The fed rate
3. Uji Stasionerita Unit Akar Root Level a. FED Rate
Null Hypothesis: FEDRATE has a unit root Exogenous: Constant, Linear Trend
Bandwidth: 0 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.*
Phillips-Perron test statistic -0.550313 0.9770
Test critical values: 1% level -4.186481
5% level -3.518090
10% level -3.189732
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.154262
HAC corrected variance (Bartlett kernel) 0.154262
Phillips-Perron Test Equation Dependent Variable: D(FEDRATE) Method: Least Squares
Date: 06/19/17 Time: 22:44 Sample (adjusted): 2006Q2 2016Q4 Included observations: 43 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
FEDRATE(-1) -0.028205 0.051253 -0.550313 0.5852
C -0.162430 0.249170 -0.651881 0.5182
@TREND("2006Q1") 0.005092 0.008074 0.630653 0.5319 R-squared 0.074969 Mean dependent var -0.091860 Adjusted R-squared 0.028718 S.D. dependent var 0.413200 S.E. of regression 0.407224 Akaike info criterion 1.108308 Sum squared resid 6.633258 Schwarz criterion 1.231182 Log likelihood -20.82862 Hannan-Quinn criter. 1.153620 F-statistic 1.620902 Durbin-Watson stat 1.352470 Prob(F-statistic) 0.210438
b. Excahange rate
Null Hypothesis: LN_EX has a unit root Exogenous: Constant, Linear Trend
Bandwidth: 0 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.*
Phillips-Perron test statistic -1.540428 0.7996
Test critical values: 1% level -4.186481
5% level -3.518090
10% level -3.189732
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.001904
HAC corrected variance (Bartlett kernel) 0.001904
Phillips-Perron Test Equation Dependent Variable: D(LN_EX) Method: Least Squares Date: 06/19/17 Time: 22:45 Sample (adjusted): 2006Q2 2016Q4 Included observations: 43 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
LN_EX(-1) -0.104630 0.067923 -1.540428 0.1313
C 0.942668 0.613853 1.535659 0.1325
@TREND("2006Q1") 0.001436 0.000825 1.742161 0.0892
R-squared 0.073579 Mean dependent var 0.008288
Adjusted R-squared 0.027258 S.D. dependent var 0.045873 S.E. of regression 0.045244 Akaike info criterion -3.286299 Sum squared resid 0.081879 Schwarz criterion -3.163424 Log likelihood 73.65542 Hannan-Quinn criter. -3.240986 F-statistic 1.588469 Durbin-Watson stat 1.479735 Prob(F-statistic) 0.216852
c. FDI
Null Hypothesis: LN_FDI has a unit root Exogenous: Constant, Linear Trend
Bandwidth: 0 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.*
Phillips-Perron test statistic -3.310329 0.0782
Test critical values: 1% level -4.186481
5% level -3.518090
10% level -3.189732
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.155293
HAC corrected variance (Bartlett kernel) 0.155293
Phillips-Perron Test Equation Dependent Variable: D(LN_FDI) Method: Least Squares
Date: 06/19/17 Time: 22:46 Sample (adjusted): 2006Q2 2016Q4 Included observations: 43 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
LN_FDI(-1) -0.430578 0.130071 -3.310329 0.0020
C 3.132124 0.941971 3.325074 0.0019
@TREND("2006Q1") 0.015079 0.006858 2.198807 0.0337
R-squared 0.215134 Mean dependent var 0.033822
