Hasil Peneliti, dan Tahun. Variabel. Harga. Minyak. Pertumbuhan. n Ekonomi. Harga. Minyak

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LAMPIRAN

Lampiran 1

Hasil Penelitian Sebelumnya No Judul Penelitian, Nama

Peneliti, dan Tahun

Variabel dan Model,

P e n u l i s

Hasil 1 The Interaction between

Oil Price and Economic Growth.

Latife Ghalayini. Euro Journals Publishing, Inc.

2011: 127-141.

Harga Minyak Pertumbuhan Ekonomi.

Untuk negara-negara importir minyak, kenaikan harga minyak dan pertumbuhan ekonomi berkorelasi negatif, berkorelasi positif negara pengekspor minyak, uji kausalitas Granger

menyimpulkan bahwa interaksi antara harga minyak perubahan dan pertumbuhan ekonomi tidak

terbukti di sebagian besar negara tetapi untuk kelompok G-7, terbukti di mana, hubungan searah dari harga minyak ke produk domestik bruto.

2 Khuram shafi & Liu, Hua (2014): Oil Prices Fluctuations & Its Impact on Russians Economy; An Exchange Rate Exposure.

Harga Minyak Pertumbuhan Ekonomi.

Identifikasi dampak harga minyak dan risiko volatilitas nilai tukar terhadap

pertumbuhan ekonomi.

3 Idrisov, Georgiy (Идрисов, Георгий) &

Kazakova, Maria (Казакова, Мария) &

Polbin, Andrey (Полбин, Андрей) (2014): The theoretical interpretation of the effect of oil prices on economic growth in modern Russia.

Harga Minyak Pertumbuhan Ekonomi.

Secara teoretis ada pengaruh

harga minyak terhadap

pertumbuhan ekonomi.

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No Judul Penelitian, Nama Peneliti, dan Tahun

Variabel dan Model,

P e n u l i s

Hasil 5 Idrisov, Georgy &

Kazakova, Maria &

Polbin, Andrey (2015): A theoretical interpretation of the oil prices impact on economic growth in contemporary Russia.

Harga Minyak Pertumbuhan Ekonomi.

Kenaikan harga minyak yang konstan tidak dapat mempengaruhi tingkat pertumbuhan ekonomi jangka panjang dan hanya menentukan tren transisi jangka pendek.

6 José Fuinhas &

António Marques &

Alcino Couto (2015): Oil rents and economic growth in oil producing countries:

evidence from a macro panel.

Harga Minyak Pertumbuhan Ekonomi.

Pengaruh ekspor barang dan jasa, rasio produksi minyak terhadap konsumsi energi primer, harga minyak domestik, dan harga minyak mentah. internasional.

Konsumsi minyak

menggerakkan pertumbuhan ekonomi.

7 María Dolores Gadea &

Ana Gómez-Loscos &

Antonio Montañés (2016): Oil Price and Economic Growth: A Long Story?

Harga Minyak Pertumbuhan Ekonomi.

Terjadi perubahan dalam hubungan antara harga minyak dan pertumbuhan ekonomi AS.

8 Svetlana Aleksandrova (2016): Impact of Oil Prices on Oil Exporting Countries in the Caucasus and Central Asia.

Harga Minyak Pertumbuhan Ekonomi.

Adanya dampak penurunan harga minyak pada

pertumbuhan ekonomi.

9 Nagmi M. Moftah

Aimer (2016): The Effects of Fluctuations of Oil Price on Economic Growth of Libya.

Harga Minyak Pertumbuhan Ekonomi.

Harga minyak yang lebih tinggi memiliki dampak positif dan signifikan secara statistik pada pertumbuhan ekonomi.

10 Mohaddes, Kamiar &

Pesaran, M. Hashem (2017): Oil prices and the global economy: Is it

Harga Minyak Pertumbuhan Ekonomi.

Hubungan negatif antara

harga minyak dan dividen

riil yang merupakan proksi

untuk kegiatan ekonomi.

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No Judul Penelitian, Nama Peneliti, dan Tahun

Variabel dan Model,

P e n u l i s

Hasil 11 Musa Foudeh (2017):

The Long Run Effects of Oil Prices on Economic Growth: The Case of Saudi Arabia.

Harga Minyak Pertumbuhan Ekonomi.

Dampak langsung positif yang kuat dari harga minyak OS pada tingkat pertumbuhan PDB KSA. Harga minyak OS tidak mempengaruhi tingkat

pertumbuhan PDB Saudi secara tidak langsung.

12 Hlompo Panelope Maruping & Itumeleng Pleasure Mongale (2017): The real influences of oil prices changes on the growth of real GDP: The case of South Africa.

Harga Minyak Pertumbuhan Ekonomi, PDB riil.

Konsumsi minyak dianggap sebagai salah satu penentu utama kegiatan ekonomi di negara mana pun, oleh karena itu fluktuasi harga berpotensi memperlambat pertumbuhan ekonomi.

13 Jungho Baek & Taylor B.

Young (0001) atau 2017: A new look at the crude oil prices and economic growth nexus: asymmetric evidence from Alaska.

Harga Minyak Pertumbuhan Ekonomi.

Perubahan harga minyak memang secara asimetris mempengaruhi pertumbuhan ekonomi.

14 Mohammadreza Nahidi &

Arash Ketabforoush Badri (2018): The Leverage Effect of Oil Price Shocks on Economic Growth of Iran.

Harga Minyak Pertumbuhan Ekonomi.

Setiap guncangan harga minyak positif dan negatif

berdampak pada pertumbuhan ekonomi.

15 Tarek Tawfik Yousef Alkhateeb & Zafar Ahmad Sultan (2019):

Oil Price and Economic Growth: The Case of Indian Economy.

Harga Minyak Pertumbuhan Ekonomi.

Hasil VECM menunjukkan bahwa harga minyak,

pembentukan modal dan inflasi kausalitas dengan pertumbuhan ekonomi dalam jangka panjang.

