Kesimpulan Saran Market Integration and Price Transmission on the CPO and Cooking Oil Markets in Indonesia
t-Statistic Prob.
Augmented Dickey-Fuller test statistic -0.886624
0.7902 Test critical values:
1 level -3.475184
5 level -2.881123
10 level -2.577291
MacKinnon 1996 one-sided p-values. Null Hypothesis: LMGMKS has a unit root
Exogenous: Constant Lag Length: 0 Automatic based on SIC, MAXLAG=13
t-Statistic Prob.
Augmented Dickey-Fuller test statistic -0.567623
0.8730 Test critical values:
1 level -3.475184
5 level -2.881123
10 level -2.577291
MacKinnon 1996 one-sided p-values.
Lampiran 2. Uji Stasioneritas Data pada Tingkat First Difference
Null Hypothesis: DLCPOINT has a unit root Exogenous: None
Lag Length: 0 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-9.217378 0.0000
Test critical values: 1 level
-2.580897 5 level
-1.943027 10 level
-1.615260 MacKinnon 1996 one-sided p-values.
Null Hypothesis: DLCPODOM has a unit root Exogenous: None
Lag Length: 0 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-10.54473 0.0000
Test critical values: 1 level
-2.580897 5 level
-1.943027 10 level
-1.615260 MacKinnon 1996 one-sided p-values.
Null Hypothesis: DLMGDOM has a unit root Exogenous: None
Lag Length: 0 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-9.535905 0.0000
Test critical values: 1 level
-2.580897 5 level
-1.943027 10 level
-1.615260 MacKinnon 1996 one-sided p-values.
Null Hypothesis: DLMGMDN has a unit root Exogenous: None
Lag Length: 0 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-11.17790 0.0000
Test critical values: 1 level
-2.580897 5 level
-1.943027 10 level
-1.615260 MacKinnon 1996 one-sided p-values.
Null Hypothesis: DLMGPKB has a unit root Exogenous: None
Lag Length: 0 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-11.77452 0.0000
Test critical values: 1 level
-2.580897 5 level
-1.943027 10 level
-1.615260 MacKinnon 1996 one-sided p-values.
Null Hypothesis: DLMGPLB has a unit root Exogenous: None
Lag Length: 0 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-12.04883 0.0000
Test critical values: 1 level
-2.580897 5 level
-1.943027 10 level
-1.615260 MacKinnon 1996 one-sided p-values.
Null Hypothesis: DLMGJKT has a unit root Exogenous: None
Lag Length: 0 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-13.19990 0.0000
Test critical values: 1 level
-2.580897 5 level
-1.943027 10 level
-1.615260 MacKinnon 1996 one-sided p-values.
Null Hypothesis: DLMGBDG has a unit root Exogenous: None
Lag Length: 0 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-11.82186 0.0000
Test critical values: 1 level
-2.580897 5 level
-1.943027 10 level
-1.615260 MacKinnon 1996 one-sided p-values.
Null Hypothesis: DLMGSMR has a unit root Exogenous: None
Lag Length: 0 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-11.54782 0.0000
Test critical values: 1 level
-2.580897 5 level
-1.943027 10 level
-1.615260 MacKinnon 1996 one-sided p-values.
Null Hypothesis: DLMGSBY has a unit root Exogenous: None
Lag Length: 0 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-11.07770 0.0000
Test critical values: 1 level
-2.580897 5 level
-1.943027 10 level
-1.615260 MacKinnon 1996 one-sided p-values.
Null Hypothesis: DLMGDPS has a unit root Exogenous: None
Lag Length: 0 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-11.45784 0.0000
Test critical values: 1 level
-2.580897 5 level
-1.943027 10 level
-1.615260 MacKinnon 1996 one-sided p-values.
Null Hypothesis: DLMGPTK has a unit root Exogenous: None
Lag Length: 0 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-10.34784 0.0000
Test critical values: 1 level
-2.580897 5 level
-1.943027 10 level
-1.615260 MacKinnon 1996 one-sided p-values.
Null Hypothesis: DLMGMKS has a unit root Exogenous: None
Lag Length: 0 Automatic based on SIC, MAXLAG=13 t-Statistic
Prob. Augmented Dickey-Fuller test statistic
-10.30281 0.0000
Test critical values: 1 level
-2.580897 5 level
-1.943027 10 level
-1.615260 MacKinnon 1996 one-sided p-values.