Adjusted R-squared 0.175891 S.D. dependent var 0.450078 S.E. of regression 0.408583 Akaike info criterion 1.114972 Sum squared resid 6.677607 Schwarz criterion 1.237846 Log likelihood -20.97189 Hannan-Quinn criter. 1.160284 F-statistic 5.482071 Durbin-Watson stat 1.731521 Prob(F-statistic) 0.007869
d. IHSG
Null Hypothesis: LN_IHSG has a unit root Exogenous: Constant, Linear Trend
Bandwidth: 0 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.*
Phillips-Perron test statistic -2.351239 0.3987
Test critical values: 1% level -4.186481
5% level -3.518090
10% level -3.189732
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.013373
HAC corrected variance (Bartlett kernel) 0.013373
Phillips-Perron Test Equation Dependent Variable: D(LN_IHSG) Method: Least Squares
Date: 06/19/17 Time: 22:48 Sample (adjusted): 2006Q2 2016Q4 Included observations: 43 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
LN_IHSG(-1) -0.228300 0.097098 -2.351239 0.0237
C 1.743572 0.715037 2.438436 0.0193
@TREND("2006Q1") 0.005869 0.003432 1.710302 0.0950
R-squared 0.138942 Mean dependent var 0.033433
Adjusted R-squared 0.095889 S.D. dependent var 0.126100 S.E. of regression 0.119901 Akaike info criterion -1.337080 Sum squared resid 0.575054 Schwarz criterion -1.214205 Log likelihood 31.74721 Hannan-Quinn criter. -1.291767 F-statistic 3.227238 Durbin-Watson stat 1.567674 Prob(F-statistic) 0.050194
4. UJI STASIONERITAS AKAR UNIT ROOT LEVEL FIRST DIFERENCE a. The Fed
Null Hypothesis: D(FEDRATE) has a unit root Exogenous: Constant, Linear Trend
Bandwidth: 20 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.*
Phillips-Perron test statistic -5.920400 0.0001
Test critical values: 1% level -4.192337
5% level -3.520787
10% level -3.191277
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.133605
HAC corrected variance (Bartlett kernel) 0.025273
Phillips-Perron Test Equation Dependent Variable: D(FEDRATE,2) Method: Least Squares
Date: 06/19/17 Time: 22:50 Sample (adjusted): 2006Q3 2016Q4 Included observations: 42 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(FEDRATE(-1)) -0.731074 0.146728 -4.982504 0.0000
C -0.277380 0.130549 -2.124709 0.0400
@TREND("2006Q1") 0.008805 0.004993 1.763679 0.0856 R-squared 0.391486 Mean dependent var -0.009286 Adjusted R-squared 0.360280 S.D. dependent var 0.474251 S.E. of regression 0.379318 Akaike info criterion 0.967864 Sum squared resid 5.611398 Schwarz criterion 1.091984 Log likelihood -17.32515 Hannan-Quinn criter. 1.013359 F-statistic 12.54528 Durbin-Watson stat 1.900003 Prob(F-statistic) 0.000062
b. Exchange rate
Null Hypothesis: D(LN_EX) has a unit root Exogenous: Constant, Linear Trend
Bandwidth: 4 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.*
Phillips-Perron test statistic -4.842033 0.0017
Test critical values: 1% level -4.192337
5% level -3.520787
10% level -3.191277
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.001955
HAC corrected variance (Bartlett kernel) 0.001500
Phillips-Perron Test Equation Dependent Variable: D(LN_EX,2) Method: Least Squares