Lebih lanjut hasilnya

menunjukkan bahwa koefisien

harga minyak negatif dan

signifikan yang menyiratkan

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No Judul Penelitian, Nama Peneliti, dan Tahun

Variabel dan Model,

P e n u l i s

Hasil 16 Quintero Otero, Jorge

David (2020): Not all sectors are alike:

Differential impacts of shocks in oil prices on the sectors of the Colombian economy

Harga Minyak Pertumbuhan Ekonomi.

Permintaan khusus untuk minyak dan guncangan permintaan agregat yang secara signifikan

mempengaruhi total produksi di Kolombia.

17 Green, D.J. (1988). A Demand-Determined Model of the Residual Fuel Oil Market.

Butterworth & Co (Publishers) Ltd.

Kuantitas Permintaan, Kuantittas Penawaran, Harga, minyak.

Model Konsumen dan Produsen dikembangkan dikembangan untuk maksimal laba yang ditentukan oleh tingkat produksi, impor, dan perseidaan.

18 Are The Macroeconomi Effects of Oil-Price Changes Symmetric?.

Tatom, J.A.

1988.Carnegie- Rochester Conference Series on Public Policy (28), 325-368.

Harga minyak, Harga Energi, Permintaan Agregat, Impor, Ekspor.

Penurunan harga minyak tahun 1986 merupak shock dalam ekonomi. Guncangan harga energi dikarenakan produktivitas tenaga kerja, modal, sumber daya dan input agregat.

19 Production-sharing contracts and decision- making in oil

production- The case.

Yusgiantoro, P. and Hsiao, F.S.T. 1993.

Energy Economics Volume 15.

Kontrak bagi hasil,

pengambilan keputusan, Produksi minyak.

Pengaturan menjadi model pengambilan keputusan produksi minyak di Indonesia.

Model dibangun untuk

menentukan nilai moneter yang diharapkan dari proyek, model produksi yang kompleks dapat diimplementasikan dengan mudah pada program sojiware spreadsheet elektronik.

20 Ewald Walterskirchen (2000): Higher Oil Prices and Budgetary Consolidation Dampen Economic Growth.

Harga minyak, Konsolidasi Anggaran, Pertumbuhan Ekonomi.

Kenaikan harga minyak mentah dan upaya yang lebih kuat untuk mengkonsolidasikan keuangan publik akan membuat

pertumbuhan ekonomi lebih

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No Judul Penelitian, Nama Peneliti, dan

Tahun

Variabel dan Model,

P e n u l i s

Hasil 21 Estimating Oil

Product Demand in Indonesia using a Cointegrating Error Correction Model.

Kurtubi.

2001.OPEC Energy Review Volume 25 issue 1.

Struktutr ekonomi.

pertumbuhan ekonomi, Konsumsi minyak,

transportasi dan listrik dan rumah tangga.

Konsumsi minyak pada transportasi dan listrik dan sektor rumah tangga. Perubahan ini terjadi, karena pendapatan riil per kapita meningkat lebih dari empat belas kali lipat, Lebih banyak orang membeli

kendaraan pribadi, dan karena pertumbuhan industri produksi, sehingga Indonesia terus berkembang.

22 Pengaruh Harga Minyak dan Suku Bunga FED terhadap Harga-harga Aset Indonesia 1993- 2005. Hakim, L.

2005.Jurnal Empirika Fak. Ekonomi

Universitas Muhammadiyah Surakarta.

Penawaran uang (M), pendapatan nasional riil (Y), tingkat gaji (W), tingkat harga (P) dan, tingkat harga impor (PM).

Harga minyak maupun suku bungan Fed berpengaruh terhadap harga- harga aset. Respon harga- harga (IHK), harga valuta asing dan harga saham (IHSG) terhadap shock harga mniyak bumi jauh lebih tinggi daripada suku bunga Fed.Sebaliknya, harga di pasar uang merespon shock suku bunga Fed yang jauh lebih kuat daripada harga minyak bumi.

23 Noor-e-Saher (2011):

Impact of Oil Prices on Economic Growth and Exports Earning:

In the Case of Pakistan and India.

Harga minyak, pendapatan ekspor, pertumbuhan ekonomi.

Harga minyak tidak disignifikan terhadap ekspor, SDM, modal fisik dan pertumbuhan

ekonomi signifikan pada ekspor.

24 Murphy, David J. &

Hall, Charles A.S.

(2011): Adjusting the economy to the new energy realities of the second half of the age of oil.

Pertumbuhan ekonomi, Energi baru.

Pertumbuhan ekonomi, membutuhkan lebih banyak minyak, harga minyak yang tinggi yang akan menurunkan pertumbuhan ekonomi.

25 Coleman, Les (2012): Pasar Modal, Hubungan positif antara harga

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No Judul Penelitian, Nama Peneliti, dan

Tahun

Variabel dan Model,

P e n ul is

Hasil 26 Naranpanawa,

Athula

& Bandara, Jayatilleke S.

(2012): Poverty and growth impacts of high oil prices:

Evidence from Sri Lanka.

Kemiskinan, pertumbuhan harga minyak.

Naiknya harga minyak dan pangan pada tahun 2007 dan 2008

berdampak negatif pada kemiskinan dan pertumbuhan ekonomi, harga minyak yang tinggi, rumah tangga

berpendapatan rendah di perkotaan dan rumah tangga pedesaan berpenghasilan rendah.

27 Hamilto, J.D.

(1983):Oil and the Macroeconomy since World War II. The University of Chicago Press.

GNP, Inflasi, Pengangguran, Harga.

Kenaikan harga minyak dapat mempredeksi harga minyak tahun yang akan datang. Harga minyak impor merupakan harga minyak masa depan.

28 Hamdi, Helmi &

Sbia,

Rashid (2013):

Dynamic relationships between oil revenues, government spending and economic growth in an oil-dependent economy.

Pendapatan minyak, pengeluaran pemerintah, Pertumbuhan ekonomi.

Hubungan dinamis antara pendapatan minyak,

pengeluaran pemerintah dan pertumbuhan ekonomi.

29 Hanan Naser (2014):

Oil Market, Nuclear Energy Consumption and Economic Growth:

Pasar Minyak, Konsumsi Energi Nuklir, Pertumbuhan Ekonomi.

