0.011742 INF pada Level
Null Hypothesis: INF has a unit root Exogenous: Constant
Lag Length: 1 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -3.546946 0.0114
Test critical values: 1% level -3.596616
10% level -2.604867 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INF)
Method: Least Squares Date: 07/31/07 Time: 17:29 Sample(adjusted): 1995:3 2005:4
Included observations: 42 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
INF(-1) -0.413431 0.116560 -3.546946 0.0010
D(INF(-1)) 0.356055 0.149836 2.376301 0.0225
C 4.716636 2.180610 2.162989 0.0367
R-squared 0.260993 Mean dependent var 0.351429 Adjusted R-squared 0.223095 S.D. dependent var 13.20358 S.E. of regression 11.63793 Akaike info criterion 7.815165 Sum squared resid 5282.213 Schwarz criterion 7.939284 Log likelihood -161.1185 F-statistic 6.886767 Durbin-Watson stat 2.028366 Prob(F-statistic) 0.002746 LIBOR pada Level
Null Hypothesis: LIBOR has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.956791 0.3042
Test critical values: 1% level -3.592462
5% level -2.931404
10% level -2.603944
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(LIBOR)
Method: Least Squares Date: 07/31/07 Time: 17:30 Sample(adjusted): 1995:2 2005:4
Included observations: 43 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
LIBOR(-1) -0.156357 0.079905 -1.956791 0.0572
C 0.618296 0.372721 1.658869 0.1048
R-squared 0.085414 Mean dependent var -0.045349 Adjusted R-squared 0.063107 S.D. dependent var 1.047313 S.E. of regression 1.013728 Akaike info criterion 2.910541 Sum squared resid 42.13339 Schwarz criterion 2.992457 Log likelihood -60.57663 F-statistic 3.829030 Durbin-Watson stat 1.856680 Prob(F-statistic) 0.057206
Lampiran 5. Hasil Uji Akar Unit pada First Difference ULN_GDP pada First Difference
Null Hypothesis: D(ULN_GDP) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.691379 0.0000
Test critical values: 1% level -3.596616
5% level -2.933158
10% level -2.604867
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(ULN_GDP,2) Method: Least Squares
Date: 07/31/07 Time: 17:31 Sample(adjusted): 1995:3 2005:4
Included observations: 42 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
D(ULN_GDP(-1)) -1.056506 0.157891 -6.691379 0.0000
C 0.031970 0.284521 0.112364 0.9111
R-squared 0.528160 Mean dependent var -0.005800 Adjusted R-squared 0.516364 S.D. dependent var 2.650908 S.E. of regression 1.843545 Akaike info criterion 4.107706 Sum squared resid 135.9464 Schwarz criterion 4.190452 Log likelihood -84.26182 F-statistic 44.77456 Durbin-Watson stat 2.008188 Prob(F-statistic) 0.000000 GD_GDP pada First Difference
Null Hypothesis: D(GD_GDP) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.987430 0.0443
Test critical values: 1% level -3.596616
5% level -2.933158
10% level -2.604867
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(GD_GDP,2) Method: Least Squares
Date: 07/31/07 Time: 17:32 Sample(adjusted): 1995:3 2005:4
Variable Coefficient Std. Error t-Statistic Prob.
D(GD_GDP(-1)) -0.364095 0.121876 -2.987430 0.0048
C -0.001289 0.010420 -0.123721 0.9022
R-squared 0.182418 Mean dependent var -0.000431 Adjusted R-squared 0.161978 S.D. dependent var 0.073740 S.E. of regression 0.067504 Akaike info criterion -2.506814 Sum squared resid 0.182271 Schwarz criterion -2.424068
Log likelihood 54.64309 F-statistic 8.924738
Durbin-Watson stat 1.990021 Prob(F-statistic) 0.004788 PE pada First Difference
Null Hypothesis: D(PE) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.796295 0.0003
Test critical values: 1% level -3.596616
5% level -2.933158
10% level -2.604867
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(PE,2)
Method: Least Squares Date: 07/31/07 Time: 17:33 Sample(adjusted): 1995:3 2005:4
Included observations: 42 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
D(PE(-1)) -0.729626 0.152123 -4.796295 0.0000
C -0.036737 0.510904 -0.071906 0.9430
R-squared 0.365124 Mean dependent var 0.011905 Adjusted R-squared 0.349252 S.D. dependent var 4.103669 S.E. of regression 3.310386 Akaike info criterion 5.278455 Sum squared resid 438.3462 Schwarz criterion 5.361201 Log likelihood -108.8475 F-statistic 23.00445 Durbin-Watson stat 2.017629 Prob(F-statistic) 0.000023
INF pada First Difference
Null Hypothesis: D(INF) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.408953 0.0001
Test critical values: 1% level -3.596616
5% level -2.933158
10% level -2.604867
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INF,2)
Method: Least Squares Date: 07/31/07 Time: 17:33 Sample(adjusted): 1995:3 2005:4
