SBI () SBIS () PUAB () PUAS () LOAN (Miliar) FINC (Miliar) SBMK () IHMK()

(1)

LAMPIRAN

Tahun

Lampiran 1. Data Mentah

SBI (%)

SBIS (%) PUAB (%) PUAS (%) LOAN (Miliar) FINC (Miliar) SBMK (%) IHMK(%)

IHK (%)

Januari 2009

9.50%

17.67%

9.29%

25403567426

38201

14.74%

16.59%

113.78%

Februari 2009

8.74%

17.05%

8.69%

25887537910

38843

14.57%

16.43%

114.02%

Maret 2009

8.21%

16.47%

7.47%

25336066167

39308

14.50%

16.54%

114.27%

April 2009

7.59%

15.40%

7.75%

25570691988

39726

14.34%

16.86%

113.92%

Mei 2009

7.25%

14.79%

7.66%

25915643467

40715

14.27%

16.62%

113.97%

Juni 2009

6.95%

13.69%

7.44%

26387536985

42195

14.04%

16.53%

114.10%

Juli 2009

6.71%

13.17%

6.95%

26769911166

42.828 13.99%

16.59%

114.61%

Agustus 2009

6.58%

12.49%

6.90%

27289410316

43890

13.80%

16.67%

115.25%

September 2009

6.48%

12.78%

6.30%

27435532010

44523

13.68%

16.71%

116.46%

Oktober 2009

6.49%

12.67%

4.96%

27637581974

45246

13.61%

16.54%

116.68%

November 2009

6.47%

12.82%

6.71%

27983293771

45726

13.54%

16.95%

116.65%

Desember 2009

6.46%

12.97%

6.15%

28000669851

46886

13.27%

17.15%

117.03%

Januari 2010

6.45%

12.59%

6.11%

28332224504

47140

12.66%

16.44%

118.01%

Februari 2010

6.41%

12.50%

5.42%

28894420106

48479

12.68%

16.80%

118.36%

Maret 2010

6.27%

12.36%

5.55%

29482244783

50206

12.95%

16.91%

118.19%

April 2010

6.20%

12.33%

5.81%

30195321450

51651

12.89%

16.58%

118.37%

Mei 2010

6.30%

12.63%

6.65%

30858269419

53223

12.75%

16.43%

118.71%

Juni 2010

6.26%

12.59%

6.02%

31494545507

55801

12.63%

16.47%

119.86%

Juli 2010

6.63%

12.52%

5.75%

32065978428

57633

12.68%

16.40%

121.74%

Agustus 2010

6.63%

12.93%

5.58%

32835182929

60275

12.65%

16.30%

122.67%

September 2010

6.64%

12.57%

5.38%

32834445753

60970

12.58%

16.16%

123.21%

Oktober 2010

6.37%

11.37%

6%

33283775197

62995

12.57%

16.28%

123.29%

November 2010

6.42%

11.28%

6.09%

33580088590

65942

12.51%

16.24%

124.03%

(2)

Januari 2011

6.08%

12.19%

6.14%

34157988687

69724

12.45%

16.74%

126.29%

Februari 2011

6.71%

12.34%

6.24%

34860256000

71449

12.44%

16.69%

126.46%

Maret 2011

6.72%

12.54%

6.25%

35668973086

74253

11.69%

16.74%

126.05%

April 2011

7.18%

12.78%

5.25%

36364506623

75726

11.81%

16.51%

125.66%

Mei 2011

7.36%

12.71%

6.24%

37204473852

78619

11.79%

16.63%

125.81%

Juni 2011

7.36%

12.65%

6.05%

38088598094

82616

11.77%

16.59%

126.50%

Juli 2011

7.28%

11.95%

5.62%

38909511305

84556

12.29%

16.37%

127.35%

Agustus 2011

6.78%

11.83%

6.16%

39731622184

90540

12.22%

16.25%

128.54%

September 2011

6.28%

10.69%

5.75%

39665049245

92839

12.11%

16.16%

128.89%

Oktober 2011

5.77%

10.12%

5.25%

40258511620

96805

12.09%

15.92%

128.74%

November 2011

5.22%

9.23%

5.10%

40680858773

99427

12.00%

15.73%

129.18%

Desember 2011

5.04%

9.13%

5.08%

41099515666

102655

11.98%

15.65%

129.91%

Januari 2012

4.90%

8.09%

4.25%

41424051429

101689

11.89%

15.66%

130.90%

Februari 2012

3.82%

7.56%

3.96%

42484760843

103713

11.83%

15.48%

130.96%

Maret 2012

3.83%

7.56%

4.13%

43557423190

109116

12.02%

15.56%

131.05%

April 2012

3.93%

7.53%

4.09%

44472354714

108767

11.87%

15.43%

131.32%

Mei 2012

4.24%

7.41%

4.09%

45448157755

112844

11.79%

15.35%

131.41%

Juni 2012

4.32%

8.22%

4.74%

46636689904

117592

11.80%

15.23%

132.23%

Juli 2012

4.46%

8.30%

4.17%

47604957691

120910

11.79%

15.11%

133.16%

Agustus 2012

4.54%

8.54%

4.30%

47947334076

124946

11.74%

15.29%

134.43%

September 2012

4.67%

8.38%

4.43%

48500241867

130357

11.71%

15.12%

134.45%

Oktober 2012

4.75%

8.50%

4.70%

48895079766

135581

11.69%

15.03%

134.67%

November 2012

4.77%

8.47%

4.33%

49425194760

140318

11.62%

15.05%

134.76%

Desember 2012

4.80%

9.01%

4.42%

49818402968

147505

11.50%

14.63%

135.49%

Januari 2013

4.84%

8.55%

4.51%

50396474245

149672

11.50%

14.86%

136.88%

Februari 2013

4.86%

8.82%

4.23%

51708825522

154072

11.46%

14.69%

137.91%

Maret 2013

4.87%

8.57%

4.28%

52633317310

161081

11.45%

14.38%

138.78%

April 2013

4.89%

8.53%

4.29%

53748918398

163407

11.45%

14.20%

138.64%

(3)