Lampiran 3. Uji Kausalitas Blok
VAR Granger CausalityBlock Exogeneity Wald Tests Date: 080812 Time: 15:54
Sample: 2000M01 2012M04 Included observations: 147
Dependent variable: LMGMDN Excluded
Chi-sq df
Prob. LMGPKB
0.498117 1
0.4803 LMGPLB
1.460441 1
0.2269 LMGJKT
0.006520 1
0.9356 LMGBDG
0.036863 1
0.8477 LMGSMR
1.522425 1
0.2173 LMGSBY
11.24631 1
0.0008 LMGDPS
1.250285 1
0.2635 LMGPTK
0.181405 1
0.6702 LMGMKS
0.325989 1
0.5680 All
16.00235 9
0.0668 Dependent variable: LMGPKB
Excluded Chi-sq
df Prob.
LMGMDN 0.931165
1 0.3346
LMGPLB 0.057482
1 0.8105
LMGJKT 4.362022
1 0.0367
LMGBDG 1.704658
1 0.1917
LMGSMR 0.871991
1 0.3504
LMGSBY 8.347367
1 0.0039
LMGDPS 0.103605
1 0.7475
LMGPTK 0.002979
1 0.9565
LMGMKS 0.019328
1 0.8894
All 30.61261
9 0.0003
Dependent variable: LMGPLB Excluded
Chi-sq df
Prob. LMGMDN
6.742850 1
0.0094 LMGPKB
2.705519 1
0.1000 LMGJKT
0.835264 1
0.3608 LMGBDG
0.033736 1
0.8543 LMGSMR
0.226955 1
0.6338 LMGSBY
2.889897 1
0.0891 LMGDPS
0.414733 1
0.5196 LMGPTK
0.021308 1
0.8839 LMGMKS
0.267688 1
0.6049 All
38.54989 9
0.0000
Dependent variable: LMGJKT Excluded
Chi-sq df
Prob. LMGMDN
8.434676 1
0.0037 LMGPKB
2.974257 1
0.0846 LMGPLB
0.190581 1
0.6624 LMGBDG
1.324193 1
0.2498 LMGSMR
6.739232 1
0.0094 LMGSBY
6.881797 1
0.0087 LMGDPS
0.030198 1
0.8620 LMGPTK
4.017876 1
0.0450 LMGMKS
0.132305 1
0.7161 All
79.99266 9
0.0000 Dependent variable: LMGBDG
Excluded Chi-sq
df Prob.
LMGMDN 19.16386
1 0.0000
LMGPKB 3.745865
1 0.0529
LMGPLB 0.036061
1 0.8494
LMGJKT 0.016032
1 0.8992
LMGSMR 1.115632
1 0.2909
LMGSBY 0.777168
1 0.3780
LMGDPS 0.050470
1 0.8222
LMGPTK 3.424178
1 0.0642
LMGMKS 1.015754
1 0.3135
All 47.06931
9 0.0000
Dependent variable: LMGSMR Excluded
Chi-sq df
Prob. LMGMDN
12.58244 1
0.0004 LMGPKB
7.783058 1
0.0053 LMGPLB
0.088426 1
0.7662 LMGJKT
1.160935 1
0.2813 LMGBDG
0.709299 1
0.3997 LMGSBY
0.845906 1
0.3577 LMGDPS
0.029659 1
0.8633 LMGPTK
2.396751 1
0.1216 LMGMKS
0.012506 1
0.9110 All
29.04680 9
0.0006 Dependent variable: LMGSBY
Excluded Chi-sq
df Prob.
LMGMDN 9.475436
1 0.0021
LMGPKB 2.823837
1 0.0929
LMGPLB 0.267690
1 0.6049
LMGJKT 0.319000
1 0.5722
LMGBDG 1.630592
1 0.2016
LMGSMR 0.033896
1 0.8539
LMGDPS 0.021837
1 0.8825
LMGPTK 1.152725
1 0.2830
LMGMKS 0.174119
1 0.6765
All 17.09650
9 0.0472
Dependent variable: LMGDPS Excluded
Chi-sq df
Prob. LMGMDN
4.416923 1
0.0356 LMGPKB
2.329149 1
0.1270 LMGPLB
1.579220 1
0.2089 LMGJKT
4.343974 1
0.0371 LMGBDG
8.315674 1
0.0039 LMGSMR
0.243173 1
0.6219 LMGSBY
2.364408 1
0.1241 LMGPTK
4.255125 1
0.0391 LMGMKS
4.627341 1
0.0315 All
45.71081 9
0.0000 Dependent variable: LMGPTK
Excluded Chi-sq
df Prob.