Included observations: 42 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
D(INF(-1)) -0.849038 0.156969 -5.408953 0.0000
C 0.329503 2.039352 0.161572 0.8725
R-squared 0.422439 Mean dependent var 0.206190 Adjusted R-squared 0.408000 S.D. dependent var 17.17627 S.E. of regression 13.21569 Akaike info criterion 8.047134 Sum squared resid 6986.177 Schwarz criterion 8.129880 Log likelihood -166.9898 F-statistic 29.25677 Durbin-Watson stat 1.930398 Prob(F-statistic) 0.000003 LIBOR pada First Difference
Null Hypothesis: D(LIBOR) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.270947 0.0000
Test critical values: 1% level -3.596616
5% level -2.933158
10% level -2.604867
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(LIBOR,2) Method: Least Squares
Date: 07/31/07 Time: 17:34 Sample(adjusted): 1995:3 2005:4
Included observations: 42 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
D(LIBOR(-1)) -0.995567 0.158759 -6.270947 0.0000
C -0.042353 0.165843 -0.255381 0.7997
R-squared 0.495744 Mean dependent var 0.017381 Adjusted R-squared 0.483138 S.D. dependent var 1.492505 S.E. of regression 1.073009 Akaike info criterion 3.025258 Sum squared resid 46.05391 Schwarz criterion 3.108004 Log likelihood -61.53042 F-statistic 39.32478 Durbin-Watson stat 1.991894 Prob(F-statistic) 0.000000
Lampiran 6. Hasil Uji Persamaan OLS untuk Estimasi Jangka Panjang Dependent Variable: ULN_GDP
Method: Least Squares Date: 07/31/07 Time: 16:30 Sample: 1995:1 2005:4 Included observations: 44
Variable Coefficient Std. Error t-Statistic Prob.
C 3.934519 1.053710 3.733968 0.0006
GD_GDP -7.861596 1.058811 -7.424931 0.0000
INF 0.059429 0.036251 1.639371 0.1092
PE -0.066392 0.097302 -0.682322 0.4991
LIBOR -0.269561 0.149554 -1.802426 0.0792
R-squared 0.680411 Mean dependent var 4.799166 Adjusted R-squared 0.647633 S.D. dependent var 3.164471 S.E. of regression 1.878446 Akaike info criterion 4.205412 Sum squared resid 137.6138 Schwarz criterion 4.408160 Log likelihood -87.51905 F-statistic 20.75796 Durbin-Watson stat 0.836551 Prob(F-statistic) 0.000000 Lampiran 7. Hasil Uji akar Unit Tingkat Level Terhadap Residual
Persamaan Jangka Panjang Utang Luar Negeri. Null Hypothesis: U has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.278654 0.0222
Test critical values: 1% level -3.592462
5% level -2.931404
10% level -2.603944
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(U)
Method: Least Squares Date: 07/31/07 Time: 17:36 Sample(adjusted): 1995:2 2005:4
Included observations: 43 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
U(-1) -0.417905 0.127462 -3.278654 0.0021
C -0.016010 0.227441 -0.070392 0.9442
R-squared 0.207723 Mean dependent var -0.024154 Adjusted R-squared 0.188399 S.D. dependent var 1.655409 S.E. of regression 1.491340 Akaike info criterion 3.682622 Sum squared resid 91.18784 Schwarz criterion 3.764538 Log likelihood -77.17637 F-statistic 10.74957 Durbin-Watson stat 1.931150 Prob(F-statistic) 0.002131
Lampiran 8. Hasil Estimasi Error Correction Model untuk Utang Luar Negeri dengan Lag (Selang) 4.
Dependent Variable: DULN_GDP Method: Least Squares
Date: 07/31/07 Time: 16:35 Sample(adjusted): 1996:2 2005:4
Included observations: 39 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
DGD_GDP -0.897372 4.802564 -0.186853 0.8540 DGD_GDP(-1) 0.533462 3.300606 0.161626 0.8735 DGD_GDP(-2) 0.806221 3.217612 0.250565 0.8052 DGD_GDP(-3) 1.487282 2.989901 0.497435 0.6253 DGD_GDP(-4) -0.172296 2.812489 -0.061261 0.9519 DINF -0.026371 0.024042 -1.096877 0.2880 DINF(-1) -0.052855 0.027915 -1.893440 0.0754 DINF(-2) -0.013936 0.038370 -0.363199 0.7209 DINF(-3) -0.020283 0.034322 -0.590970 0.5623 DINF(-4) -0.032524 0.036233 -0.897631 0.3819 DLIBOR 0.125971 0.266858 0.472053 0.6429 DLIBOR(-1) 0.287181 0.217154 1.322477 0.2035 DLIBOR(-2) -0.014908 0.189636 -0.078613 0.9383 DLIBOR(-3) 0.049687 0.174344 0.284995 0.7791 DLIBOR(-4) 1.357617 0.267209 5.080723 0.0001 DPE -0.344185 0.109311 -3.148684 0.0059 DPE(-1) -0.042722 0.107099 -0.398898 0.6949 DPE(-2) 0.059902 0.134337 0.445911 0.6613 DPE(-3) -0.187073 0.158649 -1.179164 0.2546 DPE(-4) -0.037848 0.084793 -0.446358 0.6610 DUMMY_PLTK 0.504129 0.248547 2.028305 0.0585 U(-1) -0.153912 0.134186 -1.147002 0.2673
R-squared 0.883730 Mean dependent var 0.036432 Adjusted R-squared 0.740103 S.D. dependent var 1.894204 S.E. of regression 0.965667 Akaike info criterion 3.065862 Sum squared resid 15.85272 Schwarz criterion 4.004281 Log likelihood -37.78430 Durbin-Watson stat 1.806006
Lampiran 9. Error Correction Model Untuk Utang Luar Negeri dengan Variabel yang Signifikan.