Juni 2013

5.28%

9.24%

5.01%

56248167284

171227

11.42%

13.93%

140.03%

Juli 2013

5.52%

10.35%

5.38%

57461861774

174486

11.68%

15.48%

144.63%

Agustus 2013

5.86%

11.28%

5.56%

57634001007

174537

11.65%

15.02%

146.25%

September 2013

6.61%

11.67%

6.11%

58218238372

177320

11.81%

14.46%

145.74%

Oktober 2013

6.97%

12.11%

6.19%

58677255213

179284

11.95%

14.04%

145.87%

November 2013

7.22%

12.79%

6.54%

58720269558

180833

12.08%

14.04%

146.04%

(4)

Lampiran 2. Uji Stasoineritas Pada Tingkat Level

Null Hypothesis: SBI has a unit root Exogenous: Constant

Lag Length: 2 (Automatic based on SIC, MAXLAG=10)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.176874 0.2168

Test critical values: 1% level -3.550396

5% level -2.913549

10% level -2.594521

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

Null Hypothesis: SBIS has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.913549

10% level -2.594521

Null Hypothesis: PUAB has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.911730

10% level -2.593551

(5)

Null Hypothesis: PUAS has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.911730

10% level -2.593551

Null Hypothesis: LOAN has a unit root Exogenous: Constant

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic 2.999468 1.0000

5% level -2.921175

10% level -2.598551

Null Hypothesis: FINC has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.914517

10% level -2.595033

(6)

Null Hypothesis: SBMK has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.911730

10% level -2.593551

Null Hypothesis: IHMK has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.911730

10% level -2.593551

Null Hypothesis: IHK has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.913549

10% level -2.594521

(7)

Lampiran 3. Uji Stasoineritas Pada

First Difference

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

t-Statistic Prob.*

5% level -2.912631

10% level -2.594027

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

t-Statistic Prob.*

5% level -2.912631

10% level -2.594027

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

t-Statistic Prob.*

5% level -2.913549

10% level -2.594521

(8)

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

t-Statistic Prob.*

5% level -2.912631

10% level -2.594027

Null Hypothesis: D(LOAN) has a unit root Exogenous: Constant, Linear Trend

t-Statistic Prob.*

5% level -3.498692

10% level -3.178578

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

t-Statistic Prob.*

5% level -2.914517

10% level -2.595033

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

t-Statistic Prob.*

5% level -2.912631

10% level -2.594027

(9)

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

t-Statistic Prob.*

5% level -2.912631

10% level -2.594027

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

t-Statistic Prob.*

5% level -2.913549

10% level -2.594521

(10)

Lampiran 4. Penentuan Panjang Lag Transmisi Moneter Konvensional

VAR Lag Order Selection Criteria

Endogenous variables: IHK SBI PUAB LOAN SBMK Exogenous variables: C

Date: 07/05/14 Time: 14:54 Sample: 2009M01 2013M12 Included observations: 55

Lag LogL LR FPE AIC SC HQ

0 -879.3497 NA 63643387 32.15817 32.34066 32.22874

1 -524.9513 631.4736 401.4247 20.18005 21.27496* 20.60346

2 -489.8894 56.09895* 284.8896* 19.81416* 21.82149 20.59041*

3 -470.0788 28.09505 365.0306 20.00287 22.92262 21.13196

4 -457.7413 15.25368 650.4188 20.46332 24.29550 21.94526

5 -441.6725 16.94522 1104.559 20.78809 25.53270 22.62287

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error

(11)

Lampiran 5. Penentuan Panjang Lag Transmisi Moneter Syariah

VAR Lag Order Selection Criteria

Endogenous variables: IHK SBIS PUAS FINC IHMK Exogenous variables: C

Date: 07/05/14 Time: 14:56 Sample: 2009M01 2013M12 Included observations: 55

Lag LogL LR FPE AIC SC HQ

0 75.35948 NA 5.33e-08 -2.558527 -2.376042 -2.487958

1 318.2144 432.7232* 1.94e-11* -10.48052* -9.385613* -10.05711*

2 341.0456 36.53000 2.15e-11 -10.40166 -8.394325 -9.625407

3 364.9826 33.94705 2.37e-11 -10.36300 -7.443247 -9.233911

4 384.2283 23.79469 3.28e-11 -10.15376 -6.321576 -8.671822

5 406.2515 23.22443 4.49e-11 -10.04551 -5.300903 -8.210732

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error

(12)

Lampiran 6. Uji Kointegrasi Transmisi Moneter Konvensional

Date: 07/05/14 Time: 14:26

Sample (adjusted): 2009M03 2013M12 Included observations: 58 after adjustments Trend assumption: Linear deterministic trend Series: IHK SBI PUAB LOAN SBMK 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 * 0.401262 91.09451 69.81889 0.0004

At most 1 * 0.365898 61.34453 47.85613 0.0017

At most 2 * 0.261525 34.92285 29.79707 0.0118

At most 3 * 0.234996 17.33910 15.49471 0.0261

At most 4 0.030598 1.802400 3.841466 0.1794

Trace test indicates 4 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

None 0.401262 29.74998 33.87687 0.1438

At most 1 0.365898 26.42168 27.58434 0.0698

At most 2 0.261525 17.58375 21.13162 0.1462

At most 3 * 0.234996 15.53670 14.26460 0.0313

At most 4 0.030598 1.802400 3.841466 0.1794

Max-eigenvalue test indicates no cointegration at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level

(13)

1 Cointegrating Equation(s): Log likelihood -544.9098

Normalized cointegrating coefficients (standard error in parentheses)

IHK SBI PUAB LOAN SBMK

1.000000 -0.526686 0.039604 -7.90E-12 1.670330

(0.93504) (0.00701) (1.4E-12) (1.77806)