Date: 06/19/17 Time: 22:50 Sample (adjusted): 2006Q3 2016Q4 Included observations: 42 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(LN_EX(-1)) -0.775829 0.155922 -4.975754 0.0000
C -0.000287 0.014942 -0.019241 0.9847
@TREND("2006Q1") 0.000326 0.000590 0.552054 0.5841
R-squared 0.388535 Mean dependent var 0.000616
Adjusted R-squared 0.357178 S.D. dependent var 0.057236 S.E. of regression 0.045890 Akaike info criterion -3.256393 Sum squared resid 0.082130 Schwarz criterion -3.132274 Log likelihood 71.38425 Hannan-Quinn criter. -3.210898 F-statistic 12.39061 Durbin-Watson stat 1.920482 Prob(F-statistic) 0.000068
c. FDI
Null Hypothesis: D(LN_FDI) has a unit root Exogenous: Constant, Linear Trend
Bandwidth: 11 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.*
Phillips-Perron test statistic -8.364868 0.0000
Test critical values: 1% level -4.192337
5% level -3.520787
10% level -3.191277
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.200685
HAC corrected variance (Bartlett kernel) 0.046367
Phillips-Perron Test Equation Dependent Variable: D(LN_FDI,2) Method: Least Squares
Date: 06/19/17 Time: 22:51 Sample (adjusted): 2006Q3 2016Q4 Included observations: 42 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(LN_FDI(-1)) -1.037521 0.159538 -6.503277 0.0000
C 0.069224 0.151456 0.457060 0.6502
@TREND("2006Q1") -0.001270 0.005920 -0.214571 0.8312
R-squared 0.520284 Mean dependent var 0.008313
Adjusted R-squared 0.495683 S.D. dependent var 0.654633 S.E. of regression 0.464890 Akaike info criterion 1.374716 Sum squared resid 8.428774 Schwarz criterion 1.498835 Log likelihood -25.86903 Hannan-Quinn criter. 1.420211 F-statistic 21.14905 Durbin-Watson stat 2.021978 Prob(F-statistic) 0.000001
d. IHSG
Null Hypothesis: D(LN_IHSG) has a unit root Exogenous: Constant, Linear Trend
Bandwidth: 4 (Newey-West automatic) using Bartlett kernel
Adj. t-Stat Prob.*
Phillips-Perron test statistic -5.332884 0.0004
Test critical values: 1% level -4.192337
5% level -3.520787
10% level -3.191277
*MacKinnon (1996) one-sided p-values.
Residual variance (no correction) 0.015260
HAC corrected variance (Bartlett kernel) 0.011573
Phillips-Perron Test Equation Dependent Variable: D(LN_IHSG,2) Method: Least Squares
Date: 06/19/17 Time: 22:52 Sample (adjusted): 2006Q3 2016Q4 Included observations: 42 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(LN_IHSG(-1)) -0.858738 0.158469 -5.418973 0.0000
C 0.053110 0.042981 1.235655 0.2240
@TREND("2006Q1") -0.001145 0.001647 -0.695545 0.4908 R-squared 0.429541 Mean dependent var -0.002179 Adjusted R-squared 0.400286 S.D. dependent var 0.165540 S.E. of regression 0.128196 Akaike info criterion -1.201766 Sum squared resid 0.640933 Schwarz criterion -1.077647 Log likelihood 28.23709 Hannan-Quinn criter. -1.156271 F-statistic 14.68298 Durbin-Watson stat 1.959957 Prob(F-statistic) 0.000018
5. UJI lag optimum
VAR Lag Order Selection Criteria
Endogenous variables: FEDRATE LN_EX LN_FDI LN_IHSG
Exogenous variables: C Date: 06/19/17 Time: 22:53 Sample: 2006Q1 2016Q4 Included observations: 41
Lag LogL LR FPE AIC SC HQ
0 -88.86519 NA 0.001090 4.530009 4.697187 4.590886
