ANALISIS FAKTOR YANG MEMPENGARUHI VARIABEL-VARIABEL MONETER DENGAN METODE VEKTOR AUTO REGRESSEION (VAR).

(1)

ANAUSJS FAKTOR-FAKTOR YANG M EMEPENGARUm VARIABEL-V ARJABEL MONETER DENG AN

METOD£ V ECTOR AUTO REGRESSION (VA R)

Muhammad Nut Lubis

Jurusan llmu Ekonomi

Program l>asca Sa.jana, Universitas Negcti Medan

ABSTRAK

Otoritas moneter sangat meme.rlukan intbnnasi teotang pola arah dan s i fat dinamika hubungan kausal antara vuriabel·"-ariabel moneter. Pada sisi lain, sampai sejauh ini studi tentang po14 arah dan sifat dinamika hubungan kausal antara variabel· variabcl tersebut belum dilakukan secord komprehensif, yaJmi yang mencakup aspek kebijakan (suku bunga), pcngendalian lil-uiditas (jurnlah uang beredar), stabilitas ekstemal mala uang domcstik (niJai tukar), pcrturnbuhan ekonomi (output), dan stabilitas internal mata uang domestik (harga-harga).

Berdasurakan model Overshooting Dornbusch dapat dikctahui buhwa variabel-vatiabel moneter itu bebubungan secara simultan antara salu dcngan yang lainnya dan variabel moncter meourut model tcnebut terdiri dari nilai tukar, out.put agregat, tingkat harga domestik, tingkat suku bunga domcstik, tingkaJ harga impor, jumlah uang bcredar dan tingkat suku bunga luar negeri.

Berdasarkan basil pcnelitian maka dapru diketabui bahwa variobel-varinbel moneter tericoentegr.~Si dalam jangka panjang semeotara dalam jangka pcndek dan menc11gah hanya variabel yang terkait secara langsung saja yan,g memberikan kootribusinya sesuai dengan kejutan acak

yang

ada.Variabei-Variabel moneter saling berhubungan S<!Cata simultan dimal1a satu variabel mempcngarub.i yang lain dan

variabel yang lain tersebut juga mampu mempcngaruhi variabel tersebut dengan sendirinya. Besarnn konlribusi variabel yang satu dengan yang lainnya akan semakin menlla dalam jangka paojang scmentara untuk jangka pendek dan menengah konlribusi yang terbesar adalah variabel-variabel yang tcrkait secara langsung.

Oleb karena itu disarankan kepada pcng&nlbil kebijakan dalam menentukan kebijllkan ag:•r pihak yang berotoritas agar melihat efek-efek y.ang ditimbulkan variabel-variabel moneter baik dalam j 011gka pendek, me oengah dar• jangka panjang. Semua kebijakan yang alu111 diambil harus mempunyai target output agJegat dimai1a

pcrtumbuhan ekonomi adalah merupakan :sasaran utama dalam suatu sistem

pcrekonomian yang dijalankan oleh karena itu target jangka peodek dan menengah adalah efek waktu yang harus dipcrbatikan dalarn suaru periode.

(2)

ANAl. YSlS OF FACTORS THAT AFFECT VARIABLES MONETARY BY

AUTO VECTOR REGRESSION (V AR) METHOD

Muhammad Nur Lubis Department of Economics

Graduate Program, State Univei'Sity of Medan

ABSTRACT

Monetary authority is in need of information about the palle.rns and nature of the dynamics of the causal relationship be/ween monetary variables. On the other hand, so far studies on the pall ern of the direction and nature of the dynamics of the causal relationship between these vllr/ables not be comprehensive, covering both policy {interest rates). the control of liquidity (money s upply), externlll stability of the domestic ~urrency ( exchange rate), eoonomic growth (output), and the internal ,f/ability of the domesllc currency (the prices).

Based on the Dornbusch overshooting moclel show.f that monetary variables tho! simultaneously relate with each other and monetary variables in the model consists of the exchange rate, aggregate output, domestic price level. domesfic

/merest rates, the level of import prices. money supply and /merest rates abroad, Based on the research results can be known that cointegrated monetary variables in the long term while in the short to medium /trm only variable directly related to it are contributing to it in accordance with the random shocks. The monetary variables relate to each other simultaneously, where one variable affects other and the other •wiablts are also able to influence these •·ariables by itself Amount of the ct,mtribution of variablts with rnch other will be more ewmly in tlu? long term while shorl and medium term for the largest contribution of these variables are directly related.

11umifore we suggest to policy mala!rs in tkttrmining policy for the autlloritative party in orcler to see the •ffccts of monetary \'Oriables generated both in the short term, medium term and L<mg tern~ The policies shall have aggregate output targets where eoonomic growth Is main goal in on eoonomic system becoJJSe II was run by the short and medium term target is the t./Ject of time tho! m ust be considtred

(3)

R•,...• of LOG(OOP) to C hot-lllt

en.s.o . ~

· ~ ~--- --,

•••

A.".-..

el lOG(N£AJ to C,.__,

en.e . o . ~,.,...

~r--- --- ---~

....

•••

·"'

••

..

.•.

•

(

__

,_.,.,

1,~) ux:n ..

•t

••-r---,

..

1

.

--t= - -=,

~ }

~..,..,_.of l.OG(MOS) 10 ~

en. s 0 . tlnCMit~

••

..

...

"' ~

..

,.:;.

'"'

~ s

••

..

.. ..

..

I

1--=

--='

--t=>l

Larnpiran 1 Omfik Hasillmpulse Responses Function

Respon~~ ot \.()()(GOP) 10 C ,_..ll(r

or. so

..._...ex.

~ ~---,

••

R~ It/A t..OQ(NIM) 10 CfiiOf . . IQf

on..ao~

- ~-- --- ---,

R~ of t.OO(PfM ) to C ltcll•""

<>'oe s.o.

(4)

Lamplran II

Aliran Variable Shock lRF

!RF OF DDI'

.Jangka Pendek :

LOG(DDP)t ~ LOG(GDP) ~ LOG(MOS) ~ LOG(NER)

~ LOG{NIR) ~ LOG{PIM) ~ LOG(LIU)

Janek! Meneuab ;

LOG(DDP)f ~ LOG(GDP)! ~ LOG(MOS)f ~ LOG(NER)! ~

LOG (NIR)l ~ LOG(PlM)f ~ LOG(Lffi)l

Jangka Panjang:

LOG(DDP)f ~ LOG(GOP)! ~ LOG(MOS)f ~ LOG{NER)!

+

TRf OF NtR

.

Jangka Pendek :

LOG(DDP)f ~ LOG(GDP) l ~ LOG(MOS)! ~ LOG(NER)f

~ LOG(NIR) ~ LOG{PIM) ~WG(LIB )

J ancb M ~ne n~:ah :

LOG(DDP)! ~ LOG(GDrrf ~ LOG(MOS)! ~ LOG(NER)!

~ LOG (NfR)! ~ LOG(PIM)f ~ LOG(LIB)l

J an&ka P!njan~: :

LOG(DDP)f ~ LOG(GDP)! ~ LOG(MOS)f ~ LOG(NER)!

~ LOO (NfRlt

+

LOGiriM\

I

+

LOG{LIB)

I.

I

,,

IRFOF GOP

•

Janka Peedek:

LOG(DDP)f ~ LOG(GDP)l ~ I.OG(MOS) ~ LOG(NER)

+

LOG{NIR) ~ LOG(PJM) ~ L OG(L J B)

Jan&ka Mlnen&:;ah :

LOG(DDP)! ~ LOG(GDP)! ~ WG(MOS)f ~ LOG(NER)!

~ LOG (NlR)! ~ LOG(PlM)l ~ LOG(LIB)f

'

(5)

lampiran II

Aliran Variable Shock IRF IRFOFNffi

Jangb Pendek :NIR

LOG(DDP)j+ LOG(GDP)! + LOG(MOS)! + LOG(NER)l + LOO(NIR)j + LOO(PIM) +LOO(LlB)

Jaagka Meneagab :

LOG(DDP)!

+

LOG(GDP)f'

+

LOG(MOS)!

+

LOG(NER)t

+LOG (NIR) j + LOG(PIM)! + LOG(LIB)!

.Jaagka Panjang:

LOG(DDP)i + LOG(GDP)! + LOG(MOS)f

+

LOG(NER)l

+

LoG

(NlR)! + LOG(l'IM)! + LbG(LiB)!

IRFOFPIM Jangka Pendek :PJM

LOG(DDP)j+ LOG(GDP)! + LOG(MOS)f + LOG(NER)l

+

LOG(NJR)!

+

LOG(PIM)l +LOG(LID)

JaggpMenengah;

LOG(DDP)f + LOG(GDP)j + LOC(MOS)j + LO<i(NER)! +LOG (NIR)i + LOG(PIM)j + LOG(LIBH

Jangka Panjang :

LOG(DDP)j + LOG(GDP)! + LOG(MOS)j + LOG(NJo:R)! + LOG (NIR)! + LOG(PIM)j + LOG(LIB)!

(6)

Lampiran II Aliran Variable Shock IRF

lRF OFLm

Jangka Pendek :LIB

LOG(DDP)j+ LOG(GOP)! + LOG(MOS)l + LOG(NER)j + LOG(Nffi)f + LOG(PIM)! + LOG(LIB)!

Jangka Menengab :

LOG(DDP)l + LOG(GDP)f

+

LOG(MOS)j + LOG(NEJ.l)!

+LOG (Nffi)! + LOG(PIM)j + LOG(LlB)f

Jangka Panjang :

LOG(ODP)f + LOG(GDP)f + 1,0G(MOS)1 + LOG(NER)! + LOG (Nffi}l + LOG(PIM)! + LOG(LJB)!

lRFOFMOS

.langka Pendek :MOS

LOG(DDP)j + LOG(GOP) j + LOG(MOS)j

+

LOG(NER)

+ LOG(Nffi) + LOG(PIM) + LOG(LIB)

Jangka Menengab :

LOG(DDP)j + LOG(GI>P)f + LOG(MOS)f + LOG(NEn)! +LOG (Nffi)! + LOG(PIM)j + LOG(LIB) !

Jangb Panjang:

LOG(DOP)j + LOG(GDP)!

+

LOG(MOS)j + LOG(NER)!

(7)

Date: 02{03110 lime: 20".23

- ... (adj- ~ 200004 200804

h:luded o~ions : 33aner adjU&~

T rend~No~ftend

SMes: LOG{DOP) lOG(GDP) LOG(MOS) LOG(NER) lOG(NIR) LOG(NC) lOG(UB)

Lagsinletva l (infir&tdil'f~) : t to2

t1~""

'"""

....

No.oCCE($) EiQenll'illiloe

-

~V. I ue

-.-...

0.9&4642

,.

...

t n .t 80$ 000\)0

At

most,.

G.81791t 117.2473 83.93712 0.0000

AI tn0$12 • 6.77094 .. 131.0288 60.06141 0.0000

At nv!ISI_ 3 ' 0. 740551 82.:st371 .. 0.17493 0.0000

Al mosi4 · 0.52274$ -37 8103:1 24,27596 0.0006

Atmo&t5" 03$4316 1J.4$W1 t2.32.090 0 . 0~1

Atmost6

...