Hubungan antara konsumsi minyak, konsumsi energi nuklir, harga minyak dan pertumbuhan ekonomi di empat negara

berkembang (Rusia, Cina, Korea

Selatan, dan India) ada hubungan

kausalitas searah terhadap PDB riil

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No Judul Penelitian, Nama Peneliti, dan Tahun

Variabel dan Model,

P e n u l i s

Hasil 30 Taha Zaghdoudi

(2017): Oil prices, renewable energy, CO2 emissions and

economic growth in OECD countries.

Harga minyak, Energi

terbaruka n, emisi CO2, pertumbu han ekonomi.

Dengan melakukan model kointegrasi panel, terdapat hubungan kuat tentang hubungan jangka panjang yang negatif dan signifikan antara harga minyak, energi terbarukan dan emisi CO2.

31 Dmitry Burakov (2017): Oil Prices, Economic Growth and Emigration: An Empirical Study of Transmission Channel.

Harga Minyak, Pertumbuhan Ekonomi, Emigrasi.

Hubungan langsung antara harga minyak dan pertumbuhan

ekonomi, serta antara pertumbuhan ekonomi dan emigrasi.

32 Shahbaz, Muhammad

& Sarwar, Suleman &

Chen, Wei & Malik, Muhammad Nasir (2017): Dynamics of electricity consumption, oil price and economic growth: Global

perspective.

Konsumsi listrik,

harga minyak, pertumbuhan ekonomi.

Hubungan antara pertumbuhan ekonomi, konsumsi listrik, harga minyak, modal, dan tenaga kerja.

33 Troster, Victor &

Shahbaz, Muhammad

& Uddin, Gazi Salah (2018): Renewable energy, oil prices, and economic activity: A Granger-causality in quantiles analysis.

Energi terbarukan, harga minyak, konsumsi minyak, harga minyak, pertumbuhan ekonomi.

Hubungan kausal antara konsumsi energi terbarukan, harga

minyak, dan aktivitas ekonomi terdapat dua arah antara perubahan konsumsi energi terbarukan dan pertumbuhan ekonomi pada kegiatan distribusi.

34 Peter Uchenna Okoye

& Chinwendu

Christopher Mbakwe &

Evelyn Ndifreke Igbo (2018): Modeling the Construction Sector

Sektor Konstruksi, Harga Minyak Pertumbuhan Ekonomi, harga minyak, sumber daya

Korelasi positif dan signifikan

yang sangat kuat antara output

sektor konstruksi dan total output

PDB (0,934), konstruksi output

sektor dan harga minyak (0,856),

dan total output PDB dan harga

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No Judul Penelitian, Nama Peneliti, dan Tahun

Variabel dan Model,

Pe nul

is

Hasil 35 Rostin Rostin & Abd

Azis Muthalib & Pasrun Adam & Muh. Nur &

Zainudin Saenong & La Ode Suriadi & Jamal Nasir Baso (2019): The Effect of Crude Oil Prices on Inflation, Interest Rates and Economic Growth in Indonesia.

Harga Minyak, Inflasi,

Suku Bunga, Pertumbuhan Ekonomi.

Tidak terdapat pengaruh harga minyak mentah terhadap

pertumbuhan ekonomi baik dalam jangka pendek maupun jangka panjang.

36

Omodero

, Cordelia

Onyinyechi (2019): A Relative Assessment Of The Contributions Of Agriculture, Oil And Non-Oil Tax Revenues To Nigeria’S Economic Expansion.

Kontribusi Pendapatan

Pertanian, Minyak, Non-Minyak, Ekspansi Ekonomi.

Pendapatan minyak memiliki dampak negatif yang signifikan terhadap pertumbuhan ekonomi yang diwakili oleh produk domestik bruto pendapatan pertanian dan pajak non- minyak memiliki pengaruh kuat dan positif yang kuat terhadap pertumbuhan ekonomi.

37 Shahbaz, Muhammad

& Ahmed, Khalid &

Tiwari, Aviral Kumar

& Jiao, Zhilun (2019):

Resource curse hypothesis and role of oil prices in USA.

Bencana sumber daya, harga minyak, produksi tambahan.

Harga minyak menigkatkan pertumbuhan ekonomi.

Tenaga kerja mendorong pertumbuhan ekonomi.

38 Bulat Mukhamediyev

& Lazat Spankulova (2020): The Impact of Innovation, Knowledge Spillovers and Oil Prices on Economic Growth of the Regions of

Kazakhstan.

Inovasi, Tranformasi Pengetahuan, Harga Minyak, Pertumbuhan Ekonom.

Berdasarkan analisis data panel

dengan fixed effect telah

mengkonfirmasi bahwa biaya

inovasi teknologi, dampaknya

antar wilayah, biaya kesehatan,

serta tingkat pertumbuhan harga

minyak dunia secara positif

mempengaruhi pertumbuhan

ekonomi.

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Lampiran 2. Uji Akar-Akar Unit

Uji Akar-akar Unit

Tabel uji akar-akar unit pada variabel penelitian ini sebagai berikut Variabel

Uji Akar Unit

Level 1

^st

Difference 2

^nd

Difference

ADF Prob ADF Prob ADF Prob

LNPDO -2.030297 0.2733 -6.670932 0.0000 -7.872221 0.0000 ECG -4.576017 0.0005 -9.001568 0.0000 -6.262611 0.0000 LNPFO -1.907943 0.3261 -7.378399 0.0000 -11.43633 0.0000 INF -6.419040 0.0000 -8.415867 0.0000 -7.410925 0.0000 LNKUR -0.887495 0.7840 -6.861020 0.0000 -4.845368 0.0003 LNMS -2.109596 0.2419 -6.900983 0.0000 -6.367309 0.0000 LNBN -2.490762 0.1239 -7.245050 0.0000 -9.222567 0.0000 SUB -1.818519 0.3674 -7.306907 0.0000 -12.81476 0.0000

1 Variabel LNPDO LEVEL

Null Hypothesis: LNPDO has a unit root Exogenous: Constant

Lag Length: 0 (Automatic - based on SIC, maxlag=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.030297 0.2733