Dependent Variable: DULN_GDP Method: Least Squares
Date: 07/31/07 Time: 16:39 Sample(adjusted): 1996:2 2005:4
Included observations: 39 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
DINF -0.032580 0.014012 -2.325155 0.0270 DINF(-1) -0.055400 0.014417 -3.842718 0.0006 DINF(-3) -0.023813 0.011945 -1.993573 0.0554 DLIBOR(-1) 0.313499 0.122033 2.568976 0.0154 DLIBOR(-4) 1.305952 0.128487 10.16404 0.0000 DPE -0.400617 0.064603 -6.201186 0.0000 DPE(-3) -0.118075 0.046706 -2.528062 0.0170 DUMMY_PLTK 0.435672 0.171351 2.542571 0.0164 U(-1) -0.162901 0.081310 -2.003460 0.0542
R-squared 0.862884 Mean dependent var 0.036432 Adjusted R-squared 0.826320 S.D. dependent var 1.894204 S.E. of regression 0.789408 Akaike info criterion 2.564108 Sum squared resid 18.69496 Schwarz criterion 2.948007 Log likelihood -41.00010 Durbin-Watson stat 1.807383 Lampiran 10. Hasil Uji Heteroskedastisitas (ARCH test)
ARCH Test:
F-statistic 0.012412 Probability 0.911911
Obs*R-squared 0.013097 Probability 0.908887
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 07/31/07 Time: 17:38 Sample(adjusted): 1996:3 2005:4
Included observations: 38 after adjusting endpoints
Variable Coefficient Std. Error t-Statistic Prob.
C 0.479805 0.152781 3.140470 0.0034
RESID^2(-1) -0.018573 0.166706 -0.111409 0.9119
R-squared 0.000345 Mean dependent var 0.471070 Adjusted R-squared -0.027424 S.D. dependent var 0.797470 S.E. of regression 0.808331 Akaike info criterion 2.463506 Sum squared resid 23.52236 Schwarz criterion 2.549694 Log likelihood -44.80661 F-statistic 0.012412 Durbin-Watson stat 1.969231 Prob(F-statistic) 0.911911
Lampiran 11. Hasil Uji Autokorelasi Error Correction Model Untuk Model Dinamis Utang Luar Negeri
Breusch-Godfrey Serial Correlation LM Test:
F-statistic 0.066817 Probability 0.935515
Obs*R-squared 0.007453 Probability 0.996280
Test Equation:
Dependent Variable: RESID Method: Least Squares Date: 07/31/07 Time: 17:39
Presample missing value lagged residuals set to zero.
Variable Coefficient Std. Error t-Statistic Prob.
DINF -0.000394 0.014613 -0.026975 0.9787 DINF(-1) 4.53E-06 0.015311 0.000296 0.9998 DINF(-3) -0.000171 0.012359 -0.013854 0.9890 DLIBOR(-1) -0.017548 0.135046 -0.129937 0.8975 DLIBOR(-4) -0.006872 0.134010 -0.051281 0.9595 DPE -0.002248 0.067398 -0.033360 0.9736 DPE(-3) -0.000679 0.048272 -0.014062 0.9889 DUMMY_PLTK 0.003364 0.177977 0.018903 0.9851 U(-1) -0.009873 0.091291 -0.108143 0.9147 RESID(-1) 0.074509 0.224126 0.332443 0.7420 RESID(-2) -0.031214 0.211803 -0.147374 0.8839
R-squared 0.000191 Mean dependent var -0.046752 Adjusted R-squared -0.356884 S.D. dependent var 0.699807 S.E. of regression 0.815172 Akaike info criterion 2.661911 Sum squared resid 18.60616 Schwarz criterion 3.131120 Log likelihood -40.90726 Durbin-Watson stat 1.937353
Lampiran 12. Hasil Uji Normalitas
0 1 2 3 4 5 6 7 8 9 -2 -1 0 1 Series: Residuals Sample 1996:2 2005:4 Observations 39 Mean -0.046752 Median -0.127756 Maximum 1.296027 Minimum -2.077630 Std. Dev. 0.699807 Skewness -0.225041 Kurtosis 3.582034 Jarque-Bera 0.879673 Probability 0.644142