0.0308N 4 .1 2~ 0.8857

Ttaee eHt ~ 6 ceitlteglf8lif'IO eqn(s) at !MO. OS~

• denoee.r~ ot the hypothese a1 h o.o5~ew~

'"Macl<innon.ttaug .. ~ (t999) po ~s

Un~ Colnw.graQ)Qn Rank. l~~ EGIIWalue)

.,

...

Max·F.!Qetl 0.05

Ho . or~( sl Eige<w-

-

Crilieai:Va1ue Pf'Ob. • •

.

..,..

0 . ~ 2 138:.2434 Q..71210 0.0000

AI t1'IOSl 1 • 0.&17971 56.21850 )6".63019 0.0001

Al ffiMt2. o.no!W• <8.83SOS 00..4!981 0.0001

AllnOI$l_) • _0740551

....

.,.

_24.15921 _0.0000

Alln0544. 0.52274e '24.41042 17,?$730

...

Alll'IOM $ • 0.334316 13-.42901 11.22480 0,0202

.,

...

o.ooom O.OJO$il8 4.129\lae OUST

Max..ei9ei'I'Yllue ~ ~ 6 ceil'ltegl'8tino eqn(a}.&! tnt 0.05 level • denotes r.;ection or the hypoltll!si$ a t the 0.05 h!vei

~. tq ug.Micflek (1999) p. ~

unresllte1ed CCin~g Coeflldetlts (nonnallled by b"'S1 1 ~ ):

LOO(OOP) LOO(GOP) lOG(MOS) LOO(NEA) lOG(H!II)

-8.620823 · f6.15S.OO t3.2t907 f8.60601 ><4.&423-49

1,52e1GJ .n .. ~$01 U~()!l 8,43:3~32 &.718357

U .3313$1 -8.338680 ·23.13418 ,._oena 0,6&6214

-4.330922 4:0.51051 2.G3394S -6 1. ~ 1 J .O$i10

· 2JM72et> 26 ... 2 .f1.48118 -26.18524 2.~3

-22.1840::5 11.&&G97 2,013'27$ ·128&»8 •1.1121W8

~ . ~84$1 -7 , 658 1 ~ 10. $2403 , ... 2:'1 220 I M7t9&

O(lO~OOP)) 0.000f12 0.0027$7' 4000738

l~

- 10.98708

·8.302192

2.•t499G -2.713093

6;80$46&

11.61575

.0.1937!20

0.002415

Lampiran

m

Uji Kointegrasi

lOG(UB}

0.3$7'222

- 2.2.25' 0

1.4&4202

(8)

Lampiran Ill Uji Kointegrasi

CllOO(QOPD 00154$1 .00011115

"'-

4.01Ct21W 0 - 0 .001i101

...

-

"'-"

.00117't1

"'·

...

_.o.ottm 0.- ~004)4$

...

CllOG(NER» o.ouon 0001217 .0.021501 0017 .... 0,00252'7 G0117S3 -0JI001$l

ll(LOG(HIR)) 0.0180$7

...

..O.QZEM)t9

"'·-

-0008141 Cl.OCII)Ml 0000771

O(LOG(PI<)) O,OI U$1 0.006421 ..0.002602 0.006$0, 0 .008-969

..,....,..

o.oooe57

O(LOG(L111)) .0.0313Z2 .014042 ..0.03&874 0.00471J .0. 017875 .C)_()4g338 -o.00131.t

t Coin~Eq~r) : _1.09- 478.3810

~«ffl 0 ~~tft"'rlnJ*ooet.,..)

I.OG(OOP) LOG(GOf'l ~ I.OG(!4Elll I.OOqllllj _lOCCPIYl LOG(LII)

1 000000

,..,,.,.

·1..,_ ... 1 - 0.- 1.27441 ~041437

fO 1tt44)

....

...,

-

_11'0541601

...

_

{0018$11)

...

~ t~enotin .,.. .. ,.., ·~

C l l - J ..OJJ03S41 C0.02G0t)

Cl(LOG(GOI')) .0.13)2U

(0.0:5641)

D(I.OO(MOS)) 0..219793 (0.10&40)

O(U)G(NER)) .O.Clet5451 (0.07121)

00.-

.0.15*1

..

...,.,

-)

.OOQI170

(0.101117)

O(LOG(I.B)) 0.2100tt

(O.M$14)

2 COn--n(•): lOOh- 504.49!n

Noft'nalizecl ~ng ~Lt (ttMICI~ . . . ~}

LOG(OOI') LOG(OOP) LOG(MOS) LOG(NEIIl lOG(IIIR) 1,00(I'Iol) L<)G(ll8)

1.- 0 - .O.: tl81 0'2 .07m67 1..41791) 0.- .Q2Wt!Cl$

...

,

(10..., 4Q.11 . . . ) _11»'071 (0.04Q1)

0000000

··-

.0 'J»>U ..0.1\450$ .0.41102

...,..,.

o.tun•

co., ... fll.1f111l (0.- 7) (0.11115) (0 ...

~··~c~tm~tln~J

0(1.00(001')) OJ)OO&St ..0,043171

{0.02579) (0 003!)8)

D(LOG(GDP)) ..0,134814 _.o.:~~m

(1>.-3) (0 13103)

D(I.OO(MOS)) O.t9 tH5 0817W

(9)

Lampiran l1l Uji Kointegrasi

, CoiMtQtiiiWIQ Eq~aliOA{t) ' _{1 . 0 9 -}

.,....,.

l:lc):; '"""wi:***~~_,Mpa:um )

LOO{IlDI') _{l -} I.OO(NO$) LOG(!IER) lClG{MRt 1.00( ... LOG(UI)

1.000000 0.000000

...

..0.981721 1.716911 0.045024 ~ . J7 1 1t"

(0,08031;1) (O, t :)'f7.S) (0.1:1.08} ( 0 . 05~)0)

0000000 1000000

...

·2 01:s760 , , .. 8'7730 _{O.• Ttm}

....

,...

{1>00760) (1:110102) (0..1051~) (004:231)

0.000000

·-

1.000000 ·1..11e1 . . tJOt OISt ..OtfJ'W

..,....,.

(0.1R5S) (D~ts6) tlt.2ta71) (000015)

Acljueflmtf'll ooetfic.:inf (~d effllr In ~·

O(LOG(OOP)) ..0.:17116011 0.030ttl 0.2:3 ~1J8

(000.,>) to.04701) (O.OSfm)

()O.OG(()OI'Il

·-·

.o.204In ...,.1,.

"'-.,.

..

,

" ' - 1 - (D 1101.2)

()O.OG(NO$))

~·

0.75i710

...

(0Atl14) (0..26511) (0-32709)

O(lOG(NER)) ·1 004079 ·0,021428 0.455731

C0.~$47) (0 1'7302) (02134~

ll(I.OO{NIRj) · 1 - O. J:ztt70

·-....,....,

f0.1 •J71f fO.tmJI)

-»

.0 ft$411 .0..211204 0.292312

(0 . . . "1 (0.27 . . . ) (0.3.ut S)

O(LOC(liB}) · l.58NII2 2.7Jt3" .o.nsm

(1~1) (0 N.Qt) (1 051.2:80)

1.09-- 5SUI89S

Nom\IIIUICJ OOil'lleg,..,.. cotltc:ients (s~ MOt li'lpe~o: l hiiW)

l OO(DD!') LQG(QQf') LOG(MOS) UlG~ER) LOG(NIR) LOG(PIM) lOG(l.lll)

1000000

··-

0.000000 <>000000 ..0 4$4559 .OW17f72 0 ~ 3t tto 3

\0.111753)

...

-

toO>O>O)

...

1.000000

...

.._...

...

-t toettS 1.>32727

(0.2$013) (O.t2D5) co 11nS>

0000000

...

1.000000

-

·U21573 ..Z.030U't 0 . 7472~

(O , t-4~ (O,or2t7) (O.O!SGil&)

0.000000

... ...

1,000000 -2.200322 •1 03o4DM o_nJatl

• 0 162.41) (0.0f310) (0 07624 •

••

....

.

. • (tlliiiOinS --in pa& •

QO.OO(DDP)) .0 ~71314 0.001041 on,... .OON317

(0 ... , (OJ»501) ~Q.OS81~) (0.13006)

ll(lO<l{GDP)) .0,2&41Q6 .0,6:20402: 0 .27'314J: ... 3 ('Wm) (0.27..,) (0..16721) (0 311156)

O(U)G(Io10$))

...

~ .0.039ae)

...

..,...

OAtQm

(04.$171) (P .. . 11~

to.-

1010172)

-

_,

..

,

..

0.7V150$ 0.1027>8 ·1124117

(0.27124) (0.20000) (Q. 11777) (0.4181.2}

O(LOO(NOI)) ·U57082 0.04&tl0 o.s83n4 0 . 06~7

(0.21217) (0.28107) to. 17tl2) ~0 40221)

ll(l()()(Pall) .021tSH

....

...

,

...

...,

{0.$0316) (O.J4Jii5)

"'""""'

ll(I.OO(U8)} -z.ooo•n 8 .ST<fZ77 .0.12$740

...

,.

( UI511) (US:Je2) (0 .... 72) (a . OH~9)

(10)

5~£ qi.Mtlon (8): leg lik ~ ~3 . 214?

Hormalized OOinleQiati~ c::oef6c:ieru ($1anclatd ~in pwencneaet•

LOG(DDP) LOG(GOP) LOG(MOS) LOG(NER)

1,000000 0.000000 0 .000000

...

0,000000 I:OOCIOOO O,OOO<ioo

...

0.000000 0,000000

...

0.000000 0.000000 0»00000 1.000000

0.000001> 0.000000 M OOOOO 0,000000

~nt~ ($1lol'4irell9norinpertf'1111-)

O(LOO(OOP)) .(),38:)432 Q.064'1.51 0.210228

(0.00$07) (0, 10494) (O,Od019)

D(LOG(GOf')) ~.313477 ..0.3&&576 0 . 161801

(0.23-566) (0.2896~) (0. 18615)

O(LOG(MOS)) .0.2.282.-e 0.728048 .0.677135

t0.'-405&) {0.4ZI7\) (0.2 ... )

O(L00(NEA.)) ·1.08e81$ 0 7&&177 0 ,673711

(021062) (0.33261} (0,.19080)

O(LOG(NIR)) • 1.333638 .a. 186820 0.67747t

(0.2 4901) (0. 30818) {0.17560) D(LOG(PWJJ .0.2.&5748 0, 11tl148 0.203837

(0.5174-4) (<l.ll>'JOO) (!).31$481) O(LOG(UB)) -t.tlo47"9<t 6.102126 ..0..420:S10

(U.S598) (1.66689) (0.8$601)

6 COiMegfa21Q ~(&) : 1.00 llkelihoocf .... O$ii

NorrnaliUcS COintegt'811~ CO&I'IIclent5 (tlt:anclafd error In ~ ~J

LOG(DDP) LOG(GDP) LOG(MOS) LOG()OER)

...