Test critical values: 1% level -3.571310

5% level -2.922449

10% level -2.599224

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNPDO) Method: Least Squares

Date: 11/30/21 Time: 18:26 Sample (adjusted): 1971 2019

Included observations: 49 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

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Variabel LNPDO First Difference

Null Hypothesis: D(LNPDO) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.923780

10% level -2.599925

Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNPDO,2) Method: Least Squares

D(LNPDO(-1)) -0.950336 0.142459 -6.670932 0.0000

C 0.048210 0.056539 0.852680 0.3983

R-squared 0.491720 Mean dependent var 0.013958 Adjusted R-squared 0.480671 S.D. dependent var 0.541317 S.E. of regression 0.390098 Akaike info criterion 0.995935 Sum squared resid 7.000105 Schwarz criterion 1.073901 Log likelihood -21.90243 Hannan-Quinn criter. 1.025398 F-statistic 44.50133 Durbin-Watson stat 1.936023 Prob(F-statistic) 0.000000

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Variabel LNPDO Second Difference

Null Hypothesis: D(LNPDO,2) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.926622

10% level -2.601424

Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNPDO,3) Method: Least Squares

D(LNPDO(-1),2) -1.750727 0.222393 -7.872221 0.0000 D(LNPDO(-1),3) 0.359589 0.138384 2.598492 0.0128

C -0.000604 0.072381 -0.008347 0.9934

R-squared 0.695157 Mean dependent var -0.005652 Adjusted R-squared 0.680978 S.D. dependent var 0.868264 S.E. of regression 0.490413 Akaike info criterion 1.475856 Sum squared resid 10.34171 Schwarz criterion 1.595115 Log likelihood -30.94469 Hannan-Quinn criter. 1.520531 F-statistic 49.02814 Durbin-Watson stat 2.104496 Prob(F-statistic) 0.000000

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2 Variabel LNPFO LEVEL

Null Hypothesis: LNPFO has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.922449

10% level -2.599224

Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNPFO) Method: Least Squares

LNPFO(-1) -0.144500 0.075736 -1.907943 0.0625

C 0.528167 0.280851 1.880593 0.0662

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Variabel LNPFO First Difference

Null Hypothesis: D(LNPFO) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.923780

10% level -2.599925

Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNPFO,2) Method: Least Squares

D(LNPFO(-1)) -0.987083 0.133780 -7.378399 0.0000

C 0.026115 0.050640 0.515706 0.6085

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Variabel LNPFO Second Difference

Null Hypothesis: D(LNPFO,2) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.925169

10% level -2.600658

Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNPFO,3) Method: Least Squares

D(LNPFO(-1),2) -1.444101 0.126273 -11.43633 0.0000

C 0.003607 0.063548 0.056752 0.9550

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3 Variabel ECG LEVEL

Null Hypothesis: ECG has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.922449

10% level -2.599224

Augmented Dickey-Fuller Test Equation Dependent Variable: D(ECG)

Method: Least Squares Date: 11/30/21 Time: 18:31 Sample (adjusted): 1971 2019

ECG(-1) -0.614672 0.134325 -4.576017 0.0000

C 2.897826 0.765672 3.784685 0.0004

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Variabel ECG First Difference

Null Hypothesis: D(ECG) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.923780

10% level -2.599925

Augmented Dickey-Fuller Test Equation Dependent Variable: D(ECG,2)

D(ECG(-1)) -1.274943 0.141636 -9.001568 0.0000

C 0.022816 0.520945 0.043797 0.9653

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Variabel ECG Second Difference

Null Hypothesis: D(ECG,2) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.931404

10% level -2.603944

Augmented Dickey-Fuller Test Equation Dependent Variable: D(ECG,3)

D(ECG(-1),2) -5.232834 0.835567 -6.262611 0.0000 D(ECG(-1),3) 3.090140 0.728758 4.240285 0.0001 D(ECG(-2),3) 1.941601 0.553276 3.509278 0.0012 D(ECG(-3),3) 0.987626 0.344267 2.868777 0.0068 D(ECG(-4),3) 0.319292 0.153149 2.084836 0.0440

C 0.027646 0.633703 0.043626 0.9654

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4 Variabel INF LEVEL

Null Hypothesis: INF has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.922449

10% level -2.599224

Augmented Dickey-Fuller Test Equation Dependent Variable: D(INF)

INF(-1) -0.938038 0.146134 -6.419040 0.0000

C 10.13905 2.339296 4.334231 0.0001

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Variabel INF First Difference

Null Hypothesis: D(INF) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.925169

10% level -2.600658

Augmented Dickey-Fuller Test Equation Dependent Variable: D(INF,2)

D(INF(-1)) -2.009719 0.238801 -8.415867 0.0000 D(INF(-1),2) 0.353704 0.137303 2.576079 0.0134

C -0.586473 1.915820 -0.306121 0.7610

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Variabel INF Second Difference

Null Hypothesis: D(INF,2) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.929734

10% level -2.603064

Augmented Dickey-Fuller Test Equation Dependent Variable: D(INF,3)

D(INF(-1),2) -4.845645 0.653852 -7.410925 0.0000 D(INF(-1),3) 2.485784 0.542531 4.581825 0.0000 D(INF(-2),3) 1.203826 0.348408 3.455216 0.0013 D(INF(-3),3) 0.356759 0.144135 2.475175 0.0178

C -0.341980 2.402911 -0.142319 0.8876

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5 Variabel SUB LEVEL

Null Hypothesis: SUB has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.922449

10% level -2.599224

Augmented Dickey-Fuller Test Equation Dependent Variable: D(SUB)

SUB(-1) -0.129968 0.071469 -1.818519 0.0754

C 0.504033 0.281677 1.789398 0.0800

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Variabel SUB First Difference

Null Hypothesis: D(SUB) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.923780

10% level -2.599925

Augmented Dickey-Fuller Test Equation Dependent Variable: D(SUB,2)

D(SUB(-1)) -1.083791 0.148324 -7.306907 0.0000

C 0.070251 0.158097 0.444352 0.6589

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Variabel SUB Second Difference