1 80.70346 297.7791 6.11e-07 -2.961144 -2.125256* -2.656760 2 105.4765 38.67006* 4.08e-07* -3.389096 -1.884496 -2.841204*
3 121.9104 22.44630 4.25e-07 -3.410262* -1.236951 -2.618862 * 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
6. Uji Kointegrasi
Date: 06/19/17 Time: 22:55 Sample: 2006Q1 2016Q4 Included observations: 41
Series: FEDRATE LN_EX LN_FDI LN_IHSG Lags interval: 1 to 2
Test Type No Intercept Intercept Intercept Intercept Intercept
No Trend No Trend No Trend Trend Trend
Trace 3 1 1 1 1
Max-Eig 1 1 1 1 1
*Critical values based on MacKinnon-Haug-Michelis (1999) Information
Criteria by Rank and
Model
Data Trend: None None Linear Linear Quadratic
Rank or No Intercept Intercept Intercept Intercept Intercept No. of CEs No Trend No Trend No Trend Trend Trend
0 -2.651872 -2.651872 -2.738288 -2.738288 -2.764152 1 -2.995882 -3.099773 -3.208502 -3.271856 -3.328624 2 -2.995285 -3.131251 -3.225682 -3.294532 -3.341888*
3 -2.891143 -2.978936 -2.994546 -3.034171 -3.114038 4 -2.589745 -2.629774 -2.629774 -2.747316 -2.747316
7. Uji kointegrasi Deterministic
Date: 06/19/17 Time: 22:57 Sample (adjusted): 2006Q4 2016Q4 Included observations: 41 after adjustments
Trend assumption: No deterministic trend (restricted constant) Series: FEDRATE LN_EX LN_FDI LN_IHSG
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 * 0.588080 71.09397 54.07904 0.0008
At most 1 0.375312 34.73003 35.19275 0.0560 At most 2 0.249270 15.43944 20.26184 0.2022 At most 3 0.085943 3.684349 9.164546 0.4612 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 * 0.588080 36.36394 28.58808 0.0042
At most 1 0.375312 19.29059 22.29962 0.1249 At most 2 0.249270 11.75509 15.89210 0.2006 At most 3 0.085943 3.684349 9.164546 0.4612 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):
FEDRATE LN_EX LN_FDI LN_IHSG C
0.371604 -6.771467 -3.769607 7.685475 30.50933 0.157522 0.490328 1.422030 0.990351 -24.87046 -0.301097 1.038962 -2.656016 1.656823 -2.349439 -0.676381 0.501555 0.259160 -1.537653 7.010456
Unrestricted Adjustment Coefficients (alpha):
D(FEDRATE) 0.052542 0.114761 0.003581 0.077023
D(LN_EX) 0.005577 0.003791 -0.017943 -0.002653
D(LN_FDI) 0.223680 -0.111172 0.052464 0.010050 D(LN_IHSG) -0.018197 -0.050646 0.016200 0.021526
1 Cointegrating Equation(s): Log likelihood 104.5453 Normalized cointegrating coefficients (standard error in parentheses)
FEDRATE LN_EX LN_FDI LN_IHSG C 1.000000 -18.22225 -10.14414 20.68188 82.10166
(3.85017) (1.90631) (2.74890) (31.0559) Adjustment coefficients (standard error in parentheses)
D(FEDRATE) 0.019525
2 Cointegrating Equation(s): Log likelihood 114.1906 Normalized cointegrating coefficients (standard error in parentheses)
FEDRATE LN_EX LN_FDI LN_IHSG C
1.000000 0.000000 6.230375 8.387256 -122.8717 (5.25302) (6.92283) (28.6417) 0.000000 1.000000 0.898600 -0.674704 -11.24852 (0.29865) (0.39358) (1.62835) Adjustment coefficients (standard error in parentheses)
D(FEDRATE) 0.037602 -0.299517 (0.02175) (0.36587) D(LN_EX) 0.002669 -0.035903 (0.00269) (0.04521) D(LN_FDI) 0.065608 -1.569155 (0.01858) (0.31259) D(LN_IHSG) -0.014740 0.098390 (0.00746) (0.12557)