O.<lOOOOO 0 .000000 0.000000

0.000000 1 00000() 0,000000 0.000000

0,000000 0,000000 1.000000 0.000000

0.000000 0.000000 0.000000 1 .. . .

0000000 0000000 0 .000000 0.000000

LOG(NIR) LOG(PIM)

0.000000 ·f..2:20018

(0.01663)

0.000000

..

...

(O,<K!lOO)

0.000000 · 2.765561

(0,04182)

0.000000 ,.2.2798-16 (0,06717)

1..000000 .0..548543

(0.0324 3)

..O,U1561S 0.012425

{0 14039) (0,03254)

0580!i06 .0. 1!M67.5

fQ.J:II'f$4) (o,oete1)

.0.$4241) ..0238731

(0;57-436. (0 . 13322)

o\..2:91056 G. t84688

(0 <MSOC) (0..10S14}

0.21i)48 .0,4 7\tiV

(0 •• 095i) (OJ)SI4V ~

.0.33U t18 0.111Q29

(0.85~) (0.19n0)

.-p :m us 0,090522

r.z,.,.., (0, !1187A'j

LOG(NIR) LOG(PIM)

0:000000

...

0.000000 0.000000

0,000000 0.000000

1.000000 0.000000

Lampiran tu

Uji Kointegrasi

I!.OG(liB)

(1,4?t16i

(0.04i38)

, , ~96

(tJ,27'"J28}

1 . 0630~ (012417) 1.31"2296 (1),201SS) 10.237519 (0;09$31) LOG(LIB) . , .&51318

(oS>OOO) - 3.2VC33Q2 (1.41337)

-3,349660

(1 10005)

..2:.325310

(0 97917)

(11)

Lampiran Ill

Uji Kointcgrasi

(0.3t117)

,

...

)

"~ {IIU71011 jDim>j {D,1S6f1,

DCI.OG<>IE"» ·U$7771 . . . 1

.

...,

...

·U M7t 0 111101t

...

(0.>1>60) ... >) (0.17117) (0<00<17) (0002S>) 11'· 10000)

O(I.OG(Ntll)) -1,J41 7U .0.1 . . . OG-7$188 O.Z74NO ~471$0) ~ . 06$885

(0.2ttM) (D.St S38) (0.17598) (O . ~ tMt) (0.095t3) (0 U2t3)

O(LOO(I' .. )) o.mtee .0018~7 0.15651$ .0.031147 0 138018 ~428455

(0,$11' 13} (U76M) (0 ... ) (0,764<0) (0,17485) {O..:loetl)

O(L0G(U8)) ..0.811402 a.S20H7 ·CU11641 -7,1\2363 0.14.5430 0.462169

(1 . 4 ~0)) (1.>127:1) (0.88178) (2 10070) (0. 410C7) (O.-:t7)

(12)

Null Hypothesis: NER has a unit root Exogenous: Constant

U!g leng!h: 0 (Automatic based oo AJC, MAXLAG=12)

Test orifkal valu&s: 1% loWII

5%leWII 10% level

'Maei<innoo (1996) on&-&ided p-v~lue ..

Augmenled. Oidtey-FuUer Tesl Equatlon

Oepe<Kiel~ V a -: D(NER)

Method: Least Squares;

Date: 01116110 Tme: 22:30

-2.103975

-3.632900

·2.9o48404

·2.612874

Sam~ (adjusted): 200002 200804 Included obSefvations: 35 after adjustments

Varioble Coeffident Std. Enor 1-SUI!istic

NER(-1) -0.400601 0.148153 -2.703975

c

3733.618 1347.935 2.769879

R-squared 0.181375 Mean dependent var

Adjusted R-squared 0.156566 S . O . ~tvar

S .E.

or

regnosslon 499.3217 Akaike in1o crfter1on

SUm squamd resid 8244117. Schwarz crilerion

Log i kelihood -266.1.319 Hannao-Quinn criter.

F-Slatiltic 7.3114$1 Owbln.Waison sial

Prob(F - sta~stic ) 0.010747

0.0835

Prob,

0.0107 0.0091

96.00000

5442395 15.32163 15.41070 15.35251

1,326549

(13)

NuN Hypolhesis: GOP has a unit root

Exogenous: Constant

Log l.eog1h; 0 (Automatic based on AIC, MAXLAG~12}

t·Statl&fle Prob. • Aujjmonted Dld<!Y-I'Uller test statistic

Test critics~ values: "'level

5%1ev$1 10% le\lel

·Mllclllnnon (1996} uoo-:Nde<lp-vakJH.

Augmonled Dickey·Fuilef Test Equalion

Dependent Variable: O(GOP}

Method: Least Squares Date: 01/16/10 nme: 22:33

-1.996721 -3.632000 ··2.948400

-2.612874

Sample (adjuoted}: 200002 200604 looludejl observations: 35 after adjustments

v~- Coefflcioot Std. Error 1-Statlstic

GOP(·1} -O.Oil5&&3 0.047910 -1 .996721

c

49177.68 22046.28 2 .230&5&

R-squan>d 0.107792 Mean dependent var

MJUsted R·squared 0 .080755 S.D. dependent var

S.E. of regression 17654.46 Akalke info o1terion

Sum squared reskl 1.03E+i0 Sd>Waa. aiU!rion

log likelihood -390.6892 Hannan-Quinn ailer.

F-otatiotic 3 .966895 Durbin-Watson slat Prob(F-slalistic} 0.054159

0 .2869

Prob. 0 .0542 0 .032&

5562.531 16413 .61 22.45081 22.53969 22.46149 1.812430

Lampiran IV

Uji Stasioneritas

(14)

Nul~ 001' has a unit,_

Elcogenoua: Conotan

Log l.e<lglh. 9 (Auk>motic: baMcl on AIC, IUJCl.AGz12)

1-&ausbo

"'-"<~ Old<!!%.,Culer lest Slatislic _..0,1918$2 THI crlllcal v -; 1% level _{- 3.7114~7}

5%~ ·2 .981CYJ8

10% level ·2.829906

' MocKinnon (1986) ane-eided p...Vueo.

A"ffmenled Oici<B)'-Fuller T as! EQUII!ion Dependent Vadable: O(OOP)

Molllod: 1.eas1 Squares

Ollie: 01116110 Trne: 22:3<1

~ (edjusled): 200203 ~

lnducled _ , 26

an ... ....,._

v-

Coellicietlr Sid. Enor 1-Sialislil;

001'(- 1) ..O.Il0:3607 0 .0 18278 .().191852

0(001'(·1)) 0.006831 0.26M89 0.364180

0(001'(-2)) .QA57324 0.2.00.3 ·1 .902799 O(DOP(-3)) 0. 100409 0 .261268 0 .3&4316 O(DOP(-4)) ..0.523287 0,250789 ·20865&4 O(DOP(-6)) 0.275214 0267-468 1.0281169

O(OOP(-6)) ..0.258810 0 .2.2632 -1.000674

0(00P(· 7)) _..0.020632 _{0 .248098} _..0.083159

O(OOP(-ll)) .0.405196 0 .228396 · 1.n4089

O(OOP(·9)) ..0.0&4048 0 .251032 ..().255139

c

6 .71-4681 3 .944811 1.702287

R-squared 0 .400273 Mean dopondont var

Mjuslod R-oquered 0 .100455 S.D. dopoudO<~ var

s.e.

o1 regresoloo 1.823278

- info criletlon Sl.m _ . . . , resid 49 .86512 Sci-. ailef1on

Log

II<-

~.35833 Hannan-OoAM <:rilor.

F - 1.279184

Durl>in-W...,-Prob(F- - ) 0.322860

Prot>.·

0.9279

Prob. 0.8504 0.7208 0.07&4 0.7061

o.os.w

0.3198 0 .3030 0 .9348 0.0963 0 .8021 0.1093

2.s930n 1.9223SO •.335256 4 .867528 • • 488531 1.922123

(15)

Nulll)po4hosil: NJR has I unil , _

~ : Constant

l.ag Lenglh: 5 (Auk>nulllc boHd on AlC, MAXI.AG=t2)

t·Statlt;tlc

~mented Dtckex· Fuller test !!lj!U$tlc · 2.8775-41

Teat ctfdcat valuet; 1'6 level -3.6'10170

5%~ ·2.9e3972

I0%1ewt -2 621007

· -(1996) - - povM-.

Augmented Dicttey.fulor Tut Equotion

"-"dec~ Variable: O(NIR) Method: !.east Squarn

Date: 01/16110 Time: 22:35 Somple (~djusted) ; 200103 200604 Included obse<wtions: 30 after adjustments

Variable Coetllc:lent Std. Etro< t-Staldlic

NIR(·1) .() 1-&6 0.068981 ·2.8 775-41 O(NIR(-1)) O.l55386 0.181396 I 407892

~lR(·2)) 0.134888 0.1967'32 O.&a553e

~IR(-3 )) .0.0<»197 0.204590 .0.044955 O(NlR(-4)) 0.452222 0.190504 2 373825 O(NIR(-5)) 0.027888 0.200061 0.136343

c

2.402574 0.894941 2.68o4618

R·squarod 0.449941 MMn depenQent var

Ad~ R-squared 0.306448 S.D. depeMent wr

S .E. ol ragteS5ion 0.803244 Akaike info triterion

Sum squared cesld 14.83981 Sc:hwarz criterion

L.oglil<elil>cod -32.00969 Hannoc>-Quinn ait«.

F-

3.135621 o...t>ir>-Watson stat

Pr<>I>(F-.-) 0.021UI

Prot>."

0.0699

Prob •

0.0085 0.1725 0.4999 0.9645

0.0263

0.8927 0.0132 -0.217000 0.964512 2.800846 2.927592 2.705239 1.971320

LampirtUJIV

Uji Stasionerita•

(16)

Null Hypothesis: PIM has a un~ root

Exogenous: Constanl

Lag U!nglh: 12 (Automatic based oo AIC. MAXLAG;12)

t-Stat;stic

~mented Ok:ke:t-Fuler test &tatistic -0.185188

Te6t critical vs1ues: 1% level -3.752946

5%1evei -2

.-10% level -2.638752 "MacKinnoo (1996)

one--

p-values.

Augme<1ted Did<ey.Fuller Test Equation Dependent Valiable: O(PIM)

Melhod: Least Squares Date: 01116/10 Time: 22:36 Samp4e (adjusted): 200~ 200804

lnc:k.lded observations: 23 after adjustments

va~ Coefficie<lt std. ErrO< t.Sta~slic

PIM(-1) -0.090014 0.486070 -0.185188

O(P1M(-1)) 0 .086796 0.529527 0 .163912

O(PIM(·2)) 0.634642 0.657064 0.965876

O(PIM(-3)) 0.261768 0.626753 0 .417658

O(PIM(-4)) 0.099268 0.656618 0. 151208

O(PIM(.S)) -0.435609 0 .621114 -0.701334

D(P1M(~)) -0.744901 o.5n286 -1.290350

D(PIM(-7)) 0 .170814

0.500644

0-340854

P(PJI,I(-\1)) 0 . +1§0 1 ~ 0,54+101 o.e1927Z

O(PIM(-9)) 1.090159 0 .519569 2.098200

O(PIM(· 10)) -0.283930 0.65(3293 . -0.432627

O(PIM(-11)) -0.872770 0.623429 -1.399952

O(PIM(-12)) -1.441249 0.862246 -1.671505

c

15.16387 55.24251 0.274496

R-square<l 0 .727919 Mean dependent var

Adjusted R-squored 0 .334914 S.D. dependent var

S.E. of regression 1 1.90880 Akaike info aiterion

Sum squared resid 1275.946 &hwaa cri1ori0n

Log ikellhoOd -78 .81901 Hanna~rQuinn criter.