Null Hypothesis: D(SUB,2) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.925169

10% level -2.600658

Augmented Dickey-Fuller Test Equation Dependent Variable: D(SUB,3)

D(SUB(-1),2) -1.599547 0.124821 -12.81476 0.0000

C 0.006072 0.191672 0.031682 0.9749

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6 Variabel LNKUR LEVEL

Null Hypothesis: LNKUR has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.922449

10% level -2.599224

Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNKUR) Method: Least Squares

LNKUR(-1) -0.022901 0.025804 -0.887495 0.3793

C 0.247703 0.212917 1.163379 0.2505

R-squared 0.016482 Mean dependent var 0.060816 Adjusted R-squared -0.004444 S.D. dependent var 0.219828 S.E. of regression 0.220316 Akaike info criterion -0.147549 Sum squared resid 2.281336 Schwarz criterion -0.070332 Log likelihood 5.614962 Hannan-Quinn criter. -0.118253 F-statistic 0.787648 Durbin-Watson stat 1.735146 Prob(F-statistic) 0.379332

(25)

Variabel LNKUR First Difference

Null Hypothesis: D(LNKUR) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.923780

10% level -2.599925

Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNKUR,2) Method: Least Squares

D(LNKUR(-1)) -0.943482 0.137513 -6.861020 0.0000

C 0.068700 0.031357 2.190895 0.0336

R-squared 0.505767 Mean dependent var 0.008750 Adjusted R-squared 0.495023 S.D. dependent var 0.293610 S.E. of regression 0.208644 Akaike info criterion -0.255597 Sum squared resid 2.002494 Schwarz criterion -0.177630 Log likelihood 8.134329 Hannan-Quinn criter. -0.226133 F-statistic 47.07360 Durbin-Watson stat 2.027300 Prob(F-statistic) 0.000000

(26)

Variabel LNKUR Second Difference

Null Hypothesis: D(LNKUR,2) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.933158

10% level -2.604867

Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNKUR,3) Method: Least Squares

D(LNKUR(-1),2) -3.578516 0.738544 -4.845368 0.0000 D(LNKUR(-1),3) 1.882987 0.643781 2.924887 0.0060 D(LNKUR(-2),3) 1.467708 0.543732 2.699322 0.0106 D(LNKUR(-3),3) 1.065448 0.422981 2.518904 0.0165 D(LNKUR(-4),3) 0.794188 0.293652 2.704521 0.0105 D(LNKUR(-5),3) 0.224549 0.159921 1.404126 0.1691

C 0.005499 0.035864 0.153335 0.8790

R-squared 0.839570 Mean dependent var -0.001905 Adjusted R-squared 0.812067 S.D. dependent var 0.534184 S.E. of regression 0.231575 Akaike info criterion 0.063186 Sum squared resid 1.876945 Schwarz criterion 0.352798 Log likelihood 5.673087 Hannan-Quinn criter. 0.169340 F-statistic 30.52723 Durbin-Watson stat 1.826675 Prob(F-statistic) 0.000000

(27)

7 Variabel LNBN LEVEL

Null Hypothesis: LNBN has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.922449

10% level -2.599224

Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNBN)

LNBN(-1) -0.028488 0.011437 -2.490762 0.0163

C 0.686134 0.207738 3.302887 0.0018

R-squared 0.116606 Mean dependent var 0.173265 Adjusted R-squared 0.097810 S.D. dependent var 0.202725 S.E. of regression 0.192556 Akaike info criterion -0.416903 Sum squared resid 1.742651 Schwarz criterion -0.339686 Log likelihood 12.21412 Hannan-Quinn criter. -0.387607 F-statistic 6.203894 Durbin-Watson stat 2.334561 Prob(F-statistic) 0.016337

(28)

Variabel LNBN First Difference

Null Hypothesis: D(LNBN) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.923780

10% level -2.599925

Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNBN,2) Method: Least Squares

D(LNBN(-1)) -1.063960 0.146853 -7.245050 0.0000

C 0.182390 0.039238 4.648284 0.0000

R-squared 0.532951 Mean dependent var -0.002917 Adjusted R-squared 0.522798 S.D. dependent var 0.298435 S.E. of regression 0.206159 Akaike info criterion -0.279568 Sum squared resid 1.955063 Schwarz criterion -0.201602 Log likelihood 8.709638 Hannan-Quinn criter. -0.250105 F-statistic 52.49075 Durbin-Watson stat 2.008872 Prob(F-statistic) 0.000000

(29)

Variabel LNBN Second Difference

Null Hypothesis: D(LNBN,2) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.926622

10% level -2.601424

Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNBN,3) Method: Least Squares

D(LNBN(-1),2) -2.191968 0.237674 -9.222567 0.0000 D(LNBN(-1),3) 0.446979 0.136587 3.272484 0.0021

C -0.006431 0.035295 -0.182201 0.8563

R-squared 0.805810 Mean dependent var -0.000217 Adjusted R-squared 0.796778 S.D. dependent var 0.530863 S.E. of regression 0.239314 Akaike info criterion 0.040911 Sum squared resid 2.462655 Schwarz criterion 0.160170 Log likelihood 2.059055 Hannan-Quinn criter. 0.085586 F-statistic 89.21647 Durbin-Watson stat 2.210303 Prob(F-statistic) 0.000000

(30)

8 Variabel LNMS LEVEL

Null Hypothesis: LNMS has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.922449

10% level -2.599224

Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNMS)

LNMS(-1) -0.024526 0.011626 -2.109596 0.0402

C 0.488349 0.136912 3.566888 0.0008

(31)

Variabel LNMS First Difference

Null Hypothesis: D(LNMS) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.923780

10% level -2.599925

Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNMS,2) Method: Least Squares

D(LNMS(-1)) -1.020577 0.147889 -6.900983 0.0000

C 0.215006 0.049859 4.312286 0.0001

(32)

Variabel LNMS Second Difference

Null Hypothesis: D(LNMS,2) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.929734

10% level -2.603064

Augmented Dickey-Fuller Test Equation Dependent Variable: D(LNMS,3) Method: Least Squares

