Nasution, Masnia (2019) ANALISIS INTERDEPENDENSI VARIABEL EKONOMI MAKRO TERHADAP VOLATILITAS NILAI TUKAR RUPIAH MENGGUNAKAN VECTOR AUTO REGRESSION PERIODE 2008-2. Masters thesis, UNIMED.
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Abstract
Penelitian ini dilatarbelakangi oleh pentingnya volatilitas nilai tukar rupiah dalam pengelolaan ekonomi makro di Indonesia yaitu sebagai tolak ukur dalam mengukur kemampuan keuangan dan perekonomian di Indonesia. Akan tetapi perkembangan volatilitas Nilai Tukar Rupiah (NTR) selama sepuluh tahun terakhir (2008-2017) masih menunjukkan tren yang berflkutuasi. Penelitian ini bertujuan untuk menganalisis interdependensi dan untuk mengetahui respon serta kontribusi antar variabel secara timbal balik dengan metode Vector Error Correction Model (VECM) yang mensyaratkan terpenuhinya bebebrapa uji seperti: uji stasioneritas, penentuan lag optimal, uji stabilitas model, uji kointegrasi, uji causalitas grager, impulse response fuction, dan variance decomposition. Hasil penelitian ini menunjukkan bahwa: (1) berdasarkan estimasi VECM diketahui dalam jangka pendek, inflasi, suku bunga, jumlah uang beredar, dan ekspor komoditas non-migas berpengaruh positif terhadap NTR; produk domestik bruto berpengaruh negatif terhadap nilai tukar rupiah. Sementara itu dalam jangka panjang, inflasi, suku bunga, dan ekspor komoditas non-migas berpengaruh positif; produk domestik bruto dan jumlah uang beredar berpengaruh negatif (2) Uji Impulse Response Fuction (IRF) menunjukkan adanya respon positif dan permanen yang diberikan NTR terhadap shock yang terjadi pada inflasi, jumlah uang beredar, dan ekspor komoditas non-migas menuju akhir triwulan, sementara itu respon NTR terhadap shock yang terjadi pada suku bunga menuju akhir triwulan adalah negatif dan produk domestik bruto menuju akhir triwulan adalah negatif permanen (3) Uji Variance Decomposition (VD) menunjukkan bahwa pada akhir periode kontribusi NTR itu sendiri terhadap pergerakan NTR mengalami penurunan; kontribusi inflasi dan produk domestik bruto mengalami peningkatan. Ini menunjukkan bahwa inflasi dan produk domestik bruto memiliki efek yang sangat kuat terhadap perubahan volatilitas nilai tukar rupiah pada jangka panjang. Sementara itu kontribusi terkecil diberikan oleh suku bunga sampai akhir jangka panjang.
Item Type: | Thesis (Masters) | |||||||||
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Call Number: | 339 Nas a | |||||||||
Keywords: | Volatilitas Nilai Tukar Rupiah, Variabel Ekonomi Makro, dan VAR/VECM | |||||||||
Subjects: | H Social Sciences > HB Economic Theory. Demography H Social Sciences > HB Economic Theory. Demography > HB221 Price H Social Sciences > HB Economic Theory. Demography > HB3711 Business cycles. Economic fluctuations H Social Sciences > HB Economic Theory. Demography > HB71 Economics as a science |
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Divisions: | Program Pasca Sarjana > Pendidikan Ekonomi | |||||||||
Depositing User: | Mr Maknun | |||||||||
Date Deposited: | 09 Sep 2019 03:23 | |||||||||
URI: | http://digilib.unimed.ac.id/id/eprint/35959 |
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