F-<Oialiolic 1.852168 Ourbii>-Watson stat

Prob(F· slalistic) 0 .1 78763

Prob." 0.9276 Prob. 0 .8572 0.8734 0.3593 0 .6860 0 .8831 0 .5008 0 .2291 0 .7412 0.4~8 0 .0853 0 .6755 0. 1950 0 . 1290 0 .7899 3.701304 14.60012 8.071219 8.762389 8.245046 2 .304204

Lampitan IV

Uji Stasioneritas

(17)

- l lypolheoio: MOS hal a uniiiOOI " " " -' Conslanl

Lag Length: 12 (1\W>mollc !MINd on AIC, MAXLAG=12)

t-SiatiGtic

T esl critical valuss:

5%1ewt 2 .

-10%'-""' -2.838752

"Mad<innon (191l6) ... -~

Augmented Oid<oy-Fuler Tesl Eqootion

Oependonl Varlollle: O(MOS) Method: toast Squares Date: 01116110 Time: 22:37 Sample (adjusted): 200002 200604

lnc:luded ollservatlona: 23 after a<ljustmenls

va-

Coctlllcient Std. &rot ~

MOS(-1) o.n5227 0 .211607 3.663510

O(M0$(-1)) _{· 1.8300!i6} _0.440753 _{~ . 152114}

O(M0$(-2)) ·1.521701 0.562571 -2.704908

O(M0$(-3)) · 1.345208 0 .5119049 -2.2336G6

O(MOS(~)) ~.601521 0.520398 -1 155886

O(MOS(-5)) ~ . 518660 0.~ -1.335758

O(MOS(-6)) -1.187968 0 .390062 -3.043245

O(MOS(-7)) ~.642555 0 .405679 -1.583000

D(t,tOSHl)) ~ . 661276 0.396880 · 2 . ~10

D(MOS(-9)) ·1.730491 0.466050 -3.713102

D(MOS(·10)) •1.042202 0.401667 -2.:5&4755

O(MOS(-11)) ..0.1538996 0.427479 -1.494803

O(MOS(-12)) ~ . 811961 0.431686 - 1.417608

c

-11.96 12275.30 · 3.577262

R·~ O.eae618 Mean depel.t

-Adjusted R~ 0.722839 S .D. depeodonl VII

S,E. of regression 8779.713

- info ailerion SUm aquarecs resid 4.14E<il8 Schwarz aiterion

log lillelihood ·224.7444 ~ aiter.

F.statiollc 5.413548 Ou!tlir>-Watson stat

Prob(Fo$latisllc) 0 .007881

Prob." Prob. 0.0052 0.(1025 0 ,0242 0 .0483

o.zns

0 .21« 0 .0139 0 .14 77..

0.0035

0 .0048 0 .0290 0 .1692 • 0.1900 0.0060 5595304 1un .90 20.7eo:l8 21.45155 20.93421 2 .063802

Lampir:111 IV Uji Stasioneritas

(18)

Nul Hypoa>otls: UB has a unit root

~ · Constant

Ug l.e<lgCh: 8 (Automatic baoecl en AIC. MAXLAG• 12)

1-$1AIIi$tlc Prob.'

AlJgm«llad Dld<oy-Fuler Te•l Equ.ol)on

Dependenl Variable: O{LIB)

Molhod: Lent Squar-es

Dl1e: 011115110 Twne: 22:38

·2.e76283 · 2 .627420

Sample <"'*"'~ ' 200202 200804 Included obMrvaoions: 27 after lldjuolmenos

Vsriabf.e Coellicienl Std. Error I·Siallstic

l.le(-1) .0333997 0 .105352 .:1. 170286

D(UB(· 1)) 0.058420 0 .147912 0.394961

D(UB(-2)) _{0 . 04~} 0. 148231 0.307344

O(LlB(·3)) 0 . 122 197 0. 148089 0.625157

O{UB(-4)) 0.205352 0. 155706 1.3 18640

O{UD(-6))

o.3322n

0 146631 UI56084

O{UB(~) 0 .297027 0 . 150646 1.971891

O{UD(· 7)) 0.210662 0 .147551 1.427858

D(UB(·8)) 0.150900 O.H1503 1.066107

c

1.135588 0 .352091 . 3.225271

R_.., 0 . 4~ _- _{clePelder• ••}

Adjustad R-~ 0.2.28115 S .D . dependent var

S.E. of regr:eoaion 0 .3&4388 Mollw Info oriterioo

Sum squared resld 2.6<14213 Schwan ait8rion

I.Dg likelil1ood

.e.e«583

H~allllr •

F-

1.844078

lluftlln.Watson-Prob(F-) 0 . 132530

Pro!> •

0.0056 O.Be78 0 .7629 0 .4 207 0.2047

o.ooee

0 .0651 0 . 1714

0.3012

0.0050

0 .080370 0 .44831 7 1.255154 1.735094 1.397866 1.5$7045

Lampiran IV

(19)

Lampiran V Uji Nonnaliw

VAR Residual Normafrty Tosll

OrthogoMPzalion: Cholesky (L<III<epolll)

Nua Hypothesis: noslduals ate !Tdllvariale nonT>;II

Ollie: 01116110 Tme: 23:28

~ 200001 2008Q.4

1nc:ludad -aliono: 34

CompoMnl Skewness Chl-sq df P10b.

1 0.343$30 0.668741 0 4136

2 ~.61105$2 2.702221 0.1002

3 0.2S3348 0.363710 0.$066

4 0.331374 0.822251 0,4302

5 -0.331109 0.821256 0,4308

8 0.2<6617 0.344845 0.5572

7 -0.131792 0.098425 0.7537

Jo01I 5.421248 7 O.C!087

COl' !pOl lent Kur1~1 Cti-oq d! Prob.

1 1.965011 1.517536 0.2180

2 2.608237 0219653 0.6393

3 0.983226 5.782119 0.0164

4 1.112177 5.0<6624 0.0248

5 1.514941 3.124318 0.0771

8 1.139761 4.902362 0.0268

7 0.818218 6 .755940 0.0093

Joint 27,33075 7 0.0003

Coo"''""""'

Jatqu&-llofa d! PIOI>.

1 2.166277 2 0.3352

2 2.921874 2 0.2320

3 6.125829 2 0.0488

•

5 .671074 2 0.0587

5 3.745575 2 0.1537

8 5.247007 2 0.0725

7 6.85438& 2 00325

(20)

VAR Rosiduol Serial C<Hrelation l M TOlll•

NUl Hypotneois: no serial correl31ion at log ordef h

Date: 01117110 Time: 00.17 Samj>lo: 200001 2008~

lnctuclcd--: 34 Lags 1 2 3 4 5 8 7 8 9 10 11 12 13 14 15 18 6835833 47.29021 65.88032 ..ali6579 52.28523 47.28843 60.01428 68.24610 39.16695 54.C6151 37.99150 56.18335 56.871UI 52.1!n82 33.81566 43.11682!J

Oeponde<ll Variable: NER

Method: leasl Squares

Date: 01117/10 nne: 00:43 Sample: 200001 2008~

Included -.alions: 36

Prob 0 .0351 0 .5427 0 .0540 05728 0 .3476 05427 0.1346 0 .1717 0.8414 0.28n o.8n8 02238 02054 0.3510 0 .9515 0. 7114

v-

Coelllcient

OOP 6.379211

GOP 0 .008338

NIR 143.8735

MOS 0,010m

LIB 40.50186

PIM · 10.45479

c

35711.196

R-squared 0 .602527

Adjulled R·squared 0 .520291

Sid. Enor f,Sfaliotic 14.20419 0 .4491()6 0 .005082 1,244271

36.10635 3984494

0.006867 1.s.s1n

67.86498 0.500625

6 .705081 · 1.559234

1782.981 2 007456

Mean dependent var

S 0 . depouclec~

-Pro«>. 0 .6567 0 .2234 0 .0004 0.1322 0.5554 0.1298 0.()541 9132.333 649.8378

Lwnpiran V

(21)

llFI'\H I F\11• '\ 1'1 '\ltlll lr-: \ "\ "\ \ SI Il:'\".\1.

IJN

I\ ' EI~

S IT

AS

NECER I MEI>A N

PROGRAM PASCASARJANA

( The State University of Medan School ol Postgraduate Stud•es )

~ \Vo 111 I~ ;J,.L wl .,. V l<olo •

..,._No

1'>59 . .... 1.J<JJ0}111«11 (0r.I)66J6/JO !.6·11)'1) 6612I81Fa> {061)6611181 663(,!1

SURAT KEPUTUSAH OIREK f UR PRO() RAM PASCASARJAN A UNIVERSIIAS NEGERI MEOAN

Nomo< D15 /H33 271 KE~ IPGI2DD9 TE~AN G

Pen g angk ~ lan Susun,ln K0 r111s ~ Pombimbiny Pro gram Pa&USiltjana {52) UNIMEO Alas N.una:

Muhammad Nur Lubl s; NIM: 07218t16JP030 Program Studl llmu Ekono rni Stud1 P(!mbangunan pJda Program Pucau rj an;:. Univonitas NtQ'Irl Medan

Menetapl'ltn

Kedua

Oirek1ur Program Pascuatjana Un•vorshas Negerl Me-dan

Permohonan Ketua Ptogra.m Stuc;J~ Umu t:konom• Stud• P'embi:tngunan tenLang

Ba ilwa petfT!ohonan tetHtH.II d t atas Gap.lt O•sehJf'J• dan p.enu Cit tecapkan oeng~m sutat

k o~

Peraturan P e ~T~enntahNo 60 Tanun 1999

Sural Ecjaran Aststen O.ettlur 1 No 766/J 39 22JPPf2006

MEMUTUSKAH

· Me-ngilngkat saudara

D 1 Joon• Manuiung (pembimb>ng I)

2 Dr Muhammad Yi.lsuf. M. St (pembimbing II)

.. Sebagou Pt-mbunb--.g Tes.is ~ n Muhantmad Nut lubis . NtM . 072188630030

mahasiswa Program Pasc.asarjana Unrversitas Negeri Medan Pr og~ a m Stud• Umu

EkQroOITil Studi Pembangunan

• Kepoaa mal\3"swa Y""9 t.nangkuJan ""'"' ' b~on ""'mbaf¥ biar• T esls Su uao

dengan peQtutar. yang ber\aku dt Program PaS(;a~ na UNJME"D

• Apa.bila lerd.ipac ktb W an dl kef'nUdian 1\at\ tenta.ng pene~pal'\ Dosen Pemt:Mmbang

tesis 1n4 akan d q:>e1~ 1 $eb3g;umana mest.ny.J

Ortetapkan di ; Med-an

at: 1 anuari 2

Dl.fektu ,

Ptot Dr. Se:lferik Manu:lla.ng

(22)

DEPARTEMEN PENDII)JKAN NASIONAL

UNIVERSITAS NEGERI MEDAN

(The State University of Mcdan School

or

Postgraduate Studies)

~ Wlliem lSI<andilr Pst. V · Koldk Pos No. 1589 Mroan 20221 Tt!p. (061) 6636730 · 66413•3 • 66l2 18J Fax. (061) 6632183 • 6636.