Adjustment coefficients (standard error in parentheses)

D(IHK) -0.035687

(0.02075)

D(SBI) -0.002531

(0.00772)

D(PUAB) -28.50054

(5.04062)

D(LOAN) 2.04E+08

(1.0E+09)

D(SBMK) 0.008112

(14)

Lampiran 7. Uji Kointegrasi Transmisi Moneter Syariah

Date: 07/05/14 Time: 14:28

Sample (adjusted): 2009M03 2013M12 Included observations: 58 after adjustments Trend assumption: Linear deterministic trend Series: IHK SBIS PUAS FINC IHMK Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

None * 0.396394 70.69650 69.81889 0.0425

At most 1 0.326150 41.41617 47.85613 0.1758

At most 2 0.181130 18.52079 29.79707 0.5278

At most 3 0.108654 6.930654 15.49471 0.5857

At most 4 0.004461 0.259311 3.841466 0.6106

Trace test indicates 1 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05

None 0.396394 29.28033 33.87687 0.1605

At most 1 0.326150 22.89539 27.58434 0.1780

At most 2 0.181130 11.59013 21.13162 0.5884

At most 3 0.108654 6.671343 14.26460 0.5287

At most 4 0.004461 0.259311 3.841466 0.6106

Max-eigenvalue test indicates no cointegration at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level

(15)

1 Cointegrating Equation(s): Log likelihood 340.4996

Normalized cointegrating coefficients (standard error in parentheses)

IHK SBIS PUAS FINC IHMK

1.000000 -19.77539 27.63011 -7.65E-06 -24.77024

(5.83853) (5.34689) (2.6E-06) (13.4011)

Adjustment coefficients (standard error in parentheses)

D(IHK) 0.003712

(0.00453)

D(SBIS) 5.67E-05

(0.00166)

D(PUAS) -0.026141

(0.00523)

D(FINC) -1668.848

(4729.08)

D(IHMK) 0.002624

(16)

Lampiran 8 .

Uji Stabilitas Model VAR

Roots of Characteristic Polynomial

Endogenous variables: IHK SBI PUAB PUAS LOAN FINC SBMK IHMK

Exogenous variables: C Lag specification: 1 1 Date: 07/10/14 Time: 01:15

Root Modulus

0.974584 0.974584

0.946455 - 0.049454i 0.947746

0.946455 + 0.049454i 0.947746

0.791578 0.791578

0.408142 0.408142

0.209792 0.209792

-0.094789 0.094789

0.049306 0.049306

(17)

Lampiran 9 .

Uji VECM Variabel-variabel Transmisi Moneter Konvensional

Vector Error Correction Estimates Date: 07/10/14 Time: 12:39

Sample (adjusted): 2009M03 2013M12 Included observations: 58 after adjustments Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1

IHK(-1) 1.000000

SBI(-1) -0.526686

(0.93504) [-0.56328]

PUAB(-1) 0.039604

(0.00701) [ 5.65291]

LOAN(-1) -7.90E-12

(1.4E-12) [-5.67019]

SBMK(-1) 1.670330

(1.77806) [ 0.93941]

C -1.152313

Error Correction: D(IHK) D(SBI) D(PUAB) D(LOAN) D(SBMK)

CointEq1 -0.035687 -0.002531 -28.50054 2.04E+08 0.008112

(0.02075) (0.00772) (5.04062) (1.0E+09) (0.00527)

[-1.71992] [-0.32786] [-5.65417] [ 0.20253] [ 1.54048]

D(IHK(-1)) 0.357332 0.030376 17.97450 -7.94E+09 0.017648

(0.12360) (0.04599) (30.0253) (6.0E+09) (0.03137)

[ 2.89110] [ 0.66049] [ 0.59864] [-1.32111] [ 0.56262]

D(SBI(-1)) 0.135080 0.504470 60.42741 2.07E+10 -0.047819

(0.29825) (0.11098) (72.4527) (1.4E+10) (0.07569)

[ 0.45291] [ 4.54578] [ 0.83403] [ 1.42978] [-0.63176]

D(PUAB(-1)) 0.000822 8.74E-06 0.008044 2911547. -0.000253

(0.00055) (0.00021) (0.13450) (2.7E+07) (0.00014)

[ 1.48493] [ 0.04241] [ 0.05981] [ 0.10820] [-1.80314]

D(LOAN(-1)) 5.71E-12 1.97E-12 -1.31E-09 0.473755 1.23E-12

(2.6E-12) (9.6E-13) (6.2E-10) (0.12487) (6.5E-13)

[ 2.22252] [ 2.05707] [-2.09099] [ 3.79413] [ 1.88421]

D(SBMK(-1)) -0.216587 -0.343635 -156.8417 7.49E+09 0.000427

(0.59912) (0.22293) (145.544) (2.9E+10) (0.15205)

(18)

C 0.000346 -0.001520 0.600890 3.58E+08 -0.001242

(0.00187) (0.00070) (0.45457) (9.1E+07) (0.00047)

[ 0.18470] [-2.18294] [ 1.32188] [ 3.93530] [-2.61460]

R-squared 0.290332 0.381458 0.547560 0.292101 0.122538

Adj. R-squared 0.206842 0.308688 0.494332 0.208819 0.019307

Sum sq. resids 0.002382 0.000330 140.5445 5.63E+18 0.000153

S.E. equation 0.006834 0.002543 1.660052 3.32E+08 0.001734

F-statistic 3.477431 5.241984 10.28703 3.507359 1.187032

Log likelihood 210.6147 267.9542 -107.9658 -1216.587 290.1480

Akaike AIC -7.021198 -8.998422 3.964337 42.19266 -9.763724

Schwarz SC -6.772523 -8.749748 4.213011 42.44133 -9.515050

Mean dependent 0.005659 -0.000262 -0.000607 5.74E+08 -0.000419

S.D. dependent 0.007673 0.003058 2.334474 3.73E+08 0.001751

Determinant resid covariance (dof

adj.) 189.3687

Determinant resid covariance 99.54495

Log likelihood -544.9098

Akaike information criterion 20.16930

(19)

Lampiran 10 .

