Hutabarat, Magdaniar (2017) “PEMODELAN HUBUNGAN ANTARA IHSG, NILAI TUKAR DOLAR AMERIKA SERIKAT TERHADAP RUPIAH (KURS) DAN INFLASI DENGAN VECTOR ERROR CORRECTION MODEL (VECM)”. S1 thesis, Universitas Pendidikan Indonesia.
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Abstract
Pengendalian terhadap IHSG, Kurs, dan Inflasi merupakan hal penting demi terciptanya stabilitas moneter dan perekonomian di Indonesia. Kajian ini bertujuan untuk memodelkan, menganalisis, dan melakukan peramalan antara IHSG, Kurs, dan Inflasi. Oleh karena itu, metode yang digunakan dalam kajian ini adalah Vector Error Correction Model (VECM) yang dapat mengkoreksi ketidakseimbangan (disequilibrium) jangka pendek terhadap jangka panjangnya. Vector Error Correction Model (VECM) dirancang untuk digunakan pada data nonstasioner yang diketahui memiliki hubungan kointegrasi. Berdasarkan spesifikasi dan estimasi model, maka diperoleh model VECM(2) yang akan dipakai untuk pemodelan hubungan antara IHSG (X), Kurs (Y), dan Inflasi (Z). Hasil analisis model, mengatakan bahwa terdapat hubungan dalam jangka panjang dan jangka pendek antara IHSG, Kurs, dan Inflasi. Kemudian, berdasarkan peramalan dengan model VECM(2) dapat disimpulkan bahwa hasil ramalan yang diperoleh akurat karena memiliki nilai Mean Absolute Percentage Error (MAPE) yang kecil. Kata Kunci : IHSG, Kurs, Inflasi, Nonstasioner, Kointegrasi, VECM, MAPE Control of IHSG, exchange rate, and inflation is essential for the creation of the monetary and economic stability in Indonesia. This study aims to model, analyze, and forecasting the IHSG, exchange rate, and inflation. Therefore, the method used in this study is the Vector Error Correction Model (VECM) to correct the imbalance (disequilibrium) short-term to long-term. Vector Error Correction Model (VECM) is designed to be used in the data nonstationary known to have cointegration relationship. Based on the specification and estimation of the model, then the model is obtained VECM (2) which will be used for modeling the relationship between IHSG (X), Exchange (Y), and Inflation (Z). The results of the analysis of the model, saying that there is a relationship in the long term and short term between IHSG, exchange rate, and inflation. Then, based on the forecasting model VECM (2) it can be concluded that the prediction results obtained accurately because it has the Mean Absolute Percentage Error (MAPE) is small. Keywords : IHSG, Exchange rate, Inflation, Nonstationary, Cointegration, VECM, MAPE
| Item Type: | Thesis (S1) |
|---|---|
| Additional Information: | No. Panggil: S_MAT_HUT_p-2017; Pembimbing : I. Entit Puspita, II. Nar Herrhyanto |
| Uncontrolled Keywords: | IHSG, Kurs, Inflasi, Nonstasioner, Kointegrasi, VECM, MAPE |
| Subjects: | L Education > L Education (General) Q Science > QA Mathematics |
| Divisions: | Fakultas Pendidikan Matematika dan Ilmu Pengetahuan Alam > Jurusan Pendidikan Matematika |
| Depositing User: | Mr. Cahya Mulyana |
| Date Deposited: | 29 Jan 2018 07:39 |
| Last Modified: | 29 Jan 2018 07:39 |
| URI: | http://repository.upi.edu/id/eprint/28854 |
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