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(23)

Badan Pusat Statistik

Provinsi Sumatera Utara

Nomor

Lampiran

Peri hal : Sural Riset Pengumpulan Data

Kcpuda Yth,

Ketua Prosrnm Studi llmu Ekonomi

Prognun Pasca Saljana Universitas Negeri Mcdan

Di Tempal

Dcngan Hormat,

M.cdan. I() Februari 20 10

Bcrsama ini dibcritahu~'lln bahwa Mahasiswa Program Studi MagiS1er llmu F.konomi Univesitas Negcri 1\icdon yang tertera dt bowab ini :

Nama

NIM

Jurusan

: Muhammad Nur Lubis :072188630 030

Adalah bcnM !ehlh mclaksanakan pcnelitian di Badan Pusat Statistik Provinsi Sumatera Utan1 Jalan

Asrama No. 179 McdM tanggal8 f cbruarl, 9 Februari dan 10 februari 2010. Kcgiatan ini dilaksanakan

guna menyelcsaikan Thesis padajurusan Jlmu Ekonomi di Uoivesit&• Negcri Med.an. Dcmikian surat ini dipccbuat untuk dapat digunakan seperlunya.

J--

No. 1-,Tdp. .. $23• 3 (lU!do&),1459%6. F«<. .. 52773 Medan 2012:3

(24)

KEMENT£1UAN PF.NDIOIKAN NASIONAL

UNIVERSITAS NEGE RI MEDAN

PROGRAM P ASCASARJANA

( The State University of Medan School of Postgraduate Studies )

Jl. Willem ls~andar Pst. V • Kotok Pes No. IS691~edan 10121 Te!p, (06 1) 6636730 • 66413<1 • 6632183 Fax. (061) 6632183 • 66367)

No Lamp•ran

Hal

Ke<><~da

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{Pemt.mbtng I)

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Medan S Jun 201 0

Kam• m eng u'1d~'9 Sllt«1~ra uot\1< menguJ• T~s.c. Mahi)Siswa d! b"3\V&h tl'\t:

Nama Muhammi'!C1 Nut LutHS

NHJ:

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lltl'll" E" r.norn

Xtt I E,_, .. e~Ui·'

''nahs•l Faktor-FaKio• Yang Motnpeng~r uh VC:Hiabei·Vanabel Moneter Oengan Metoc:te Vec.tor Auto Re ~:J ·e s s,.,., t VAP '

Scilo 0/~ Juni2010

16.JO - 18.00 Will

UjtCln Mt dJ M3kSUCik.:Jn UrltuL. mt.:nrlai muttl te1.•S vaOQ 01 tubS mah;t$1Swa bef'SanQic:utan dan

kemtttnpuann ,+a ttt,Wk m ~f'napac <on dan men141waQ r>enanyllan oenguJ•, serta membenkan

(25)

•

MUHAMMAD NUR LUBlS, lahir podn tangga1 17

Oesember 1983 bencpatan dcngan 12 Rabiul Awal 1405

Hijriyab di Pangkalan Brandan yang merupaknn anak pcnama dati 5 orang bersaudara dati pasangnn Drs. Sulaiman Lubis

dan Halimah J'usa'diah Nasution (Alm).

Peodidikan fo1111al yang telah ditcmpuh diawali pada TIC Dhanna Patra Tangkahan

Lagan pada talum 1988, kemudian melanjulkan pendidikan kc SO. YKPP Penamina

Pangknlan Brandan pada tahun 1989. kemudian mclanjutknn pendidikan kc SMP

Negeri I Pangknlan Brandan pada taiiUo 1995, kemudiao melanjutl<an pendidikan ke

SMU Negeri I Paogkalan Brandao pada tahun 1998. Sctelah itu melnnjutkan

peodidikan tinggi di UniversitaS Ncgcri Medan pada tahun 2001 pada Fa ~-ultas

Ekonomi, Jwusnn Akuntaosi. Sctclah menyelesaiknn srudi pada tabun 2006 bekerja

di Pcrusahaan Asuransi AJB Bw'niputern 1912 scbagai Internal Auditor dan pada

tahun 2007 kcmbali mclanjutkan Pcndidikan Tinggi pada l'rogram J'asea Swjana di

Universitas Ncgeri Mednn Jwusan llmu Ekonomi, dan selesai pada tahun 2010

dengan .iudul Tesis ~Analisa F'aktor-Faktor Ya11g Mentpeng•ruhi

Variabel-V a ri.a~l Monet or DeDgan Mt1odt Vtdor Auto Regre$5ion (V AR).

Saat diwisuda tclah berusia 26 tahun I 0 bulan dan belum menikah dan masib tttap

(26)

R•,...• of LOG(OOP) to C hot-lllt

en.s.o . ~

· ~ ~--- --,

•••

A.".-..

el lOG(N£AJ to C,.__,

en.e . o . ~,.,...

~r--- --- ---~

....

•••

·"'

••

..

.•.

•

(

__

,_.,.,

1,~) ux:n ..

•t

••-r---,

..

1

.

--t= - -=,

~ }

~..,..,_.of l.OG(MOS) 10 ~

en. s 0 . tlnCMit~

••

..

...

Larnpiran 1 Omfik Hasillmpulse Responses Function

Respon~~ ot \.()()(GOP) 10 C ,_..ll(r

or. so

..._...ex.

~ ~---,

••

R~ It/A t..OQ(NIM) 10 CfiiOf . . IQf

on..ao~

- ~-- --- ---,

R~ of t.OO(PfM ) to C ltcll•""

<>'oe s.o.

(27)

Lamplran II

Aliran Variable Shock lRF

!RF OF DDI'

.Jangka Pendek :

LOG(DDP)t ~ LOG(GDP) ~ LOG(MOS) ~ LOG(NER)

~ LOG{NIR) ~ LOG{PIM) ~ LOG(LIU)

Janek! Meneuab ;

LOG(DDP)f ~ LOG(GDP)! ~ LOG(MOS)f ~ LOG(NER)! ~

LOG (NIR)l ~ LOG(PlM)f ~ LOG(Lffi)l

Jangka Panjang:

LOG(DDP)f ~ LOG(GOP)! ~ LOG(MOS)f ~ LOG{NER)!

+

TRf OF NtR

.

Jangka Pendek :

LOG(DDP)f ~ LOG(GDP) l ~ LOG(MOS)! ~ LOG(NER)f

~ LOG(NIR) ~ LOG{PIM) ~WG(LIB )

J ancb M ~ne n~:ah :

LOG(DDP)! ~ LOG(GDrrf ~ LOG(MOS)! ~ LOG(NER)!

~ LOG (NfR)! ~ LOG(PIM)f ~ LOG(LIB)l

J an&ka P!njan~: :

LOG(DDP)f ~ LOG(GDP)! ~ LOG(MOS)f ~ LOG(NER)!

~ LOO (NfRlt

+

LOGiriM\

I

+

LOG{LIB)

I.

I

,,

IRFOF GOP

•

Janka Peedek:

LOG(DDP)f ~ LOG(GDP)l ~ I.OG(MOS) ~ LOG(NER)

+

LOG{NIR) ~ LOG(PJM) ~ L OG(L J B)

Jan&ka Mlnen&:;ah :

LOG(DDP)! ~ LOG(GDP)! ~ WG(MOS)f ~ LOG(NER)!

~ LOG (NlR)! ~ LOG(PlM)l ~ LOG(LIB)f

JaD&ka Pani n~::

LOG(DDP)f ~ LOG(GOP)! ~ LOG(MOS)f ~ LOG(NER)!

~ LOG INIR)l ~ LOG{PIMI.l ~ WGQ.IB\J

'

~

I

(28)

lampiran II

Aliran Variable Shock IRF IRFOFNffi

Jangb Pendek :NIR

LOG(DDP)j+ LOG(GDP)! + LOG(MOS)! + LOG(NER)l + LOO(NIR)j + LOO(PIM) +LOO(LlB)

Jaagka Meneagab :

LOG(DDP)!

+

LOG(GDP)f'

+

LOG(MOS)!

+

LOG(NER)t

+LOG (NIR) j + LOG(PIM)! + LOG(LIB)!

.Jaagka Panjang:

LOG(DDP)i + LOG(GDP)! + LOG(MOS)f

+

LOG(NER)l

+

LoG

(NlR)! + LOG(l'IM)! + LbG(LiB)!

IRFOFPIM Jangka Pendek :PJM

LOG(DDP)j+ LOG(GDP)! + LOG(MOS)f + LOG(NER)l

+

LOG(NJR)!

+

LOG(PIM)l +LOG(LID)

JaggpMenengah;

LOG(DDP)f + LOG(GDP)j + LOC(MOS)j + LO<i(NER)! +LOG (NIR)i + LOG(PIM)j + LOG(LIBH

Jangka Panjang :

(29)

Lampiran II Aliran Variable Shock IRF

lRF OFLm

Jangka Pendek :LIB

LOG(DDP)j+ LOG(GOP)! + LOG(MOS)l + LOG(NER)j + LOG(Nffi)f + LOG(PIM)! + LOG(LIB)!

Jangka Menengab :

LOG(DDP)l + LOG(GDP)f

+

LOG(MOS)j + LOG(NEJ.l)!

+LOG (Nffi)! + LOG(PIM)j + LOG(LlB)f

Jangka Panjang :

LOG(ODP)f + LOG(GDP)f + 1,0G(MOS)1 + LOG(NER)! + LOG (Nffi}l + LOG(PIM)! + LOG(LJB)!

lRFOFMOS

.langka Pendek :MOS

LOG(DDP)j + LOG(GOP) j + LOG(MOS)j

+

LOG(NER)

+ LOG(Nffi) + LOG(PIM) + LOG(LIB)

Jangka Menengab :

LOG(DDP)j + LOG(GI>P)f + LOG(MOS)f + LOG(NEn)! +LOG (Nffi)! + LOG(PIM)j + LOG(LIB) !

Jangb Panjang:

LOG(DOP)j + LOG(GDP)!

+

LOG(MOS)j + LOG(NER)!

+ LOG (NIR)! + LOG(PIM)! + LOG(LIB)!

(30)

Date: 02{03110 lime: 20".23

- ... (adj- ~ 200004 200804

h:luded o~ions : 33aner adjU&~

T rend~No~ftend

SMes: LOG{DOP) lOG(GDP) LOG(MOS) LOG(NER) lOG(NIR) LOG(NC) lOG(UB)

Lagsinletva l (infir&tdil'f~) : t to2

t1~""

'"""

....