D(LNMS(-1),2) -3.324542 0.522127 -6.367309 0.0000 D(LNMS(-1),3) 1.448494 0.424887 3.409128 0.0015 D(LNMS(-2),3) 0.745197 0.284036 2.623603 0.0124 D(LNMS(-3),3) 0.272980 0.135512 2.014440 0.0509

C -0.017449 0.039855 -0.437807 0.6639

(33)

Lampiran 3. Uji Johansen Cointegration

Included observations: 48 after adjustments Trend assumption: Linear deterministic trend

Series: ECG INF LNBN LNKUR LNMS LNPDO LNPFO SUB 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 * 0.806848 246.8167 159.5297 0.0000

At most 1 * 0.598536 167.8914 125.6154 0.0000 At most 2 * 0.546895 124.0848 95.75366 0.0002 At most 3 * 0.481666 86.08647 69.81889 0.0015 At most 4 * 0.373111 54.54399 47.85613 0.0104 At most 5 * 0.301070 32.12870 29.79707 0.0265 At most 6 0.178913 14.93487 15.49471 0.0606 At most 7 * 0.107757 5.472799 3.841466 0.0193

Trace test indicates 6 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 * 0.806848 78.92530 52.36261 0.0000

At most 1 0.598536 43.80661 46.23142 0.0890 At most 2 0.546895 37.99828 40.07757 0.0842 At most 3 0.481666 31.54249 33.87687 0.0926 At most 4 0.373111 22.41529 27.58434 0.1998 At most 5 0.301070 17.19383 21.13162 0.1630 At most 6 0.178913 9.462069 14.26460 0.2497 At most 7 * 0.107757 5.472799 3.841466 0.0193

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

(34)

D(ECG) -0.892206 -0.290462 -0.018385 1.689480 1.066633 -0.568717 -0.210534 0.265945

D(INF) 3.934730 2.649370 2.808479 -7.330343 -0.450157 1.218780 1.074832 -0.182707

D(LNBN) 0.027313 0.007095 -0.053796 -0.063561 0.013971 -0.006260 -0.034771 0.007578

D(LNKUR) -0.117566 0.000524 0.053405 -0.034449 -0.014248 0.000917 -0.050225 -0.000871

D(LNMS) -0.033617 -0.028320 -0.020203 -0.096737 0.055430 -0.042243 0.014155 -0.052723

D(LNPDO) -0.141110 0.154288 -0.046928 -0.003943 0.110162 -0.003695 0.037910 0.037329

D(LNPFO) -0.060244 0.188063 -0.088956 0.016649 0.035408 -0.076627 0.008522 0.023177

D(SUB) -0.366851 -0.280113 -0.133427 -0.125148 -0.203971 -0.063539 0.184288 0.167878

1 Cointegrating Equation(s): Log likelihood -274.5259

Normalized cointegrating coefficients (standard error in parentheses)

ECG INF LNBN LNKUR LNMS LNPDO LNPFO SUB

1.000000 0.394494 8.162989 -3.611298 -3.132773 -11.30737 3.675425 -0.188608 (0.03024) (0.78597) (0.72249) (0.59324) (0.85661) (0.62517) (0.13714)

Adjustment coefficients (standard error in parentheses) D(ECG) 0.405178

(0.24749) D(INF) -1.786883 (0.91320) D(LNBN) -0.012404 (0.01090) D(LNKUR) 0.053391 (0.01180) D(LNMS) 0.015266 (0.01847) D(LNPDO) 0.064082 (0.02354) D(LNPFO) 0.027359 (0.02367) D(SUB) 0.166598 (0.06608)

1.000000 0.000000 -1.167893 -24.54251 15.26417 -25.55079 -8.737459 -2.870845 (7.08437) (6.60694) (5.13831) (8.06355) (5.89788) (1.27290) 0.000000 1.000000 23.65278 53.05836 -46.63428 36.10555 31.46532 6.799182

(35)

D(LNPFO) 0.005400 -0.004051 (0.01982) (0.00827) D(SUB) 0.199304 0.087832 (0.06482) (0.02706)

1.000000 0.000000 0.000000 -24.25620 14.24841 -25.69251 -8.309841 -2.768224 (6.27243) (2.70071) (7.04202) (5.61038) (1.18980) 0.000000 1.000000 0.000000 47.26002 -26.06249 38.97564 22.80499 4.720856 (11.5889) (4.98981) (13.0108) (10.3657) (2.19827) 0.000000 0.000000 1.000000 0.245144 -0.869741 -0.121343 0.366144 0.087868 (0.22952) (0.09882) (0.25768) (0.20529) (0.04354)

Adjustment coefficients (standard error in parentheses)

D(ECG) 0.445356 0.186649 3.786034

(0.31467) (0.15632) (2.33234) D(INF) -3.052978 -1.507002 -15.49060 (1.10751) (0.55019) (8.20882) D(LNBN) 0.005094 0.005905 -0.184031 (0.01294) (0.00643) (0.09591) D(LNKUR) 0.035136 0.009745 0.504909 (0.01419) (0.00705) (0.10520) D(LNMS) 0.025456 0.012523 0.147153 (0.02335) (0.01160) (0.17304) D(LNPDO) 0.062055 0.023010 0.194597 (0.02594) (0.01289) (0.19228) D(LNPFO) 0.035705 0.014731 -0.218708 (0.02303) (0.01144) (0.17067)

D(SUB) 0.244758 0.116003 1.669833

(0.07913) (0.03931) (0.58654)

1.000000 0.000000 0.000000 0.000000 0.159160 -7.399133 5.682120 0.195709 (0.30420) (2.08377) (1.64808) (0.31464) 0.000000 1.000000 0.000000 0.000000 1.388558 3.333409 -4.456503 -1.053979 (0.75783) (5.19117) (4.10576) (0.78384) 0.000000 0.000000 1.000000 0.000000 -0.727349 -0.306224 0.224735 0.057913

(36)