LMGMDN 5.907455
1 0.0151
LMGPKB 8.771448
1 0.0031
LMGPLB 0.420005
1 0.5169
LMGJKT 0.573708
1 0.4488
LMGBDG 1.029157
1 0.3104
LMGSMR 2.578657
1 0.1083
LMGSBY 3.424918
1 0.0642
LMGDPS 1.275765
1 0.2587
LMGMKS 0.756802
1 0.3843
All 39.36164
9 0.0000
Dependent variable: LMGMKS Excluded
Chi-sq df
Prob. LMGMDN
1.549167 1
0.2133 LMGPKB
0.665160 1
0.4147 LMGPLB
0.003806 1
0.9508 LMGJKT
2.211572 1
0.1370 LMGBDG
0.739944 1
0.3897 LMGSMR
0.128284 1
0.7202 LMGSBY
2.842092 1
0.0918 LMGDPS
2.231244 1
0.1352 LMGPTK
0.221985 1
0.6375 All
42.05164 9
0.0000
Lampiran 4. Penentuan Lag Optimal
VAR Lag Order Selection Criteria Endogenous variables: LMGDOM LCPOINT LCPODOM
Exogenous variables: C Date: 080812 Time: 20:07
Sample: 2000M01 2012M04 Included observations: 140
Lag LogL
LR FPE
AIC SC
HQ 231.6901
NA 7.65e-06
-3.267001 -3.203966
-3.241386 1
680.0263 871.0533
1.44e-08 -9.543234
-9.291093 -9.440771
2 696.9324
32.12158 1.29e-08
-9.656178 -9.214931
-9.476868 3
717.4374 38.08073
1.09e-08 -9.820535
-9.190183 -9.564379
4 723.2252
10.50056 1.14e-08
-9.774645 -8.955188
-9.441642 5
726.8681 6.453221
1.24e-08 -9.698116
-8.689553 -9.288266
6 735.0667
14.17183 1.25e-08
-9.686667 -8.488998
-9.199970 7
739.9236 8.187340
1.33e-08 -9.627480
-8.240706 -9.063936
8 747.8099
12.95604 1.36e-08
-9.611570 -8.035690
-8.971179 indicates lag order selected by the criterion
LR: sequential modified LR test statistic each test at 5 level FPE: Final prediction error
AIC: Akaike information criterion SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion
VAR Lag Order Selection Criteria Endogenous variables: LMGMKS LMGPTK LMGDPS LMGSMR LMGBDG LMGPLB LMGJKT LMGPKB
LMGSBY LMGMDN Exogenous variables: C
Date: 080812 Time: 20:08 Sample: 2000M01 2012M04
Included observations: 140 Lag
LogL LR
FPE AIC
SC HQ
1773.120 NA
5.45e-24 -25.18743
-24.97732 -25.10205
1 2453.467
1253.782 1.37e-27
-33.47811 -31.16682
-32.53887 2
2574.298 205.4111
1.04e-27 -33.77568
-29.36321 -31.98259
3 2660.052
133.5319 1.34e-27
-33.57217 -27.05853
-30.92522 4
2754.567 133.6707
1.61e-27 -33.49381
-24.87900 -29.99301
5 2833.379
100.2042 2.59e-27
-33.19113 -22.47514
-28.83647 6
2917.517 94.95591
4.27e-27 -32.96453
-20.14737 -27.75602
7 3039.355
120.0979 4.71e-27
-33.27651 -18.35818
-27.21414 8
3163.109 104.3065
6.11e-27 -33.61584
-16.59634 -26.69963
indicates lag order selected by the criterion LR: sequential modified LR test statistic each test at 5 level
FPE: Final prediction error AIC: Akaike information criterion
SC: Schwarz information criterion HQ: Hannan-Quinn information criterion
Lampiran 5. Johansen Cointegration Test Summary
Sample: 2000M01 2012M04 Included observations: 146
Series: LMGDOM LCPOINT LCPODOM Lags interval: 1 to 1
Selected 0.05 level Number of Cointegrating Relations by Model Data Trend:
None None
Linear Linear
Quadratic Test Type
No Intercept Intercept
Intercept Intercept
Intercept No Trend
No Trend No Trend
Trend Trend
Trace 1
2 2
2 3
Max-Eig 1
2 2
Critical values based on MacKinnon-Haug-Michelis 1999 Information Criteria by Rank and Model
Data Trend: None
None Linear
Linear Quadratic
Rank or No Intercept
Intercept Intercept
Intercept Intercept
No. of CEs No Trend
No Trend No Trend
Trend Trend
Log Likelihood by
Rank rows and Model
columns 704.4400
704.4400 706.3447
706.3447 706.3592
1 715.5386
715.7267 717.5738
718.1006 718.1112
2 718.4295
724.9731 726.4610
727.0043 727.0099
3 720.1473
726.7180 726.7180