No.oCCE($) EiQenll'illiloe

-

~V. I ue

-.-...

0.9&4642

,.

...

t n .t 80$ 000\)0

At

most,.

G.81791t 117.2473 83.93712 0.0000

AI tn0$12 • 6.77094 .. 131.0288 60.06141 0.0000

At nv!ISI_ 3 ' 0. 740551 82.:st371 .. 0.17493 0.0000

Al mosi4 · 0.52274$ -37 8103:1 24,27596 0.0006

Atmo&t5" 03$4316 1J.4$W1 t2.32.090 0 . 0~1

Atmost6

...

0.0308N 4 .1 2~ 0.8857

Ttaee eHt ~ 6 ceitlteglf8lif'IO eqn(s) at !MO. OS~

• denoee.r~ ot the hypothese a1 h o.o5~ew~

'"Macl<innon.ttaug .. ~ (t999) po ~s

Un~ Colnw.graQ)Qn Rank. l~~ EGIIWalue)

.,

...

Max·F.!Qetl 0.05

Ho . or~( sl Eige<w-

-

Crilieai:Va1ue Pf'Ob. • •

.

..,..

0 . ~ 2 138:.2434 Q..71210 0.0000

AI t1'IOSl 1 • 0.&17971 56.21850 )6".63019 0.0001

Al ffiMt2. o.no!W• <8.83SOS 00..4!981 0.0001

AllnOI$l_) • _0740551

....

.,.

_24.15921 _0.0000

Alln0544. 0.52274e '24.41042 17,?$730

...

Alll'IOM $ • 0.334316 13-.42901 11.22480 0,0202

.,

...

o.ooom O.OJO$il8 4.129\lae OUST

Max..ei9ei'I'Yllue ~ ~ 6 ceil'ltegl'8tino eqn(a}.&! tnt 0.05 level • denotes r.;ection or the hypoltll!si$ a t the 0.05 h!vei

~. tq ug.Micflek (1999) p. ~

unresllte1ed CCin~g Coeflldetlts (nonnallled by b"'S1 1 ~ ):

LOO(OOP) LOO(GOP) lOG(MOS) LOO(NEA) lOG(H!II)

-8.620823 · f6.15S.OO t3.2t907 f8.60601 ><4.&423-49

1,52e1GJ .n .. ~$01 U~()!l 8,43:3~32 &.718357

l~

- 10.98708

·8.302192

Lampiran

m

Uji Kointegrasi

lOG(UB}

0.3$7'222

(31)

Lampiran Ill Uji Kointegrasi

CllOO(QOPD 00154$1 .00011115

"'-

4.01Ct21W 0 - 0 .001i101

...

-

"'-"

.00117't1

"'·

...

_.o.ottm 0.- ~004)4$

...

CllOG(NER» o.ouon 0001217 .0.021501 0017 .... 0,00252'7 G0117S3 -0JI001$l

ll(LOG(HIR)) 0.0180$7

...

..O.QZEM)t9

"'·-

-0008141 Cl.OCII)Ml 0000771

O(LOG(PI<)) O,OI U$1 0.006421 ..0.002602 0.006$0, 0 .008-969

..,....,..

o.oooe57

O(LOG(L111)) .0.0313Z2 .014042 ..0.03&874 0.00471J .0. 017875 .C)_()4g338 -o.00131.t

t Coin~Eq~r) : _1.09- 478.3810

~«ffl 0 ~~tft"'rlnJ*ooet.,..)

I.OG(OOP) LOG(GOf'l ~ I.OG(!4Elll I.OOqllllj _lOCCPIYl LOG(LII)

1 000000

,..,,.,.

·1..,_ ... 1 - 0.- 1.27441 ~041437

fO 1tt44)

....

...,

-

_11'0541601

...

_

{0018$11)

...

~ t~enotin .,.. .. ,.., ·~

C l l - J ..OJJ03S41 C0.02G0t)

Cl(LOG(GOI')) .0.13)2U

(0.0:5641)

D(I.OO(MOS)) 0..219793 (0.10&40)

O(U)G(NER)) .O.Clet5451 (0.07121)

00.-

.0.15*1

..

...,.,

-)

.OOQI170

(0.101117)

O(LOG(I.B)) 0.2100tt

(O.M$14)

2 COn--n(•): lOOh- 504.49!n

Noft'nalizecl ~ng ~Lt (ttMICI~ . . . ~}

LOG(OOI') LOG(OOP) LOG(MOS) LOG(NEIIl lOG(IIIR) 1,00(I'Iol) L<)G(ll8)

1.- 0 - .O.: tl81 0'2 .07m67 1..41791) 0.- .Q2Wt!Cl$

...

,

(10..., 4Q.11 . . . ) _11»'071 (0.04Q1)

0000000

··-

.0 'J»>U ..0.1\450$ .0.41102

...,..,.

o.tun•

co., ... fll.1f111l (0.- 7) (0.11115) (0 ...

~··~c~tm~tln~J

0(1.00(001')) OJ)OO&St ..0,043171

{0.02579) (0 003!)8)

D(LOG(GDP)) ..0,134814 _.o.:~~m

(1>.-3) (0 13103)

D(I.OO(MOS)) O.t9 tH5 0817W

(0.1~) ( 0 - )

D(I.OG(NER»

..

_

..

_

(9.079401 (0 1tQ;I)

O ( L - )

"',.,..'

..

.,...,

0 - 1 (0.1tml

~ ~OIU15

..

_

l010&U) (0 310SI)

D(I.OG(Lt8)) 0.0$5et7 l ••12S1

~

...

(014154)

(32)

Lampiran l1l Uji Kointegrasi

, CoiMtQtiiiWIQ Eq~aliOA{t) ' _{1 . 0 9 -}

.,....,.

l:lc):; '"""wi:***~~_,Mpa:um )

LOO{IlDI') _{l -} I.OO(NO$) LOG(!IER) lClG{MRt 1.00( ... LOG(UI)

1.000000 0.000000

...

..0.981721 1.716911 0.045024 ~ . J7 1 1t"

(0,08031;1) (O, t :)'f7.S) (0.1:1.08} ( 0 . 05~)0)

0000000 1000000

...

·2 01:s760 , , .. 8'7730 _{O.• Ttm}

....

,...

{1>00760) (1:110102) (0..1051~) (004:231)

0.000000

·-

1.000000 ·1..11e1 . . tJOt OISt ..OtfJ'W

..,....,.

(0.1R5S) (D~ts6) tlt.2ta71) (000015)

Acljueflmtf'll ooetfic.:inf (~d effllr In ~·

O(LOG(OOP)) ..0.:17116011 0.030ttl 0.2:3 ~1J8

(000.,>) to.04701) (O.OSfm)

()O.OG(()OI'Il

·-·

.o.204In ...,.1,.

"'-.,.

..

,

" ' - 1 - (D 1101.2)

()O.OG(NO$))

~·

0.75i710

...

(0Atl14) (0..26511) (0-32709)

O(lOG(NER)) ·1 004079 ·0,021428 0.455731

C0.~$47) (0 1'7302) (02134~

ll(I.OO{NIRj) · 1 - O. J:ztt70

·-....,....,

f0.1 •J71f fO.tmJI)

-»

.0 ft$411 .0..211204 0.292312

(0 . . . "1 (0.27 . . . ) (0.3.ut S)

O(LOC(liB}) · l.58NII2 2.7Jt3" .o.nsm

(1~1) (0 N.Qt) (1 051.2:80)

1.09-- 5SUI89S

Nom\IIIUICJ OOil'lleg,..,.. cotltc:ients (s~ MOt li'lpe~o: l hiiW)

l OO(DD!') LQG(QQf') LOG(MOS) UlG~ER) LOG(NIR) LOG(PIM) lOG(l.lll)

1000000

··-

0.000000 <>000000 ..0 4$4559 .OW17f72 0 ~ 3t tto 3

\0.111753)

...

-

toO>O>O)

...

1.000000

...

.._...

...

-t toettS 1.>32727

(0.2$013) (O.t2D5) co 11nS>

0000000

...

1.000000

-

·U21573 ..Z.030U't 0 . 7472~

(O , t-4~ (O,or2t7) (O.O!SGil&)

0.000000

... ...

1,000000 -2.200322 •1 03o4DM o_nJatl

• 0 162.41) (0.0f310) (0 07624 •

••

....

.

. • (tlliiiOinS --in pa& •

QO.OO(DDP)) .0 ~71314 0.001041 on,... .OON317

(0 ... , (OJ»501) ~Q.OS81~) (0.13006)

ll(lO<l{GDP)) .0,2&41Q6 .0,6:20402: 0 .27'314J: ... 3 ('Wm) (0.27..,) (0..16721) (0 311156)

...

..,...

(33)

5~£ qi.Mtlon (8): leg lik ~ ~3 . 214?

Hormalized OOinleQiati~ c::oef6c:ieru ($1anclatd ~in pwencneaet•

LOG(DDP) LOG(GOP) LOG(MOS) LOG(NER)

1,000000 0.000000 0 .000000

...

0,000000 I:OOCIOOO O,OOO<ioo

...

0.000000 0,000000

...

0.000000 0.000000 0»00000 1.000000

0.000001> 0.000000 M OOOOO 0,000000

~nt~ ($1lol'4irell9norinpertf'1111-)

O(LOO(OOP)) .(),38:)432 Q.064'1.51 0.210228

(0.00$07) (0, 10494) (O,Od019)

D(LOG(GOf')) ~.313477 ..0.3&&576 0 . 161801

(0.23-566) (0.2896~) (0. 18615)

O(LOG(MOS)) .0.2.282.-e 0.728048 .0.677135

t0.'-405&) {0.4ZI7\) (0.2 ... )

O(L00(NEA.)) ·1.08e81$ 0 7&&177 0 ,673711

(021062) (0.33261} (0,.19080)

O(LOG(NIR)) • 1.333638 .a. 186820 0.67747t

(0.2 4901) (0. 30818) {0.17560) D(LOG(PWJJ .0.2.&5748 0, 11tl148 0.203837

(0.5174-4) (<l.ll>'JOO) (!).31$481) O(LOG(UB)) -t.tlo47"9<t 6.102126 ..0..420:S10

(U.S598) (1.66689) (0.8$601)

6 COiMegfa21Q ~(&) : 1.00 llkelihoocf .... O$ii

NorrnaliUcS COintegt'811~ CO&I'IIclent5 (tlt:anclafd error In ~ ~J

LOG(DDP) LOG(GDP) LOG(MOS) LOG()OER)

...

O.<lOOOOO 0 .000000 0.000000

0.000000 1 00000() 0,000000 0.000000

0,000000 0,000000 1.000000 0.000000

0.000000 0.000000 0.000000 1 .. . .

0000000 0000000 0 .000000 0.000000

0.000000 0.000000 0 .000000 0,000000

Adjus~ ~~ ($1Md;;s:d ~trOt in parenth~)

O(I.OG(ODP)) .0. )18$&1 0 , 0316~

...