Uji VECM Variabel-variabel Transmisi Moneter Syariah

Vector Error Correction Estimates Date: 07/10/14 Time: 12:36

Sample (adjusted): 2009M03 2013M12 Included observations: 58 after adjustments Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1

IHK(-1) 1.000000

SBIS(-1) -19.77539

(5.83853) [-3.38705]

PUAS(-1) 27.63011

(5.34689) [ 5.16751]

FINC(-1) -7.65E-06

(2.6E-06) [-2.96015]

IHMK(-1) -24.77024

(13.4011) [-1.84838]

C 3.034567

Error Correction: D(IHK) D(SBIS) D(PUAS) D(FINC) D(IHMK)

CointEq1 0.003712 5.67E-05 -0.026141 -1668.848 0.002624

(0.00453) (0.00166) (0.00523) (4729.08) (0.00195)

[ 0.82031] [ 0.03423] [-4.99677] [-0.35289] [ 1.34521]

D(IHK(-1)) 0.393789 0.040701 -0.363353 45495.48 0.056809

(0.14761) (0.05403) (0.17065) (154260.) (0.06364)

[ 2.66778] [ 0.75332] [-2.12922] [ 0.29493] [ 0.89267]

D(SBIS(-1)) 0.320796 0.503041 -0.421079 95484.88 0.023658

(0.34150) (0.12500) (0.39480) (356884.) (0.14723)

[ 0.93938] [ 4.02441] [-1.06655] [ 0.26755] [ 0.16069]

D(PUAS(-1)) -0.005146 0.009883 -0.038528 29891.40 0.003963

(0.10816) (0.03959) (0.12504) (113034.) (0.04663)

[-0.04757] [ 0.24964] [-0.30812] [ 0.26444] [ 0.08498]

D(FINC(-1)) 1.18E-07 3.33E-09 -1.74E-07 -0.484202 6.18E-09

(1.2E-07) (4.4E-08) (1.4E-07) (0.12631) (5.2E-08)

[ 0.97705] [ 0.07525] [-1.24453] [-3.83351] [ 0.11855]

D(IHMK(-1)) -0.047961 -0.059646 0.192646 -65513.51 -0.268313

(0.35271) (0.12910) (0.40777) (368605.) (0.15207)

(20)

C 0.003281 -0.000320 0.001929 3408.694 -0.000850

(0.00137) (0.00050) (0.00159) (1434.03) (0.00059)

[ 2.39069] [-0.63797] [ 1.21586] [ 2.37700] [-1.43681]

R-squared 0.181571 0.309727 0.431024 0.227979 0.100808

Adj. R-squared 0.085286 0.228518 0.364085 0.137153 -0.004979

Sum sq. resids 0.002747 0.000368 0.003671 3.00E+09 0.000511

S.E. equation 0.007338 0.002686 0.008484 7669.134 0.003164

F-statistic 1.885757 3.813966 6.439107 2.510060 0.952934

Log likelihood 206.4797 264.7723 198.0668 -597.3762 255.2774

Akaike AIC -6.878609 -8.888700 -6.588510 20.84056 -8.561290

Schwarz SC -6.629935 -8.640026 -6.339835 21.08923 -8.312616

Mean dependent 0.005659 -0.000262 -0.000421 2448.103 -0.000412

S.D. dependent 0.007673 0.003058 0.010639 8256.184 0.003156

Determinant resid covariance (dof

adj.) 1.04E-11

Determinant resid covariance 5.48E-12

Log likelihood 340.4996

Akaike information criterion -10.36205

(21)

-.004 .000 .004 .008 .012

1 10 9 8 7 6 5 4 3 2

Response of IHK to IHK

-.004 .000 .004 .008 .012

2 4 6 8 10

Response of IHK to SBI

-.004 .000 .004 .008 .012

2 4 6 8 10

Response of IHK to PUAB

-.004 .000 .004 .008 .012

2 4 6 8 10

Response of IHK to LO AN

-.004 .000 .004 .008 .012

2 4 6 8 10

Response of IHK to SBMK

-.002 .000 .002 .004 .006

2 4 6 8 10

Response of SBI to IHK

-.002 .000 .002 .004 .006

2 4 6 8 10

Response of SBI to SBI

-.002 .000 .002 .004 .006

2 4 6 8 10

Response of SBI to PUAB

-.002 .000 .002 .004 .006

2 4 6 8 10

Response of SBI to LO AN

-.002 .000 .002 .004 .006

2 4 6 8 10

Response of SBI to SBMK

-0.5 0.0 0.5 1.0 1.5 2.0

2 4 6 8 10

Response of PUAB to IHK

-0.5 0.0 0.5 1.0 1.5 2.0

2 4 6 8 10

Response of PUAB to SBI

-0.5 0.0 0.5 1.0 1.5 2.0

2 4 6 8 10

Response of PUAB to PUAB

-0.5 0.0 0.5 1.0 1.5 2.0

2 4 6 8 10

Response of PUAB to LO AN

-0.5 0.0 0.5 1.0 1.5 2.0

2 4 6 8 10

Response of PUAB to SBMK

-200,000,000 0 200,000,000 400,000,000 600,000,000 800,000,000

2 4 6 8 10

Response of LO AN to IHK

-200,000,000 0 200,000,000 400,000,000 600,000,000 800,000,000

2 4 6 8 10

Response of LO AN to SBI

-200,000,000 0 200,000,000 400,000,000 600,000,000 800,000,000

2 4 6 8 10

Response of LO AN to PUAB

-200,000,000 0 200,000,000 400,000,000 600,000,000 800,000,000

2 4 6 8 10

Response of LO AN to LO AN

-200,000,000 0 200,000,000 400,000,000 600,000,000 800,000,000

2 4 6 8 10

Response of LO AN to SBMK

-.001 .000 .001 .002

2 4 6 8 10

Response of SBMK to IHK

-.001 .000 .001 .002

2 4 6 8 10

Response of SBMK to SBI

-.001 .000 .001 .002

2 4 6 8 10

Response of SBMK to PUAB

-.001 .000 .001 .002

2 4 6 8 10

Response of SBMK to LO AN

-.001 .000 .001 .002

2 4 6 8 10

Response of SBMK to SBMK

Response to Cholesky One S.D. Innovations

(22)