731.2204 731.2204
Akaike Information Criteria by Rank rows and Model columns -9.526575
-9.526575 -9.511571
-9.511571 -9.470674
1 -9.596419
-9.585297 -9.583202
-9.576721 -9.549468
2 -9.553828
-9.616069 -9.622754
-9.602799 -9.589177
3 -9.495169
-9.544082 -9.544082
-9.564663 -9.564663
Schwarz Criteria by Rank rows and Model columns -9.342654
-9.342654 -9.266343
-9.266343 -9.164139
1 -9.289884
-9.258326 -9.215361
-9.188443 -9.120319
2 -9.124679
-9.146049 -9.132298
-9.071472 -9.037414
3 -8.943406
-8.931012 -8.931012
-8.890286 -8.890286
Sample: 2000M01 2012M04 Included observations: 146
Series: LMGMKS LMGPTK LMGDPS LMGSMR LMGBDG LMGPLB LMGJKT LMGPKB LMGSBY LMGMDN
Lags interval: 1 to 1 Selected 0.05 level Number of Cointegrating Relations by Model
Data Trend: None
None Linear
Linear Quadratic
Test Type No Intercept
Intercept Intercept
Intercept Intercept
No Trend No Trend
No Trend Trend
Trend Trace
7 7
7 7
10 Max-Eig
7 7
7 5
5 Critical values based on MacKinnon-Haug-Michelis 1999
Information Criteria by Rank and Model Data Trend:
None None
Linear Linear
Quadratic Rank or
No Intercept Intercept
Intercept Intercept
Intercept No. of CEs
No Trend No Trend
No Trend Trend
Trend Log Likelihood by Rank rows and Model columns
2458.970 2458.970
2461.112 2461.112
2461.425 1
2507.158 2511.267
2513.391 2513.631
2513.932 2
2548.936 2558.643
2560.749 2561.378
2561.670 3
2578.097 2594.594
2596.623 2598.609
2598.896 4
2605.074 2623.704
2625.617 2627.605
2627.868 5
2625.845 2644.556
2646.144 2650.560
2650.815 6
2643.617 2662.485
2664.067 2668.558
2668.812 7
2658.931 2678.973
2680.418 2685.160
2685.405 8
2665.274 2686.193
2687.582 2696.022
2696.238 9
2669.043 2692.453
2693.833 2702.436
2702.460 10
2670.426 2694.175
2694.175 2706.146
2706.146 Akaike Information Criteria by Rank rows and Model columns
-32.31465 -32.31465
-32.20702 -32.20702
-32.07431 1
-32.70079 -32.74338
-32.64919 -32.63878
-32.51962 2
-32.99913 -33.10470
-33.02395 -33.00518
-32.89958 3
-33.12462 -33.30951
-33.24141 -33.22753
-33.13556 4
-33.22018 -33.42061
-33.36461 -33.33706
-33.25847 5
-33.23075 -33.41858
-33.37183 -33.36384
-33.29883 6
-33.20024 -33.37651
-33.34338 -33.32271
-33.27140 7
-33.13605 -33.31469
-33.29340 -33.26247
-33.22472 8
-32.94896 -33.12593
-33.11756 -33.12358
-33.09916 9
-32.72662 -32.92402
-32.92922 -32.92379
-32.91041 10
-32.47159 -32.65994
-32.65994 -32.68693
-32.68693 Schwarz Criteria by Rank rows and Model columns
-30.27109 -30.27109
-29.95909 -29.95909
-29.62203 1
-30.24851 -30.27067
-29.99256 -29.96171
-29.65862 2
-30.13813 -30.20284
-29.95861 -29.89896
-29.62988 3
-29.85492 -29.97850
-29.76735 -29.69216
-29.45714 4
-29.54177 -29.66045
-29.48183 -29.37254
-29.17133 5
-29.14362 -29.22927
-29.08034 -28.97017
-28.80299 6
-28.70439 -28.75805
-28.64318 -28.49990
-28.36684 7
-28.23149 -28.26708
-28.18448 -28.01051
-27.91145 8
-27.63569 -27.64917
-27.59993 -27.44247
-27.37717 9
-27.00463 -27.01811
-27.00288 -26.81352
-26.77972 10
-26.34089 -26.32488
-26.32488 -26.14752
-26.14752
Lampiran 6. Johansen Cointegration Test Trace and Maximum Eigenvalue Test
Sample adjusted: 2000M03 2012M04 Included observations: 146 after adjustments
Trend assumption: No deterministic trend restricted constant Series: LMGDOM LCPOINT LCPODOM
Lags interval in first differences: 1 to 1 Unrestricted Cointegration Rank Test Trace
Hypothesized Trace
0.05 No. of CEs
Eigenvalue Statistic
Critical Value Prob.