(0.09061) (0.10099) {0.0$67 1)

O(LOG(GOP)) .0.4~04 ..0.2721'78 0.1ID18

(0,2 4 995) (0,27838) (0.15632)

D(I.OO(MOS)) ~ 1 268 1i o.m:no .(),tassa2

LOG(NIR) LOG(PIM)

0.000000 ·f..2:20018

(0.01663)

0.000000

..

...

(O,<K!lOO)

0.000000 · 2.765561

(0,04182)

0.000000 ,.2.2798-16 (0,06717)

1..000000 .0..548543

(0.0324 3)

..O,U1561S 0.012425

{0 14039) (0,03254)

0580!i06 .0. 1!M67.5

fQ.J:II'f$4) (o,oete1)

.0.$4241) ..0238731

(0;57-436. (0 . 13322)

o\..2:91056 G. t84688

(0 <MSOC) (0..10S14}

0.21i)48 .0,4 7\tiV

(0 •• 095i) (OJ)SI4V ~

.0.33U t18 0.111Q29

(0.85~) (0.19n0)

.-p :m us 0,090522

r.z,.,.., (0, !1187A'j

LOG(NIR) LOG(PIM)

0:000000

...

0.000000 0.000000

0,000000 0.000000

1.000000 0.000000

0.000000 1.(100000

.O,OasMS 0.0 15580

(o,13404) (OOOOM)

O.A.803t$ ..0,20:)474

(0.3e . . 9) {0.08451)

.0.287$98 .0.23381l6

Lampiran tu

Uji Kointegrasi

I!.OG(liB)

(1,4?t16i

(0.04i38)

, , ~96

(tJ,27'"J28}

1 . 0630~ (012417) 1.31"2296 (1),201SS) 10.237519 (0;09$31) LOG(LIB) . , .&51318

(oS>OOO) - 3.2VC33Q2 (1.41337)

-3,349660

(1 10005)

..2:.325310

(0 97917)

-o.&3t1)4

(0 24 \11}

-1.59559$ (O.A3190) ..0.0&421 7 (0.03814) 001S351 (0.09962)

0 , & 1~

(34)

Lampiran Ill

Uji Kointcgrasi

(0.3t117)

,

...

)

"~ {IIU71011 jDim>j {D,1S6f1,

DCI.OG<>IE"» ·U$7771 . . . 1

.

...,

...

·U M7t 0 111101t

...

(0.>1>60) ... >) (0.17117) (0<00<17) (0002S>) 11'· 10000)

O(I.OG(Ntll)) -1,J41 7U .0.1 . . . OG-7$188 O.Z74NO ~471$0) ~ . 06$885

(0.2ttM) (D.St S38) (0.17598) (O . ~ tMt) (0.095t3) (0 U2t3)

O(LOO(I' .. )) o.mtee .0018~7 0.15651$ .0.031147 0 138018 ~428455

(0,$11' 13} (U76M) (0 ... ) (0,764<0) (0,17485) {O..:loetl)

O(L0G(U8)) ..0.811402 a.S20H7 ·CU11641 -7,1\2363 0.14.5430 0.462169

(35)

Null Hypothesis: NER has a unit root Exogenous: Constant

U!g leng!h: 0 (Automatic based oo AJC, MAXLAG=12)

Test orifkal valu&s: 1% loWII

5%leWII 10% level

'Maei<innoo (1996) on&-&ided p-v~lue ..

Augmenled. Oidtey-FuUer Tesl Equatlon

Oepe<Kiel~ V a -: D(NER)

Method: Least Squares;

Date: 01116110 Tme: 22:30

-2.103975

-3.632900

·2.9o48404

·2.612874

Sam~ (adjusted): 200002 200804 Included obSefvations: 35 after adjustments

Varioble Coeffident Std. Enor 1-SUI!istic

NER(-1) -0.400601 0.148153 -2.703975

c

3733.618 1347.935 2.769879

R-squared 0.181375 Mean dependent var

Adjusted R-squared 0.156566 S . O . ~tvar

S .E.

or

regnosslon 499.3217 Akaike in1o crfter1on

SUm squamd resid 8244117. Schwarz crilerion

Log i kelihood -266.1.319 Hannao-Quinn criter.

F-Slatiltic 7.3114$1 Owbln.Waison sial

Prob(F - sta~stic ) 0.010747

0.0835

Prob,

0.0107 0.0091

96.00000

5442395 15.32163 15.41070 15.35251

1,326549

(36)

NuN Hypolhesis: GOP has a unit root

Exogenous: Constant

Log l.eog1h; 0 (Automatic based on AIC, MAXLAG~12}

t·Statl&fle Prob. • Aujjmonted Dld<!Y-I'Uller test statistic

Test critics~ values: "'level

5%1ev$1 10% le\lel

·Mllclllnnon (1996} uoo-:Nde<lp-vakJH.

Augmonled Dickey·Fuilef Test Equalion

Dependent Variable: O(GOP}

Method: Least Squares Date: 01/16/10 nme: 22:33

-1.996721 -3.632000 ··2.948400

-2.612874

Sample (adjuoted}: 200002 200604 looludejl observations: 35 after adjustments

v~- Coefflcioot Std. Error 1-Statlstic

GOP(·1} -O.Oil5&&3 0.047910 -1 .996721

c

49177.68 22046.28 2 .230&5&

R-squan>d 0.107792 Mean dependent var

MJUsted R·squared 0 .080755 S.D. dependent var

S.E. of regression 17654.46 Akalke info o1terion

Sum squared reskl 1.03E+i0 Sd>Waa. aiU!rion

log likelihood -390.6892 Hannan-Quinn ailer.

F-otatiotic 3 .966895 Durbin-Watson slat Prob(F-slalistic} 0.054159

0 .2869

Prob. 0 .0542 0 .032&

5562.531 16413 .61 22.45081 22.53969 22.46149 1.812430

Lampiran IV

(37)

Nul~ 001' has a unit,_

Elcogenoua: Conotan

Log l.e<lglh. 9 (Auk>motic: baMcl on AIC, IUJCl.AGz12)

1-&ausbo

"'-"<~ Old<!!%.,Culer lest Slatislic _..0,1918$2 THI crlllcal v -; 1% level _{- 3.7114~7}

5%~ ·2 .981CYJ8

10% level ·2.829906

' MocKinnon (1986) ane-eided p...Vueo.

A"ffmenled Oici<B)'-Fuller T as! EQUII!ion Dependent Vadable: O(OOP)

Molllod: 1.eas1 Squares

Ollie: 01116110 Trne: 22:3<1

~ (edjusled): 200203 ~

lnducled _ , 26

an ... ....,._

v-

Coellicietlr Sid. Enor 1-Sialislil;

001'(- 1) ..O.Il0:3607 0 .0 18278 .().191852

0(001'(·1)) 0.006831 0.26M89 0.364180

0(001'(-2)) .QA57324 0.2.00.3 ·1 .902799 O(DOP(-3)) 0. 100409 0 .261268 0 .3&4316 O(DOP(-4)) ..0.523287 0,250789 ·20865&4 O(DOP(-6)) 0.275214 0267-468 1.0281169

O(OOP(-6)) ..0.258810 0 .2.2632 -1.000674

0(00P(· 7)) _..0.020632 _{0 .248098} _..0.083159

O(OOP(-ll)) .0.405196 0 .228396 · 1.n4089

O(OOP(·9)) ..0.0&4048 0 .251032 ..().255139

c

6 .71-4681 3 .944811 1.702287

R-squared 0 .400273 Mean dopondont var

Mjuslod R-oquered 0 .100455 S.D. dopoudO<~ var

s.e.

o1 regresoloo 1.823278

- info criletlon Sl.m _ . . . , resid 49 .86512 Sci-. ailef1on

Log

II<-

~.35833 Hannan-OoAM <:rilor.

F - 1.279184

Durl>in-W...,-Prob(F- - ) 0.322860

Prot>.·

0.9279

Prob. 0.8504 0.7208 0.07&4 0.7061

o.os.w

0.3198 0 .3030 0 .9348 0.0963 0 .8021 0.1093

2.s930n 1.9223SO •.335256 4 .867528 • • 488531 1.922123

Lampiran IV Uji StasioncrilllS

(38)

Nulll)po4hosil: NJR has I unil , _

~ : Constant

l.ag Lenglh: 5 (Auk>nulllc boHd on AlC, MAXI.AG=t2)

t·Statlt;tlc

~mented Dtckex· Fuller test !!lj!U$tlc · 2.8775-41

Teat ctfdcat valuet; 1'6 level -3.6'10170

5%~ ·2.9e3972

I0%1ewt -2 621007

· -(1996) - - povM-.

Augmented Dicttey.fulor Tut Equotion

"-"dec~ Variable: O(NIR) Method: !.east Squarn

Date: 01/16110 Time: 22:35 Somple (~djusted) ; 200103 200604 Included obse<wtions: 30 after adjustments

Variable Coetllc:lent Std. Etro< t-Staldlic

NIR(·1) .() 1-&6 0.068981 ·2.8 775-41 O(NIR(-1)) O.l55386 0.181396 I 407892

~lR(·2)) 0.134888 0.1967'32 O.&a553e

~IR(-3 )) .0.0<»197 0.204590 .0.044955 O(NlR(-4)) 0.452222 0.190504 2 373825 O(NIR(-5)) 0.027888 0.200061 0.136343

c

2.402574 0.894941 2.68o4618

R·squarod 0.449941 MMn depenQent var

Ad~ R-squared 0.306448 S.D. depeMent wr

S .E. ol ragteS5ion 0.803244 Akaike info triterion

Sum squared cesld 14.83981 Sc:hwarz criterion

L.oglil<elil>cod -32.00969 Hannoc>-Quinn ait«.

F-

3.135621 o...t>ir>-Watson stat

Pr<>I>(F-.-) 0.021UI

Prot>."

0.0699

Prob •

0.0085 0.1725 0.4999 0.9645

0.0263

0.8927 0.0132 -0.217000 0.964512 2.800846 2.927592 2.705239 1.971320

LampirtUJIV

(39)

Null Hypothesis: PIM has a un~ root

Exogenous: Constanl

Lag U!nglh: 12 (Automatic based oo AIC. MAXLAG;12)

t-Stat;stic

~mented Ok:ke:t-Fuler test &tatistic -0.185188

Te6t critical vs1ues: 1% level -3.752946

5%1evei -2

.-10% level -2.638752 "MacKinnoo (1996)

one--

p-values.