-. 004 . 000 . 004 . 008 . 012

2 4 6 8 10

Res pons e of IHK to IHK

-. 004 . 000 . 004 . 008 . 012

2 4 6 8 10

Res pons e of IHK to SBIS

-. 004 . 000 . 004 . 008 . 012

2 4 6 8 10

Res pons e of IHK to PUAS

-. 004 . 000 . 004 . 008 . 012

2 4 6 8 10

Res pons e of IHK to FINC

-. 004 . 000 . 004 . 008 . 012

2 4 6 8 10

Res pons e of IHK to IHMK

-. 002 . 000 . 002 . 004 . 006

2 4 6 8 10

Res pons e of SBIS to IHK

-. 002 . 000 . 002 . 004 . 006

2 4 6 8 10

Res pons e of SBIS to SBIS

-. 002 . 000 . 002 . 004 . 006

2 4 6 8 10

Res pons e of SBIS to PUAS

-. 002 . 000 . 002 . 004 . 006

2 4 6 8 10

Res pons e of S B IS to FINC

-. 002 . 000 . 002 . 004 . 006

2 4 6 8 10

Res pons e of S B IS to IHMK

-. 004 . 000 . 004 . 008 . 012

2 4 6 8 10

Res pons e of PUAS to IHK

-. 004 . 000 . 004 . 008 . 012

2 4 6 8 10

Res pons e of PUAS to SBIS

-. 004 . 000 . 004 . 008 . 012

2 4 6 8 10

Res pons e of PUAS to PUAS

-. 004 . 000 . 004 . 008 . 012

2 4 6 8 10

Res pons e of PUAS to FINC

-. 004 . 000 . 004 . 008 . 012

2 4 6 8 10

Res pons e of PUAS to IHMK

-2, 000 0 2, 000 4, 000 6, 000 8, 000

2 4 6 8 10

Res pons e of FINC to IHK

-2, 000 0 2, 000 4, 000 6, 000 8, 000

2 4 6 8 10

Res pons e of FINC to S B IS

-2, 000 0 2, 000 4, 000 6, 000 8, 000

2 4 6 8 10

Res pons e of FINC to PUAS

-2, 000 0 2, 000 4, 000 6, 000 8, 000

2 4 6 8 10

Res pons e of FINC to FINC

-2, 000 0 2, 000 4, 000 6, 000 8, 000

2 4 6 8 10

Res pons e of FINC to IHMK

-. 001 . 000 . 001 . 002 . 003

2 4 6 8 10

Res pons e of IHMK to IHK

-. 001 . 000 . 001 . 002 . 003

2 4 6 8 10

Res pons e of IHMK to S B IS

-. 001 . 000 . 001 . 002 . 003

2 4 6 8 10

Res pons e of IHMK to PUAS

-. 001 . 000 . 001 . 002 . 003

2 4 6 8 10

Res pons e of IHMK to FINC

-. 001 . 000 . 001 . 002 . 003

2 4 6 8 10

Res pons e of IHMK to IHMK

Response to Cholesky One S.D. Innov ations

(23)

Lampiran 13.

Tabel Nilai Impulse Response Variabel-variabel Transmisi

Moneter Konvensional Tiap Tahun Selama 10 Tahun

Response of IHK:

Period IHK SBI PUAB LOAN SBMK

1 0.006834 0.000000 0.000000 0.000000 0.000000

2 0.008860 0.000177 -0.000773 0.001921 -0.000401

3 0.008856 0.000629 -0.002255 0.003791 -0.000456

4 0.008458 0.001101 -0.002690 0.005301 -0.000331

5 0.008110 0.001517 -0.002622 0.006159 -0.000305

6 0.007895 0.001841 -0.002456 0.006548 -0.000349

7 0.007781 0.002061 -0.002358 0.006703 -0.000409

8 0.007722 0.002200 -0.002322 0.006774 -0.000454

9 0.007691 0.002283 -0.002315 0.006819 -0.000482

10 0.007671 0.002333 -0.002316 0.006854 -0.000497

Response of SBI:

1 -0.000211 0.002534 0.000000 0.000000 0.000000

2 -0.000223 0.003656 0.000118 0.000573 -0.000505

3 -0.000353 0.004370 0.000136 0.001139 -0.000734

4 -0.000532 0.004822 -1.14E-05 0.001576 -0.000867

5 -0.000674 0.005117 -3.49E-05 0.001912 -0.000921

6 -0.000775 0.005312 -2.47E-05 0.002120 -0.000961

7 -0.000839 0.005441 -3.01E-06 0.002241 -0.000990

8 -0.000878 0.005524 1.03E-05 0.002309 -0.001012

9 -0.000902 0.005577 1.71E-05 0.002350 -0.001026

10 -0.000916 0.005610 2.00E-05 0.002375 -0.001036

Response of PUAB:

1 0.133875 0.122370 1.650114 0.000000 0.000000

2 -0.156343 0.100132 -0.035466 -0.409709 -0.296517

3 -0.197698 0.054204 0.013235 -0.115940 -0.083515

4 -0.246063 0.030528 -0.015772 -0.035058 -0.068915

5 -0.257169 0.033642 0.068966 -0.010650 -0.052241

6 -0.260587 0.037246 0.082422 -0.030945 -0.061239

7 -0.257731 0.038145 0.089387 -0.044388 -0.063814

8 -0.255420 0.036910 0.086298 -0.051701 -0.065525

9 -0.253972 0.035447 0.084591 -0.053636 -0.065311

10 -0.253405 0.034366 0.083462 -0.053959 -0.064980

Response of LOAN:

1 1442824. -5003081. -2452707. 3.32E+08 0.000000

2 -51635716 49354096 8369857. 4.91E+08 11362412

(24)

4 -1.12E+08 1.30E+08 36100954 5.92E+08 982297.2

5 -1.23E+08 1.52E+08 44160801 6.04E+08 -5942002.