(0.02521) (0.01068) (0.16358) (0.09392) D(LNPDO) 0.063453 0.023021 0.190673 -0.369367 (0.03041) (0.01289) (0.19735) (0.11331) D(LNPFO) 0.029801 0.014685 -0.202139 -0.226351 (0.02693) (0.01141) (0.17478) (0.10035)

D(SUB) 0.289136 0.116347 1.545282 -0.023871

(0.09174) (0.03888) (0.59538) (0.34184)

1.000000 0.000000 0.000000 0.000000 0.000000 -5.871881 5.382154 0.304968 (1.20275) (1.35635) (0.30747) 0.000000 1.000000 0.000000 0.000000 0.000000 16.65759 -7.073491 -0.100769 (3.60239) (4.06243) (0.92090) 0.000000 0.000000 1.000000 0.000000 0.000000 -7.285642 1.595555 -0.441393 (0.93207) (1.05110) (0.23827) 0.000000 0.000000 0.000000 1.000000 0.000000 -4.819502 1.671560 -0.276547 (0.72569) (0.81836) (0.18551) 0.000000 0.000000 0.000000 0.000000 1.000000 -9.595699 1.884680 -0.686474 (1.34904) (1.52132) (0.34486)

D(ECG) -0.629778 0.080928 5.461182 0.772944 -3.855238

(0.35408) (0.13203) (1.92067) (1.40075) (1.15482)

D(INF) -0.252693 -1.444163 -22.78331 -0.604422 14.64325

(1.21449) (0.45288) (6.58796) (4.80463) (3.96106)

D(LNBN) 0.021398 0.004756 -0.247371 0.148960 0.110665

(0.01599) (0.00596) (0.08675) (0.06327) (0.05216)

D(LNKUR) 0.053710 0.011190 0.470709 -0.290301 -0.157058

(0.01929) (0.00719) (0.10464) (0.07632) (0.06292)

D(LNMS) 0.035021 0.007538 0.050552 0.136935 -0.071489

(0.02926) (0.01091) (0.15871) (0.11575) (0.09542)

D(LNPDO) 0.014288 0.012583 0.190026 -0.150904 0.026378

(0.03336) (0.01244) (0.18093) (0.13196) (0.10879) D(LNPFO) 0.013999 0.011330 -0.202347 -0.156134 0.274210 (0.03188) (0.01189) (0.17294) (0.12613) (0.10398)

D(SUB) 0.380168 0.135674 1.546480 -0.428365 -0.733012

(0.10641) (0.03968) (0.57723) (0.42098) (0.34706)

(37)

D(ECG) -0.761378 0.062207 6.152780 1.529569 -4.903326 0.267281

(0.35979) (0.12979) (1.94716) (1.48148) (1.37447) (2.72214)

D(INF) 0.029331 -1.404043 -24.26542 -2.225893 16.88934 2.088370

(1.25163) (0.45153) (6.77377) (5.15379) (4.78151) (9.46980)

D(LNBN) 0.019949 0.004550 -0.239758 0.157289 0.099127 -0.004819

(0.01661) (0.00599) (0.08987) (0.06837) (0.06344) (0.12563)

D(LNKUR) 0.053922 0.011220 0.469594 -0.291521 -0.155369 -0.655015

(0.02006) (0.00724) (0.10855) (0.08259) (0.07662) (0.15175)

D(LNMS) 0.025246 0.006147 0.101922 0.193135 -0.149339 -0.293038

(0.02986) (0.01077) (0.16162) (0.12297) (0.11408) (0.22595)

D(LNPDO) 0.013433 0.012461 0.194519 -0.145988 0.019568 -0.773278

(0.03468) (0.01251) (0.18767) (0.14279) (0.13247) (0.26236)

D(LNPFO) -0.003733 0.008807 -0.109162 -0.054188 0.132994 -0.063427

(0.03144) (0.01134) (0.17014) (0.12945) (0.12010) (0.23786)

D(SUB) 0.365465 0.133583 1.623748 -0.343833 -0.850108 -1.946619

(0.11030) (0.03979) (0.59692) (0.45416) (0.42135) (0.83450)

1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 -0.696835 (0.34375) 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 -0.004429 (0.74506) 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.018439 (0.28809) 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 -0.178781 (0.16887) 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 -0.008214 (0.37871) 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.136489 (0.06089) 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.335043 (0.05469)

D(ECG) -0.743614 0.072691 6.107810 0.962043 -4.708533 0.364867 -3.038596

(0.36041) (0.13109) (1.94299) (1.86785) (1.42518) (2.72049) (1.91917)

D(INF) -0.061361 -1.457565 -24.03584 0.671473 15.89487 1.590169 3.117708

(1.24910) (0.45433) (6.73398) (6.47356) (4.93934) (9.42860) (6.65140)

D(LNBN) 0.022883 0.006281 -0.247185 0.063560 0.131298 0.011297 0.117401

(38)

Lampiran 4. Uji Kausalitas (Granger Causalitas Test)

Pairwise Granger Causality Tests Date: 11/30/21 Time: 19:42 Sample: 1970 2019

Lags: 2

Null Hypothesis: Obs F-Statistic Prob.

INF does not Granger Cause ECG 48 0.11462 0.8920

ECG does not Granger Cause INF 0.14447 0.8659

LNBN does not Granger Cause ECG 48 0.32787 0.7222

ECG does not Granger Cause LNBN 2.10410 0.1343

LNKUR does not Granger Cause ECG 48 0.26501 0.7684

ECG does not Granger Cause LNKUR 0.35570 0.7027

LNMS does not Granger Cause ECG 48 0.50243 0.6086

ECG does not Granger Cause LNMS 0.89191 0.4173

LNPDO does not Granger Cause ECG 48 0.06090 0.9410

ECG does not Granger Cause LNPDO 1.87894 0.1651

LNPFO does not Granger Cause ECG 48 0.18501 0.8318

ECG does not Granger Cause LNPFO 1.50075 0.2344

RESID does not Granger Cause ECG 46 0.18910 0.8284

ECG does not Granger Cause RESID 0.75169 0.4780

SUB does not Granger Cause ECG 48 0.21350 0.8086

ECG does not Granger Cause SUB 0.64056 0.5319

LNBN does not Granger Cause INF 48 3.22005 0.0498

INF does not Granger Cause LNBN 7.38732 0.0017

LNKUR does not Granger Cause INF 48 1.44768 0.2463

INF does not Granger Cause LNKUR 0.18158 0.8346

LNMS does not Granger Cause INF 48 1.85349 0.1690

INF does not Granger Cause LNMS 0.50705 0.6058

LNPDO does not Granger Cause INF 48 3.39924 0.0426

INF does not Granger Cause LNPDO 0.00435 0.9957

(39)