Augme<1ted Did<ey.Fuller Test Equation Dependent Valiable: O(PIM)

Melhod: Least Squares Date: 01116/10 Time: 22:36 Samp4e (adjusted): 200~ 200804

lnc:k.lded observations: 23 after adjustments

va~ Coefficie<lt std. ErrO< t.Sta~slic

PIM(-1) -0.090014 0.486070 -0.185188

O(P1M(-1)) 0 .086796 0.529527 0 .163912

O(PIM(·2)) 0.634642 0.657064 0.965876

O(PIM(-3)) 0.261768 0.626753 0 .417658

O(PIM(-4)) 0.099268 0.656618 0. 151208

O(PIM(.S)) -0.435609 0 .621114 -0.701334

D(P1M(~)) -0.744901 o.5n286 -1.290350

D(PIM(-7)) 0 .170814

0.500644

0-340854

P(PJI,I(-\1)) 0 . +1§0 1 ~ 0,54+101 o.e1927Z

O(PIM(-9)) 1.090159 0 .519569 2.098200

O(PIM(· 10)) -0.283930 0.65(3293 . -0.432627

O(PIM(-11)) -0.872770 0.623429 -1.399952

O(PIM(-12)) -1.441249 0.862246 -1.671505

c

15.16387 55.24251 0.274496

R-square<l 0 .727919 Mean dependent var

Adjusted R-squored 0 .334914 S.D. dependent var

S.E. of regression 1 1.90880 Akaike info aiterion

Sum squared resid 1275.946 &hwaa cri1ori0n

Log ikellhoOd -78 .81901 Hanna~rQuinn criter.

F-<Oialiolic 1.852168 Ourbii>-Watson stat

Prob(F· slalistic) 0 .1 78763

Prob." 0.9276 Prob. 0 .8572 0.8734 0.3593 0 .6860 0 .8831 0 .5008 0 .2291 0 .7412 0.4~8 0 .0853 0 .6755 0. 1950 0 . 1290 0 .7899 3.701304 14.60012 8.071219 8.762389 8.245046 2 .304204

Lampitan IV

Uji Stasioneritas

;

(40)

- l lypolheoio: MOS hal a uniiiOOI " " " -' Conslanl

Lag Length: 12 (1\W>mollc !MINd on AIC, MAXLAG=12)

t-SiatiGtic

T esl critical valuss:

5%1ewt 2 .

-10%'-""' -2.838752

"Mad<innon (191l6) ... -~

Augmented Oid<oy-Fuler Tesl Eqootion

Oependonl Varlollle: O(MOS) Method: toast Squares Date: 01116110 Time: 22:37 Sample (adjusted): 200002 200604

lnc:luded ollservatlona: 23 after a<ljustmenls

va-

Coctlllcient Std. &rot ~

MOS(-1) o.n5227 0 .211607 3.663510

O(M0$(-1)) _{· 1.8300!i6} _0.440753 _{~ . 152114}

O(M0$(-2)) ·1.521701 0.562571 -2.704908

O(M0$(-3)) · 1.345208 0 .5119049 -2.2336G6

O(MOS(~)) ~.601521 0.520398 -1 155886

O(MOS(-5)) ~ . 518660 0.~ -1.335758

O(MOS(-6)) -1.187968 0 .390062 -3.043245

O(MOS(-7)) ~.642555 0 .405679 -1.583000

D(t,tOSHl)) ~ . 661276 0.396880 · 2 . ~10

D(MOS(-9)) ·1.730491 0.466050 -3.713102

D(MOS(·10)) •1.042202 0.401667 -2.:5&4755

O(MOS(-11)) ..0.1538996 0.427479 -1.494803

O(MOS(-12)) ~ . 811961 0.431686 - 1.417608

c

-11.96 12275.30 · 3.577262

R·~ O.eae618 Mean depel.t

-Adjusted R~ 0.722839 S .D. depeodonl VII

S,E. of regression 8779.713

- info ailerion SUm aquarecs resid 4.14E<il8 Schwarz aiterion

log lillelihood ·224.7444 ~ aiter.

F.statiollc 5.413548 Ou!tlir>-Watson stat

Prob(Fo$latisllc) 0 .007881

Prob." Prob. 0.0052 0.(1025 0 ,0242 0 .0483

o.zns

0 .21« 0 .0139 0 .14 77..

0.0035

0 .0048 0 .0290 0 .1692 • 0.1900 0.0060 5595304 1un .90 20.7eo:l8 21.45155 20.93421 2 .063802

(41)

Nul Hypoa>otls: UB has a unit root

~ · Constant

Ug l.e<lgCh: 8 (Automatic baoecl en AIC. MAXLAG• 12)

1-$1AIIi$tlc Prob.'

AlJgm«llad Dld<oy-Fuler Te•l Equ.ol)on

Dependenl Variable: O{LIB)

Molhod: Lent Squar-es

Dl1e: 011115110 Twne: 22:38

·2.e76283 · 2 .627420

Sample <"'*"'~ ' 200202 200804 Included obMrvaoions: 27 after lldjuolmenos

Vsriabf.e Coellicienl Std. Error I·Siallstic

l.le(-1) .0333997 0 .105352 .:1. 170286

D(UB(· 1)) 0.058420 0 .147912 0.394961

D(UB(-2)) _{0 . 04~} 0. 148231 0.307344

O(LlB(·3)) 0 . 122 197 0. 148089 0.625157

O{UB(-4)) 0.205352 0. 155706 1.3 18640

O{UD(-6))

o.3322n

0 146631 UI56084

O{UB(~) 0 .297027 0 . 150646 1.971891

O{UD(· 7)) 0.210662 0 .147551 1.427858

D(UB(·8)) 0.150900 O.H1503 1.066107

c

1.135588 0 .352091 . 3.225271

R_.., 0 . 4~ _- _{clePelder• ••}

Adjustad R-~ 0.2.28115 S .D . dependent var

S.E. of regr:eoaion 0 .3&4388 Mollw Info oriterioo

Sum squared resld 2.6<14213 Schwan ait8rion

I.Dg likelil1ood

.e.e«583

H~allllr •

F-

1.844078

lluftlln.Watson-Prob(F-) 0 . 132530

Pro!> •

0.0056 O.Be78 0 .7629 0 .4 207 0.2047

o.ooee

0 .0651 0 . 1714

0.3012

0.0050

0 .080370 0 .44831 7 1.255154 1.735094 1.397866 1.5$7045

Lampiran IV

Uji Stasioneritas

(42)

Lampiran V Uji Nonnaliw

VAR Residual Normafrty Tosll

OrthogoMPzalion: Cholesky (L<III<epolll)

Nua Hypothesis: noslduals ate !Tdllvariale nonT>;II

Ollie: 01116110 Tme: 23:28

~ 200001 2008Q.4

1nc:ludad -aliono: 34

CompoMnl Skewness Chl-sq df P10b.

1 0.343$30 0.668741 0 4136

2 ~.61105$2 2.702221 0.1002

3 0.2S3348 0.363710 0.$066

4 0.331374 0.822251 0,4302

5 -0.331109 0.821256 0,4308

8 0.2<6617 0.344845 0.5572

7 -0.131792 0.098425 0.7537

Jo01I 5.421248 7 O.C!087

COl' !pOl lent Kur1~1 Cti-oq d! Prob.

1 1.965011 1.517536 0.2180

2 2.608237 0219653 0.6393

3 0.983226 5.782119 0.0164

4 1.112177 5.0<6624 0.0248

5 1.514941 3.124318 0.0771

8 1.139761 4.902362 0.0268

7 0.818218 6 .755940 0.0093

Joint 27,33075 7 0.0003

Coo"''""""'

Jatqu&-llofa d! PIOI>.

1 2.166277 2 0.3352

2 2.921874 2 0.2320

3 6.125829 2 0.0488

•

5 .671074 2 0.0587

5 3.745575 2 0.1537

8 5.247007 2 0.0725

7 6.85438& 2 00325

(43)

VAR Rosiduol Serial C<Hrelation l M TOlll•

NUl Hypotneois: no serial correl31ion at log ordef h

Date: 01117110 Time: 00.17 Samj>lo: 200001 2008~

lnctuclcd--: 34 Lags 1 2 3 4 5 8 7 8 9 10 11 12 13 14 15 18 6835833 47.29021 65.88032 ..ali6579 52.28523 47.28843 60.01428 68.24610 39.16695 54.C6151 37.99150 56.18335 56.871UI 52.1!n82 33.81566 43.11682!J

Oeponde<ll Variable: NER

Method: leasl Squares

Date: 01117/10 nne: 00:43 Sample: 200001 2008~

Included -.alions: 36

Prob 0 .0351 0 .5427 0 .0540 05728 0 .3476 05427 0.1346 0 .1717 0.8414 0.28n o.8n8 02238 02054 0.3510 0 .9515 0. 7114

v-

Coelllcient

OOP 6.379211

GOP 0 .008338

NIR 143.8735

MOS 0,010m

LIB 40.50186

PIM · 10.45479

c

35711.196

R-squared 0 .602527

Adjulled R·squared 0 .520291

S.E. ol regrMolon 450.0645

Sum squared resid 5874706.

Log lilceilllood ·267.1294

F__. 7.326809

Prob(F·IIalistie) 0 ,000078

Sid. Enor f,Sfaliotic 14.20419 0 .4491()6 0 .005082 1,244271

36.10635 3984494

0.006867 1.s.s1n

67.86498 0.500625

6 .705081 · 1.559234

1782.981 2 007456

Mean dependent var

S 0 . depouclec~ -Alcalle inlo cnterion

Schwarz criterion

Hannan-Oum alter.

Oumin-WIISOn 5lal

Pro«>. 0 .6567 0 .2234 0 .0004 0.1322 0.5554 0.1298 0.()541 9132.333 649.8378 15.22941 15.53732 15.33688 1.7971196

Lwnpiran V

Uj i Nonnalitas

(44)

llFI'\H I F\11• '\ 1'1 '\ltlll lr-: \ "\ "\ \ SI Il:'\".\1.

IJN

I\ ' EI~

S IT

AS

NECER I MEI>A N

( The State University of Medan School ol Postgraduate Stud•es )

~ \Vo 111 I~ ;J,.L wl .,. V l<olo •

..,._No

1'>59 . .... 1.J<JJ0}111«11 (0r.I)66J6/JO !.6·11)'1) 6612I81Fa> {061)6611181 663(,!1

SURAT KEPUTUSAH OIREK f UR PRO() RAM PASCASARJAN A UNIVERSIIAS NEGERI MEOAN

Nomo< D15 /H33 271 KE~ IPGI2DD9 TE~AN G

Pen g angk ~ lan Susun,ln K0 r111s ~ Pombimbiny Pro gram Pa&USiltjana {52) UNIMEO Alas N.una:

Muhammad Nur Lubl s; NIM: 07218t16JP030 Program Studl llmu Ekono rni Stud1 P(!mbangunan pJda Program Pucau rj an;:. Univonitas NtQ'Irl Medan

Menetapl'ltn

Kedua

Oirek1ur Program Pascuatjana Un•vorshas Negerl Me-dan

Permohonan Ketua Ptogra.m Stuc;J~ Umu t:konom• Stud• P'embi:tngunan tenLang

Ba ilwa petfT!ohonan tetHtH.II d t atas Gap.lt O•sehJf'J• dan p.enu Cit tecapkan oeng~m sutat

k o~

Peraturan P e ~T~enntahNo 60 Tanun 1999

Sural Ecjaran Aststen O.ettlur 1 No 766/J 39 22JPPf2006

MEMUTUSKAH

· Me-ngilngkat saudara

D 1 Joon• Manuiung (pembimb>ng I)

2 Dr Muhammad Yi.lsuf. M. St (pembimbing II)

.. Sebagou Pt