None 0.143253
44.55601 35.19275
0.0037 At most 1
0.118969 21.98264
20.26184 0.0287
At most 2 0.023620
3.489842 9.164546
0.4934 Trace test indicates 2 cointegrating eqns 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
No. of CEs Eigenvalue
Statistic Critical Value
Prob. None
0.143253 22.57337
22.29962 0.0458
At most 1 0.118969
18.49280 15.89210
0.0191 At most 2
0.023620 3.489842
9.164546 0.4934
Max-eigenvalue test indicates 2 cointegrating eqns at the 0.05 level denotes rejection of the hypothesis at the 0.05 level
MacKinnon-Haug-Michelis 1999 p-values
Date: 080812 Time: 20:13 Sample adjusted: 2000M03 2012M04
Included observations: 146 after adjustments Trend assumption: No deterministic trend restricted constant
Series: LMGMKS LMGPTK LMGDPS LMGSMR LMGBDG LMGPLB LMGJKT LMGPKB LMGSBY LMGMDN
Lags interval in first differences: 1 to 1 Unrestricted Cointegration Rank Test Trace
Hypothesized Trace
0.05 No. of CEs
Eigenvalue Statistic
Critical Value Prob.
None 0.511493
470.4111 251.2650
0.0000 At most 1
0.477426 365.8167
208.4374 0.0000
At most 2 0.388893
271.0644 169.5991
0.0000 At most 3
0.328853 199.1619
134.6780 0.0000
At most 4 0.248468
140.9420 103.8473
0.0000 At most 5
0.217767 99.23823
76.97277 0.0004
At most 6 0.202165
63.38022 54.07904
0.0059 At most 7
0.094177 30.40565
35.19275 0.1499
At most 8 0.082184
15.96463 20.26184
0.1760 At most 9
0.023313 3.443983
9.164546 0.5012
Trace test indicates 7 cointegrating eqns 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 No. of CEs
Eigenvalue Statistic
Critical Value Prob.
None 0.511493
104.5945 65.30016
0.0000 At most 1
0.477426 94.75224
59.24000 0.0000
At most 2 0.388893
71.90250 53.18784
0.0003 At most 3
0.328853 58.21997
47.07897 0.0022
At most 4 0.248468
41.70372 40.95680
0.0411 At most 5
0.217767 35.85802
34.80587 0.0373
At most 6 0.202165
32.97457 28.58808
0.0128 At most 7
0.094177 14.44101
22.29962 0.4225
At most 8 0.082184
12.52065 15.89210
0.1577 At most 9
0.023313 3.443983
9.164546 0.5012
Max-eigenvalue test indicates 7 cointegrating eqns at the 0.05 level denotes rejection of the hypothesis at the 0.05 level
MacKinnon-Haug-Michelis 1999 p-values
Lampiran 7. Pengujian Kointegrasi Bivariate
Date: 080812 Time: 21:07 Sample adjusted: 2000M05 2012M04
Included observations: 144 after adjustments Trend assumption: No deterministic trend restricted constant
Series: LCPODOM LCPOINT Lags interval in first differences: 1 to 3
Unrestricted Cointegration Rank Test Trace Hypothesized
Trace 0.05
No. of CEs Eigenvalue
Statistic Critical Value
Prob. None
0.062094 10.85489
20.26184 0.5561
At most 1 0.011212
1.623637 9.164546
0.8507 Trace test indicates no cointegration 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
No. of CEs Eigenvalue
Statistic Critical Value
Prob. None
0.062094 9.231250
15.89210 0.4094
At most 1 0.011212
1.623637 9.164546
0.8507 Max-eigenvalue test indicates no cointegration at the 0.05 level
denotes rejection of the hypothesis at the 0.05 level MacKinnon-Haug-Michelis 1999 p-values
Sample adjusted: 2000M03 2012M04 Included observations: 146 after adjustments
Trend assumption: No deterministic trend Series: LMGMDN LMGSBY
Lags interval in first differences: 1 to 1 Unrestricted Cointegration Rank Test Trace
Hypothesized Trace
0.05 No. of CEs
Eigenvalue Statistic
Critical Value Prob.
None 0.259385
45.72258 12.32090
0.0000 At most 1
0.012811 1.882459
4.129906 0.2002
Trace test indicates 1 cointegrating eqns 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
No. of CEs Eigenvalue
Statistic Critical Value
Prob. None
0.259385 43.84012
11.22480 0.0000
At most 1 0.012811
1.882459 4.129906
0.2002 Max-eigenvalue test indicates 1 cointegrating eqns at the 0.05 level
denotes rejection of the hypothesis at the 0.05 level MacKinnon-Haug-Michelis 1999 p-values
Sample adjusted: 2000M03 2012M04 Included observations: 146 after adjustments
Trend assumption: No deterministic trend Series: LMGPLB LMGSBY
Lags interval in first differences: 1 to 1 Unrestricted Cointegration Rank Test Trace
Hypothesized Trace
0.05 No. of CEs
Eigenvalue Statistic
Critical Value Prob.