6 -1.28E+08 1.65E+08 47006619 6.10E+08 -10411368

7 -1.31E+08 1.73E+08 47134970 6.15E+08 -13038083

8 -1.33E+08 1.78E+08 46946281 6.18E+08 -14403236

9 -1.34E+08 1.81E+08 46861994 6.21E+08 -15160947

10 -1.35E+08 1.83E+08 46926167 6.23E+08 -15612973

Response of SBMK:

1 0.000248 0.000399 -0.000788 0.000250 0.001450

2 0.000450 0.000275 -0.000690 0.000640 0.001471

3 0.000526 0.000316 -0.000296 0.000804 0.001500

4 0.000517 0.000361 -0.000344 0.000785 0.001443

5 0.000511 0.000390 -0.000348 0.000807 0.001439

6 0.000503 0.000406 -0.000364 0.000825 0.001433

7 0.000497 0.000417 -0.000363 0.000841 0.001433

8 0.000493 0.000424 -0.000362 0.000849 0.001431

9 0.000490 0.000429 -0.000361 0.000854 0.001430

10 0.000489 0.000433 -0.000360 0.000856 0.001429

Cholesky Ordering: IHK

(25)

Lampiran 14.

Tabel Nilai Impulse Response Variabel-variabel Transmisi

Moneter Syariah Tiap Tahun Selama 10 Tahun

Response of IHK:

Period IHK SBIS PUAS FINC IHMK

1 0.007338 0.000000 0.000000 0.000000 0.000000

2 0.010206 0.000892 0.000721 0.000709 -0.000362

3 0.011149 0.001445 0.001180 0.000488 -0.000456

4 0.011413 0.001711 0.001395 0.000582 -0.000509

5 0.011459 0.001813 0.001485 0.000511 -0.000526

6 0.011457 0.001845 0.001513 0.000529 -0.000530

7 0.011448 0.001853 0.001523 0.000513 -0.000531

8 0.011442 0.001853 0.001524 0.000518 -0.000531

9 0.011439 0.001852 0.001525 0.000514 -0.000531

10 0.011438 0.001851 0.001524 0.000515 -0.000531

Response of SBIS:

1 4.52E-05 0.002686 0.000000 0.000000 0.000000

2 0.000281 0.004076 5.85E-05 3.29E-05 -0.000158

3 0.000491 0.004787 3.60E-05 6.83E-05 -0.000178

4 0.000643 0.005183 3.17E-05 9.39E-05 -0.000214

5 0.000741 0.005403 3.04E-05 0.000109 -0.000227

6 0.000800 0.005527 3.27E-05 0.000117 -0.000238

7 0.000834 0.005596 3.49E-05 0.000121 -0.000243

8 0.000853 0.005634 3.66E-05 0.000124 -0.000246

9 0.000863 0.005656 3.77E-05 0.000125 -0.000248

10 0.000869 0.005667 3.83E-05 0.000126 -0.000249

Response of PUAS:

1 0.001136 0.001416 0.008287 0.000000 0.000000

2 -0.001171 0.000259 0.002481 5.16E-05 0.002175

3 -0.000325 0.001237 0.001379 0.001018 0.001596

4 0.000570 0.002065 0.000900 0.001018 0.001762

5 0.001146 0.002755 0.000831 0.001241 0.001642

6 0.001464 0.003182 0.000830 0.001231 0.001624

7 0.001628 0.003440 0.000847 0.001278 0.001595

8 0.001710 0.003584 0.000859 0.001274 0.001584

9 0.001751 0.003664 0.000866 0.001285 0.001577

10 0.001772 0.003707 0.000870 0.001284 0.001573

Response of FINC:

1 676.5712 351.8926 -30.14019 7631.064 0.000000

2 626.5261 518.0726 -164.7152 4037.829 -62.59840

(26)

4 925.4391 826.0878 -293.9908 5019.465 -55.39356

5 1001.752 899.8253 -324.1125 5441.194 -21.69230

6 1022.826 953.1054 -305.8851 5245.745 -48.17018

7 1042.589 977.9386 -311.4440 5343.454 -38.97078

8 1048.132 994.3226 -306.3852 5298.009 -46.11698

9 1053.163 1001.889 -307.5936 5320.733 -43.87992

10 1054.721 1006.667 -306.3617 5310.211 -45.68349

Response of IHMK:

1 0.001659 -0.000412 0.000594 -0.000176 0.002589

2 0.001618 -0.000247 0.001030 -0.000224 0.001726

3 0.001598 -0.000396 0.001047 -0.000255 0.001996

4 0.001525 -0.000446 0.001103 -0.000273 0.001909

5 0.001488 -0.000506 0.001100 -0.000280 0.001943

6 0.001463 -0.000537 0.001103 -0.000283 0.001936

7 0.001452 -0.000558 0.001101 -0.000285 0.001941

8 0.001445 -0.000568 0.001100 -0.000285 0.001941

9 0.001442 -0.000574 0.001099 -0.000286 0.001942

10 0.001441 -0.000578 0.001099 -0.000286 0.001942

Cholesky Ordering: IHK SBIS PUAS FINC

(27)

Lampiran 15.