LNPDO does not Granger Cause LNBN 48 3.92904 0.0271

LNBN does not Granger Cause LNPDO 2.50474 0.0935

LNPFO does not Granger Cause LNBN 48 3.77408 0.0309

LNBN does not Granger Cause LNPFO 0.11058 0.8956

RESID does not Granger Cause LNBN 46 0.02618 0.9742

LNBN does not Granger Cause RESID 0.97794 0.3847

SUB does not Granger Cause LNBN 48 0.61457 0.5456

LNBN does not Granger Cause SUB 1.60096 0.2135

LNMS does not Granger Cause LNKUR 48 0.37782 0.6876

LNKUR does not Granger Cause LNMS 3.69065 0.0332

LNPDO does not Granger Cause LNKUR 48 0.55847 0.5762 LNKUR does not Granger Cause LNPDO 1.01090 0.3724

LNPFO does not Granger Cause LNKUR 48 0.41018 0.6661 LNKUR does not Granger Cause LNPFO 1.33718 0.2733

RESID does not Granger Cause LNKUR 46 0.13176 0.8769 LNKUR does not Granger Cause RESID 0.67616 0.5141

SUB does not Granger Cause LNKUR 48 0.15584 0.8562

LNKUR does not Granger Cause SUB 0.41538 0.6627

LNPDO does not Granger Cause LNMS 48 1.11489 0.3372

LNMS does not Granger Cause LNPDO 2.65578 0.0817

LNPFO does not Granger Cause LNMS 48 1.46550 0.2423

LNMS does not Granger Cause LNPFO 0.00184 0.9982

RESID does not Granger Cause LNMS 46 0.02731 0.9731

LNMS does not Granger Cause RESID 1.04973 0.3592

SUB does not Granger Cause LNMS 48 0.28667 0.7522

LNMS does not Granger Cause SUB 0.06792 0.9344

LNPFO does not Granger Cause LNPDO 48 0.25079 0.7793 LNPDO does not Granger Cause LNPFO 0.46470 0.6314 RESID does not Granger Cause LNPDO 46 0.85243 0.4338 LNPDO does not Granger Cause RESID 1.52931 0.2288

(40)

Lampiran 5. Uji Simultanitas

Uji Simultanitas

Dependent Variable: DLNPDO

Method: Least Squares (Gauss-Newton / Marquardt steps) Date: 01/24/21 Time: 16:40

Sample (adjusted): 1972 2019

DLNPDO = C(1) + C(2)*DECG + C(3)*DLNPFO+ C(4)*DLNPDO(-1)

Coefficient Std. Error t-Statistic Prob.

C(1) 0.028663 0.039662 0.722675 0.4737

C(2) 0.009929 0.011159 0.889818 0.3784

C(3) 0.780933 0.118425 6.594308 0.0000

C(4) 0.019344 0.101255 0.191043 0.8494

.

Dependent Variable: DECG

DECG = C(5) + C(6)*DLNPDO + C(7)*DLNMS + C(8)*DECG(-1)

C(5) 0.449049 0.632586 0.709862 0.4815

C(6) 3.145409 1.316132 2.389889 0.0212

C(7) -2.758239 1.868097 -1.476497 0.1469

(41)

Null Hypothesis: D(RESID01) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.929734

10% level -2.603064

Augmented Dickey-Fuller Test Equation Dependent Variable: D(RESID01,2) Method: Least Squares

D(RESID01(-1)) -2.552997 0.365108 -6.992447 0.0000 D(RESID01(-1),2) 0.883969 0.265560 3.328698 0.0019 D(RESID01(-2),2) 0.324728 0.148224 2.190782 0.0344

C 0.081340 0.614247 0.132422 0.8953

.

(42)

Lampiran 6 Uji Eksogenitas

Dependent Variable: LNPDO

LNPDO = C(1) + C(2)*ECG + C(3)* LNPFO+ C(4)*LNPDO(-1)

C(1) -0.042721 0.260392 -0.164065 0.8704

C(2) 0.031742 0.013916 2.280904 0.0273

C(3) 0.379108 0.086324 4.391690 0.0001

C(4) 0.573312 0.087529 6.549997 0.0000

.

Null Hypothesis: RESID01 has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.923780

10% level -2.599925

(43)

Augmented Dickey-Fuller Test Equation Dependent Variable: D(RESID01) Method: Least Squares

RESID01(-1) -0.726796 0.135175 -5.376724 0.0000

C 0.015155 0.041300 0.366957 0.7153

.

Dependent Variable: ECG

ECG = C(5) + C(6)*LNPDO + C(7)* LNMS + C(8)*ECG(-1)

C(5) 0.832530 2.270361 0.366695 0.7156

C(6) 0.878650 0.897433 0.979071 0.3328

C(7) -0.072327 0.203112 -0.356097 0.7234

C(8) 0.359847 0.137934 2.608824 0.0123

(44)

t-Statistic Prob.*

5% level -2.923780

10% level -2.599925

RESID01(-1) -0.965980 0.147157 -6.564263 0.0000

C -0.022754 0.444531 -0.051186 0.9594

(45)

.

Dependent Variable: INF

INF= C(9) +C(10)*ECG + C(11)*LNBN + C(12)*INF(-1)

C(9) 46.44079 9.591685 4.841776 0.0000

C(10) -2.534415 0.358604 -7.067453 0.0000

C(11) -1.190089 0.501610 -2.372539 0.0220

C(12) -0.187790 0.104748 -1.792784 0.0797

.

t-Statistic Prob.*

5% level -2.923780

10% level -2.599925