3 Cointegrating Equation(s): Log likelihood 120.0682 Normalized cointegrating coefficients (standard error in parentheses)
FEDRATE LN_EX LN_FDI LN_IHSG C Adjustment coefficients (standard error in parentheses)
D(FEDRATE) 0.036524 -0.295796 -0.044380 (0.02713) (0.37011) (0.26004) D(LN_EX) 0.008072 -0.054545 0.032026 (0.00295) (0.04022) (0.02826) D(LN_FDI) 0.049812 -1.514647 -1.140624 (0.02271) (0.30974) (0.21762) D(LN_IHSG) -0.019618 0.115222 -0.046451 (0.00920) (0.12550) (0.08817)
8 UJI VECM
Vector Error Correction Estimates Date: 06/19/17 Time: 22:58 Sample (adjusted): 2006Q4 2016Q4 Included observations: 41 after adjustments Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq: CointEq1 FEDRATE(-1) 1.000000
Error Correction: D(FEDRATE) D(LN_EX) D(LN_FDI) D(LN_IHSG)
CointEq1 0.019525 0.002072 0.083121 -0.006762
(0.02140) (0.00249) (0.01860) (0.00764) [ 0.91246] [ 0.83319] [ 4.46820] [-0.88561]
D(FEDRATE(-1)) 0.363168 0.037296 -0.036214 -0.076757 (0.16532) (0.01922) (0.14372) (0.05899) [ 2.19680] [ 1.94092] [-0.25198] [-1.30113]
D(FEDRATE(-2)) -0.051584 -0.019855 0.077909 0.075797 (0.15920) (0.01850) (0.13840) (0.05681) [-0.32403] [-1.07301] [ 0.56293] [ 1.33427]
D(LN_EX(-1)) -3.643935 0.210350 0.479750 0.478250 (1.70181) (0.19781) (1.47950) (0.60728) [-2.14121] [ 1.06339] [ 0.32426] [ 0.78753]
D(LN_EX(-2)) -0.274272 0.275694 -1.524330 -0.050780 (1.72296) (0.20027) (1.49788) (0.61483) [-0.15919] [ 1.37663] [-1.01765] [-0.08259]
D(LN_FDI(-1)) 0.012952 0.031041 0.190011 -0.055866 (0.14630) (0.01701) (0.12719) (0.05221) [ 0.08853] [ 1.82533] [ 1.49391] [-1.07009]
D(LN_FDI(-2)) -0.172019 0.009230 -0.191936 -1.35E-05 (0.15408) (0.01791) (0.13395) (0.05498) [-1.11641] [ 0.51536] [-1.43285] [-0.00024]
D(LN_IHSG(-1)) -0.323476 -0.159062 -1.397251 0.433720 (0.64857) (0.07539) (0.56385) (0.23144) [-0.49875] [-2.10994] [-2.47806] [ 1.87401]
D(LN_IHSG(-2)) -1.190910 0.082017 -1.397771 0.186151 (0.81711) (0.09498) (0.71037) (0.29158) [-1.45747] [ 0.86355] [-1.96767] [ 0.63842]
R-squared 0.356220 0.329366 0.609905 0.166512
Adj. R-squared 0.195275 0.161708 0.512381 -0.041859 Sum sq. resids 4.350281 0.058775 3.287951 0.553953
S.E. equation 0.368709 0.042857 0.320544 0.131571
F-statistic 2.213305 1.964506 6.253915 0.799112
Log likelihood -12.18818 76.04962 -6.448676 30.06059
Akaike AIC 1.033570 -3.270713 0.753594 -1.027346
Schwarz SC 1.409720 -2.894563 1.129744 -0.651196
Mean dependent -0.112683 0.009096 0.035933 0.031677 S.D. dependent 0.411017 0.046808 0.459037 0.128901 Determinant resid covariance (dof adj.) 1.93E-07
Determinant resid covariance 7.17E-08
Log likelihood 104.5453
Akaike information criterion -3.099773
Schwarz criterion -1.386201
9. IRF
a. Respon IRF terhadap IHSG
-.02 -.01 .00 .01 .02 .03
5 10 15 20 25 30 35 40
Response of LN_IHSG to Cholesky One S.D. FEDRATE Innovation
b. Respon IRF terhadap FDI
-.06 -.04 -.02 .00 .02 .04 .06 .08 .10
5 10 15 20 25 30 35 40
Response of LN_FDI to Cholesky One S.D. FEDRATE Innovation
C. RESPON IRF terhadap Exchange rate
-.008 -.004 .000 .004 .008 .012 .016
5 10 15 20 25 30 35 40
Response of LN_EX to Cholesky One S.D. FEDRATE Innovation