Tabel Nilai Variance Decomposition Variabel-variabel

Transmisi Moneter Konvensional Tiap Tahun Selama 10

Tahun

Variance Decomposition of

IHK:

Period S.E. IHK SBI PUAB LOAN SBMK

1 0.006834 100.0000 0.000000 0.000000 0.000000 0.000000

2 0.011387 96.54667 0.024235 0.460454 2.844896 0.123744

3 0.015105 89.24619 0.187399 2.489839 7.915225 0.161349

4 0.018340 81.80605 0.487600 3.839875 13.72453 0.141937

5 0.021197 75.87495 0.877502 4.404342 18.71619 0.127020

6 0.023750 71.49121 1.299558 4.577398 22.50908 0.122749

7 0.026067 68.25485 1.704076 4.618303 25.29626 0.126503

8 0.028204 65.80204 2.063903 4.622829 27.37722 0.134009

9 0.030198 63.88505 2.371759 4.620163 28.98066 0.142364

10 0.032075 62.34769 2.631231 4.616538 30.25435 0.150199

SBI:

1 0.002543 0.686697 99.31330 0.000000 0.000000 0.000000

2 0.004525 0.459351 96.62712 0.068159 1.602179 1.243193

3 0.006446 0.526981 93.57533 0.077979 3.909396 1.910319

4 0.008266 0.734713 90.94363 0.047614 6.012950 2.261096

5 0.009973 0.960983 88.79408 0.033932 7.805292 2.405716

6 0.011563 1.163640 87.16120 0.025701 9.169124 2.480334

7 0.013039 1.328913 85.95824 0.020217 10.16546 2.527175

8 0.014410 1.459265 85.07131 0.016602 10.89073 2.562094

9 0.015689 1.561359 84.40450 0.014125 11.43061 2.589403

10 0.016887 1.641991 83.89048 0.012332 11.84411 2.611091

PUAB:

1 1.660052 0.650359 0.543381 98.80626 0.000000 0.000000

2 1.745647 1.390273 0.820428 89.39548 5.508557 2.885259

3 1.763491 2.619062 0.898386 87.60122 5.829884 3.051445

4 1.782584 4.468686 0.908573 85.74251 5.744343 3.135889

5 1.803461 6.399235 0.922457 83.91509 5.615605 3.147616

6 1.825724 8.281339 0.941717 82.08490 5.508218 3.183829

7 1.848020 10.02771 0.961736 80.35005 5.433797 3.226703

8 1.869812 11.66136 0.978417 78.70115 5.384336 3.274739

9 1.891098 13.20392 0.991649 77.13947 5.344248 3.320706

10 1.912001 14.67333 1.002392 75.65260 5.307679 3.363997

(28)

1 3.32E+08 0.001887 0.022693 0.005454 99.96997 0.000000

2 5.97E+08 0.748475 0.690278 0.021338 98.50369 0.036214

3 8.30E+08 1.606153 1.706301 0.053972 96.60810 0.025475

4 1.03E+09 2.211049 2.681061 0.156498 94.93490 0.016489

5 1.21E+09 2.623314 3.509374 0.245743 93.60721 0.014357

6 1.38E+09 2.905590 4.174469 0.308147 92.59488 0.016910

7 1.52E+09 3.106450 4.695749 0.347149 91.82953 0.021122

8 1.66E+09 3.255031 5.103326 0.372492 91.24382 0.025327

9 1.79E+09 3.368985 5.425266 0.390130 90.78657 0.029048

10 1.91E+09 3.458861 5.683410 0.403334 90.42217 0.032227

SBMK:

1 0.001734 2.052960 5.304246 20.62971 2.074926 69.93816

2 0.002517 4.168475 3.717124 17.30296 7.452463 67.35898

3 0.003114 5.582812 3.458002 12.21130 11.54120 67.20669

4 0.003593 6.262292 3.607283 10.09005 13.44675 66.59362

5 0.004020 6.618647 3.821819 8.808886 14.76543 65.98522

6 0.004410 6.800736 4.023793 8.002648 15.76998 65.40284

7 0.004771 6.896376 4.201577 7.416373 16.58095 64.90473

8 0.005108 6.948517 4.356374 6.974066 17.23281 64.48823

9 0.005424 6.979127 4.490016 6.626865 17.76058 64.14341

10 0.005723 6.998514 4.604696 6.348596 18.19212 63.85608

Cholesky Ordering: IHK SBI

(29)

Lampiran 16.

Tabel Nilai Variance Decomposition Variabel-variabel

Transmisi Moneter Syariah Tiap Tahun Selama 10 Tahun

Variance Decomposition

of IHK:

Period S.E. IHK SBIS PUAS FINC IHMK

1 0.007338 100.0000 0.000000 0.000000 0.000000 0.000000

2 0.012648 98.78130 0.496992 0.325412 0.314256 0.082042

3 0.016976 97.96075 1.000512 0.663934 0.256996 0.117813

4 0.020589 97.32359 1.370515 0.910204 0.254526 0.141170

5 0.023691 96.90454 1.620512 1.080205 0.238745 0.155996

6 0.026435 96.61881 1.788652 1.195295 0.231817 0.165424

7 0.028916 96.42111 1.905374 1.276300 0.225183 0.172031

8 0.031199 96.27776 1.989505 1.335062 0.220957 0.176721

9 0.033324 96.17009 2.052673 1.379487 0.217474 0.180278

10 0.035322 96.08626 2.101733 1.414103 0.214869 0.183032

of SBIS:

1 0.002686 0.028340 99.97166 0.000000 0.000000 0.000000

2 0.004893 0.337741 99.53906 0.014303 0.004511 0.104387

3 0.006865 0.683505 99.17377 0.010007 0.012179 0.120542

4 0.008630 0.987525 98.84739 0.007682 0.019547 0.137855

5 0.010212 1.232512 98.58781 0.006372 0.025272 0.148030

6 0.011642 1.420806 98.38834 0.005694 0.029551 0.155608

7 0.012947 1.563805 98.23715 0.005330 0.032694 0.161024

8 0.014148 1.672773 98.12196 0.005133 0.035040 0.165092

9 0.015264 1.756880 98.03309 0.005020 0.036821 0.168190

10 0.016307 1.822884 97.96335 0.004950 0.038207 0.170609

of PUAS:

