PENGARUH MAKRO EKONOMI TERHADAP EXCHANGE RATE DI INDONESIA DENGAN METODA VECTOR ERROR CORRECTION MODEL (VECM).

Utama, Wahyudayanto (2017) PENGARUH MAKRO EKONOMI TERHADAP EXCHANGE RATE DI INDONESIA DENGAN METODA VECTOR ERROR CORRECTION MODEL (VECM). S3 thesis, Universitas Pendidikan Indonesia.

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Abstract

Penelitian ini difokuskan untuk mengamati pengaruh 11 faktor makro ekonomi (suku bunga, inflasi, indek harga konsumen, pinjaman, cadangan devisa, ekspor, impor, jumlah uang beredar, surat utang negara, perdagangan saham dan Produk Domestik Bruto) terhadap Exchange rate (USD/ IDR, EUR/ IDR, GBP/ IDR, JPY/ IDR) di Indonesia. Pengaruh tersebut ditunjukkan dengan pendekatan model yang menggunakan metoda Vector Error Correction Model (VECM). Model dibentuk berdasarkan data historis exchange rate dan 11 faktor makro ekonomi di Indonesia periode Juli 2005 sampai Oktober 2015. Syarat agar model valid dibentuk dengan pendekatan VECM adalah data harus mempunyai sifat stasioner pada tingkat first difference dan inisial persamaannya mempunyai sifat kointegrasi. Setelah kedua persyaratan tersebut terpenuhi maka model dibentuk dengan metoda VECM. Berdasarkan uji stasioner dengan metoda Augmented Dickey Fuller (ADF) dan metoda Phillip Peron (PP) diperoleh hasil bahwa data stasioner pada first difference dan sifat kointegrasi juga terpenuhi setelah dilakukan uji Johansen. Dari model yang terbentuk terdapat dua perbedaan berdasarkan Lag-nya yaitu : exchange rate USD/ IDR & JPY/ IDR mempunyai Lag : 7 dan exchange rate EUR/ IDR & GBP/ IDR mempunyai Lag : 1. Dari uji Granger pada model dengan metoda VECM untuk mata uang USD/ IDR terdapat hubungan antara 3 variabel makro ekonomi yang diteliti dengan exchange rate; untuk mata uang GBP/ IDR terdapat hubungan antara 2 variabel makro ekonomi yang diteliti dengan exchange rate; untuk mata uang JPY/ IDR terdapat hubungan antara 3 variabel makro ekonomi yang diteliti dengan exchange rate. Dari model dilakukan simulasi Impulse Respons dan diperoleh hasil bahwa faktor makro ekonomi yang terkena shok berdampak permanen pada exchange rate dengan kondisi yang berbeda-beda. Performansi prediksi exchange rate semakin menjauh dari nilai riil seiring dengan pertambahan waktu, kecuali EUR/ IDR.---------- This research is focused on observing the effects of 11 macroeconomic factors (interest rates, inflation, consumer price index, borrowing, foreign exchange reserves, exports, imports, money supply, government bonds, stock trading and Gross Domestic Product) on Exchange rate (USD / IDR, EUR / IDR, GBP / IDR, JPY / IDR) in Indonesia. The effect is shown by model with Vector Error Correction Model (VECM) method. The model is based on historical exchange rate data and 11 macroeconomic factors in Indonesia from July 2005 to October 2015. The absolute requirement for valid models to be established with the VECM method are the data must have stationary properties at the first difference level and the initial equations have a cointegration nature. After both of requirements are fullfilled then the model is formed by the VECM method. Based on stationary test with Augmented Dickey Fuller (ADF) method and Phillip Peron (PP) method, it is found that the data are stationer on first difference. The data have cointegration properties bas on Johansen test. The model that formed with VECM method have two kind of model based on Lag : exchange rate of USD / IDR & JPY / IDR has Lag: 7 and exchange rate of EUR / IDR & GBP / IDR has Lag: 1. From Granger test on currency USD / IDR, there is relationship between 3 macroeconomic variables on exchange rate; on currency EUR / IDR, there is relationship between 1 macroeconomic variables on exchange rate; on currency GBP / IDR, there is relationship between 2 macroeconomic variables on exchange rate; on currency JPY / IDR, there is relationship between 3 macroeconomic variables on exchange rate; From the model that simulation with Impulse Response, it is found that the effect of economics shock are permanent impact on exchange rate The performance of exchange rate prediction are further away from the real point as time increases, except EUR/ IDR.

Item Type: Thesis (S3)
Additional Information: No Panggil: S IMN UTA p-2017 ; Pembimbing: I.Nursuha , II.Twimendi ; NIM: 1308251
Uncontrolled Keywords: makro ekonomi, exchange rate, VECM, impulse respons, prediksi, macroeconomic, exchange rate, VECM, impulse response, prediction.
Subjects: H Social Sciences > HB Economic Theory
Divisions: Sekolah Pasca Sarjana > Ilmu Manajemen S-3
Depositing User: DAM staf
Date Deposited: 26 Sep 2018 03:59
Last Modified: 26 Sep 2018 03:59
URI: http://repository.upi.edu/id/eprint/31955

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