None 0.242524
42.64486 12.32090
0.0000 At most 1
0.014223 2.091461
4.129906 0.1746
Trace test indicates 1 cointegrating eqns 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
No. of CEs Eigenvalue
Statistic Critical Value
Prob. None
0.242524 40.55340
11.22480 0.0000
At most 1 0.014223
2.091461 4.129906
0.1746 Max-eigenvalue test indicates 1 cointegrating eqns at the 0.05 level
denotes rejection of the hypothesis at the 0.05 level MacKinnon-Haug-Michelis 1999 p-values
Sample adjusted: 2000M03 2012M04 Included observations: 146 after adjustments
Trend assumption: No deterministic trend Series: LMGJKT LMGSBY
Lags interval in first differences: 1 to 1 Unrestricted Cointegration Rank Test Trace
Hypothesized Trace
0.05 No. of CEs
Eigenvalue Statistic
Critical Value Prob.
None 0.205142
35.57066 12.32090
0.0000 At most 1
0.013945 2.050319
4.129906 0.1794
Trace test indicates 1 cointegrating eqns 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
No. of CEs Eigenvalue
Statistic Critical Value
Prob. None
0.205142 33.52035
11.22480 0.0000
At most 1 0.013945
2.050319 4.129906
0.1794 Max-eigenvalue test indicates 1 cointegrating eqns at the 0.05 level
denotes rejection of the hypothesis at the 0.05 level MacKinnon-Haug-Michelis 1999 p-values
Sample adjusted: 2000M03 2012M04 Included observations: 146 after adjustments
Trend assumption: No deterministic trend Series: LMGBDG LMGSBY
Lags interval in first differences: 1 to 1 Unrestricted Cointegration Rank Test Trace
Hypothesized Trace
0.05 No. of CEs
Eigenvalue Statistic
Critical Value Prob.
None 0.177755
30.80393 12.32090
0.0000 At most 1
0.015152 2.229180
4.129906 0.1598
Trace test indicates 1 cointegrating eqns 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
No. of CEs Eigenvalue
Statistic Critical Value
Prob. None
0.177755 28.57475
11.22480 0.0000
At most 1 0.015152
2.229180 4.129906
0.1598 Max-eigenvalue test indicates 1 cointegrating eqns at the 0.05 level
denotes rejection of the hypothesis at the 0.05 level MacKinnon-Haug-Michelis 1999 p-values
Sample adjusted: 2000M03 2012M04 Included observations: 146 after adjustments
Trend assumption: No deterministic trend Series: LMGSMR LMGSBY
Lags interval in first differences: 1 to 1 Unrestricted Cointegration Rank Test Trace
Hypothesized Trace
0.05 No. of CEs
Eigenvalue Statistic
Critical Value Prob.
None 0.057071
10.28458 12.32090
0.1072 At most 1
0.011610 1.705034
4.129906 0.2252
Trace test indicates no cointegration 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
No. of CEs Eigenvalue
Statistic Critical Value
Prob. None
0.057071 8.579550
11.22480 0.1407
At most 1 0.011610
1.705034 4.129906
0.2252 Max-eigenvalue test indicates no cointegration at the 0.05 level
denotes rejection of the hypothesis at the 0.05 level MacKinnon-Haug-Michelis 1999 p-values
Sample adjusted: 2000M03 2012M04 Included observations: 146 after adjustments
Trend assumption: No deterministic trend Series: LMGDPS LMGSBY
Lags interval in first differences: 1 to 1 Unrestricted Cointegration Rank Test Trace
Hypothesized Trace
0.05 No. of CEs
Eigenvalue Statistic
Critical Value Prob.
None 0.063398
11.43954 12.32090
0.0699 At most 1
0.012774 1.877036
4.129906 0.2009
Trace test indicates no cointegration 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
No. of CEs Eigenvalue
Statistic Critical Value
Prob. None
0.063398 9.562508
11.22480 0.0967
At most 1 0.012774
1.877036 4.129906
0.2009 Max-eigenvalue test indicates no cointegration at the 0.05 level
denotes rejection of the hypothesis at the 0.05 level MacKinnon-Haug-Michelis 1999 p-values
Sample adjusted: 2000M03 2012M04 Included observations: 146 after adjustments
Trend assumption: No deterministic trend Series: LMGPTK LMGSBY
Lags interval in first differences: 1 to 1 Unrestricted Cointegration Rank Test Trace
Hypothesized Trace
0.05 No. of CEs
Eigenvalue Statistic
Critical Value Prob.