1 0.008484 1.792353 2.787248 95.42040 0.000000 0.000000

2 0.009182 3.156815 2.459299 88.76729 0.003156 5.613440

3 0.009562 3.026489 3.942299 83.93201 1.136499 7.962698

4 0.010048 3.062453 7.793134 76.80334 2.055865 10.28521

5 0.010714 3.836715 13.46627 68.15177 3.150365 11.39488

6 0.011485 4.964674 19.39666 59.83252 3.891097 11.91505

7 0.012300 6.081200 24.73354 52.64146 4.472591 12.07121

8 0.013112 7.051469 29.23611 46.75116 4.879881 12.08138

9 0.013904 7.857619 32.94719 41.96918 5.194014 12.03199

10 0.014665 8.521963 36.00323 38.07439 5.434843 11.96558

of FINC:

(30)

1 7669.134 0.778277 0.210537 0.001545 99.00964 0.000000

2 8706.990 1.121573 0.517371 0.036986 98.31890 0.005169

3 10556.52 1.424396 0.770582 0.126741 97.67428 0.004005

4 11758.55 1.767485 1.114654 0.164665 96.94775 0.005447

5 13030.30 2.030342 1.384570 0.195961 96.38441 0.004713

6 14119.39 2.253978 1.634882 0.213830 95.89213 0.005178

7 15167.45 2.425742 1.832467 0.227463 95.50918 0.005147

8 16133.93 2.565864 1.999317 0.237090 95.19236 0.005366

9 17053.54 2.677980 2.134656 0.244743 94.93716 0.005465

10 17923.26 2.770680 2.247970 0.250784 94.72497 0.005597

of IHMK:

1 0.003164 27.48367 1.697841 3.529316 0.310946 66.97823

2 0.004096 31.99638 1.377084 8.432959 0.483855 57.70972

3 0.004963 32.15588 1.575585 10.19500 0.592871 55.48066

4 0.005665 31.93035 1.829107 11.61267 0.686521 53.94135

5 0.006295 31.44378 2.128582 12.45637 0.753321 53.21795

6 0.006863 30.99940 2.403157 13.06074 0.804192 52.73251

7 0.007388 30.61183 2.643357 13.49017 0.842497 52.41215

8 0.007878 30.29195 2.845536 13.81592 0.872370 52.17422

9 0.008338 30.02781 3.014426 14.06963 0.896067 51.99206

10 0.008775 29.80914 3.155490 14.27359 0.915311 51.84647

Cholesky Ordering: IHK

(31)

Lampiran 17 . Uji Kausalitas Transmisi Moneter Konvensiona

Pairwise Granger Causality Tests

l

Date: 07/06/14 Time: 17:24 Sample: 2009M01 2013M12 Lags: 1

Null Hypothesis: Obs F-Statistic Prob.

LOAN does not Granger Cause IHK 59 8.85669 0.0043

IHK does not Granger Cause LOAN 1.18664 0.2807

PUAB does not Granger Cause IHK 59 0.01502 0.9029

IHK does not Granger Cause PUAB 1.39733 0.2422

SBI does not Granger Cause IHK 59 0.39741 0.5310

IHK does not Granger Cause SBI 5.87450 0.0186

SBMK does not Granger Cause IHK 59 0.79113 0.3776

IHK does not Granger Cause SBMK 0.23661 0.6286

PUAB does not Granger Cause LOAN 59 0.13427 0.7154

LOAN does not Granger Cause PUAB 1.37717 0.2456

SBI does not Granger Cause LOAN 59 9.05599 0.0039

LOAN does not Granger Cause SBI 5.07143 0.0283

SBMK does not Granger Cause LOAN 59 12.9642 0.0007

LOAN does not Granger Cause SBMK 0.32344 0.5718

SBI does not Granger Cause PUAB 59 0.19728 0.6586

PUAB does not Granger Cause SBI 0.01725 0.8960

SBMK does not Granger Cause PUAB 59 0.96968 0.3290

PUAB does not Granger Cause SBMK 0.25628 0.6147

SBMK does not Granger Cause SBI 59 5.38018 0.0240

(32)

Lampiran 18. Uji Kausalitas Transmisi Moneter Syariah

Pairwise Granger Causality Tests Date: 07/06/14 Time: 17:27 Sample: 2009M01 2013M12 Lags: 1

Null Hypothesis: Obs F-Statistic Prob.

SBIS does not Granger Cause IHK 59 0.39741 0.5310

IHK does not Granger Cause SBIS 5.87450 0.0186

PUAS does not Granger Cause IHK 59 0.05351 0.8179

IHK does not Granger Cause PUAS 1.22923 0.2723

FINC does not Granger Cause IHK 59 3.18857 0.0796

IHK does not Granger Cause FINC 10.5612 0.0020

IHMK does not Granger Cause IHK 59 3.15089 0.0813

IHK does not Granger Cause IHMK 11.9880 0.0010

PUAS does not Granger Cause SBIS 59 0.09041 0.7648

SBIS does not Granger Cause PUAS 15.1340 0.0003

FINC does not Granger Cause SBIS 59 4.29118 0.0429

SBIS does not Granger Cause FINC 1.18249 0.2815

IHMK does not Granger Cause SBIS 59 1.17534 0.2830

SBIS does not Granger Cause IHMK 0.72933 0.3967

FINC does not Granger Cause PUAS 59 1.21509 0.2750

PUAS does not Granger Cause FINC 1.11654 0.2952

IHMK does not Granger Cause PUAS 59 1.18182 0.2816

PUAS does not Granger Cause IHMK 0.69150 0.4092

IHMK does not Granger Cause FINC 59 2.12588 0.1504