None 0.149790
25.43414 12.32090
0.0002 At most 1
0.011864 1.742458
4.129906 0.2196
Trace test indicates 1 cointegrating eqns 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
No. of CEs Eigenvalue
Statistic Critical Value
Prob. None
0.149790 23.69169
11.22480 0.0002
At most 1 0.011864
1.742458 4.129906
0.2196 Max-eigenvalue test indicates 1 cointegrating eqns at the 0.05 level
denotes rejection of the hypothesis at the 0.05 level MacKinnon-Haug-Michelis 1999 p-values
Sample adjusted: 2000M03 2012M04 Included observations: 146 after adjustments
Trend assumption: No deterministic trend Series: LMGMKS LMGSBY
Lags interval in first differences: 1 to 1 Unrestricted Cointegration Rank Test Trace
Hypothesized Trace
0.05 No. of CEs
Eigenvalue Statistic
Critical Value Prob.
None 0.178559
30.65433 12.32090
0.0000 At most 1
0.013178 1.936850
4.129906 0.1931
Trace test indicates 1 cointegrating eqns 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
No. of CEs Eigenvalue
Statistic Critical Value
Prob. None
0.178559 28.71748
11.22480 0.0000
At most 1 0.013178
1.936850 4.129906
0.1931 Max-eigenvalue test indicates 1 cointegrating eqns at the 0.05 level
denotes rejection of the hypothesis at the 0.05 level MacKinnon-Haug-Michelis 1999 p-values
Lampiran 8 Estimasi VARVECM
Vector Autoregression Estimates Date: 072612 Time: 13:22
Sample adjusted: 2000M03 2012M04 Included observations: 146 after adjustments
Standard errors in t-statistics in [ ]
LMGDOM LCPOINT
LMGDOM-1 0.662054
-0.142146 0.10116
0.17629 [ 6.54474]
[-0.80633] LMGDOM-2
0.197189 0.259008
0.08693 0.15150
[ 2.26831] [ 1.70966]
LCPOINT-1 0.499577
1.306091 0.06200
0.10804 [ 8.05789]
[ 12.0884] LCPOINT-2
-0.378859 -0.420075
0.06541 0.11400
[-5.79168] [-3.68496]
C 0.207164
-0.041222 0.09538
0.16622 [ 2.17202]
[-0.24800] R-squared
0.991102 0.979314
Adj. R-squared 0.990850
0.978728 Sum sq. resids
0.203617 0.618385
S.E. equation 0.038001
0.066225 F-statistic
3926.444 1668.842
Log likelihood 272.8187
191.7253 Akaike AIC
-3.668749 -2.557881
Schwarz SC -3.566571
-2.455703 Mean dependent
8.762458 8.552815
S.D. dependent 0.397269
0.454059 Determinant resid covariance dof adj.
3.85E-06 Determinant resid covariance
3.59E-06 Log likelihood
500.9202 Akaike information criterion
-6.724934 Schwarz criterion
-6.520577
Vector Error Correction Estimates Date: 070812 Time: 02:13
Sample adjusted: 2000M03 2012M04 Included observations: 146 after adjustments
Standard errors in t-statistics in [ ]
Cointegrating Eq: CointEq1
LMGDOM-1 1.000000
LCPODOM-1 -0.771441
0.03393 [-22.7333]
C -2.260183
Error Correction: DLMGDOM DLCPODOM
CointEq1 -0.162413
0.059773 0.04636
0.07719 [-3.50336]
[ 0.77437] DLMGDOM-1
0.109095 0.076127
0.08300 0.13820
[ 1.31437] [ 0.55086]
DLCPODOM-1 0.122273
0.121379 0.05995
0.09981 [ 2.03973]
[ 1.21611] C
0.006240 0.008547
0.00355 0.00591
[ 1.75794] [ 1.44634]
R-squared 0.194459
0.020046 Adj. R-squared
0.177441 -0.000658
Sum sq. resids 0.251786
0.698002 S.E. equation
0.042109 0.070111
F-statistic 11.42636
0.968229 Log likelihood
257.3182 182.8842
Akaike AIC -3.470113
-2.450469 Schwarz SC
-3.388370 -2.368726
Mean dependent 0.008309
0.010347 S.D. dependent
0.046429 0.070088
Determinant resid covariance dof adj. 7.06E-06
Determinant resid covariance 6.68E-06
Log likelihood 455.5675
Akaike information criterion -6.103665
Schwarz criterion -5.899308
Vector Autoregression Estimates Date: 072612 Time: 13:20
Sample adjusted: 2000M04 2012M04 Included observations: 145 after adjustments
Standard errors in t-statistics in [ ]
LCPOINT LCPODOM
LCPOINT-1 1.134657
0.140908 0.10825
0.11220 [ 10.4822]
[ 1.25583] LCPOINT-2
-0.415631 0.181217
0.15071 0.15622
[-2.75781] [ 1.16001]
LCPOINT-3 0.081980
-0.358639 0.10767
0.11161 [ 0.76138]
[-3.21335] LCPODOM-1
0.094665 0.994731
0.10075 0.10444
[ 0.93957] [ 9.52470]
LCPODOM-2 0.195270
-0.196111 0.13607
0.14104 [ 1.43511]
[-1.39045] LCPODOM-3
-0.123631 0.224938
0.10212 0.10586
[-1.21060] [ 2.12492]
C 0.306896
0.120815 0.12720
0.13185 [ 2.41278]
[ 0.91633] R-squared
0.980200 0.983603
Adj. R-squared 0.979339
0.982890 Sum sq. resids
0.582952 0.626355
S.E. equation 0.064995
0.067371 F-statistic
1138.592 1379.659
Log likelihood 194.1918
188.9854 Akaike AIC
-2.581956 -2.510143
Schwarz SC -2.438251
-2.366439 Mean dependent
8.557442 8.432672
S.D. dependent 0.452166
0.515040 Determinant resid covariance dof adj.
1.06E-05 Determinant resid covariance
9.62E-06 Log likelihood
426.0133 Akaike information criterion
-5.682943 Schwarz criterion
-5.395534
Lampiran 9 Estimasi ECM
Dependent Variable: DLMGDOM Method: Least Squares
Date: 070812 Time: 02:02 Sample adjusted: 2000M04 2012M04
Included observations: 145 after adjustments Variable
Coefficient Std. Error
t-Statistic Prob.
DLCPOINT 0.355417
0.037087 9.583264
0.0000 COINTEQ01
0.162206 0.039630
4.093060 0.0001
DLMGDOM-1 -0.134829
0.080619 -1.672407
0.0967 DLMGDOM-2
-0.147742 0.067784
-2.179600 0.0310
DLCPOINT-1 0.228063
0.054898 4.154280
0.0001 DLCPOINT-2
0.078059 0.056183
1.389360 0.1669
R-squared 0.617782 Mean dependent var
0.008396 Adjusted R-squared
0.604033 S.D. dependent var 0.046578
S.E. of regression 0.029309 Akaike info criterion
-4.181312 Sum squared resid
0.119407 Schwarz criterion -4.058137
Log likelihood 309.1451 Hannan-Quinn criter.
-4.131262 Durbin-Watson stat
1.993781
Dependent Variable: DLMGDOM Method: Least Squares
Date: 070812 Time: 02:15 Sample adjusted: 2000M04 2012M04
Included observations: 145 after adjustments Variable
Coefficient Std. Error
t-Statistic Prob.
DLCPODOM 0.296920
0.045382 6.542692
0.0000 COINTEQ02
-0.168964 0.043647
-3.871163 0.0002
DLMGDOM-1 0.117557
0.079264 1.483102
0.1403 DLMGDOM-2
-0.218250 0.074809
-2.917430 0.0041
DLCPODOM-1 0.100031
0.054073 1.849910
0.0664 DLCPODOM-2
0.039147 0.053993
0.725034 0.4696
R-squared 0.381686 Mean dependent var
0.008396 Adjusted R-squared
0.359445 S.D. dependent var 0.046578
S.E. of regression 0.037278 Akaike info criterion
-3.700307 Sum squared resid
0.193165 Schwarz criterion -3.577131
Log likelihood 274.2722 Hannan-Quinn criter.
-3.650256 Durbin-Watson stat
2.025072
Dependent Variable: DLMGDOM Method: Least Squares
Date: 070812 Time: 02:35 Sample adjusted: 2000M04 2012M04
Included observations: 145 after adjustments Variable
Coefficient Std. Error
t-Statistic Prob.
DLCPODOM 0.291836
0.046175 6.320258
0.0000 ECTP2
-0.146046 0.056640
-2.578500 0.0110
ECTN2 -0.196575
0.061586 -3.191899
0.0018 DLMGDOM-1
0.107721 0.080922
1.331171 0.1853
DLMGDOM-2 -0.222573
0.075276 -2.956751
0.0037 DLCPODOM-1
0.101949 0.054273
1.878449 0.0624
DLCPODOM-2 0.040819
0.054173 0.753496
0.4524 R-squared
0.383498 Mean dependent var 0.008396
Adjusted R-squared 0.356694 S.D. dependent var
0.046578 S.E. of regression
0.037358 Akaike info criterion -3.689448
Sum squared resid 0.192599 Schwarz criterion
-3.545744 Log likelihood
274.4850 Hannan-Quinn criter. -3.631057
Durbin-Watson stat 2.026300
Dependent Variable: DLMGMDN Method: Least Squares
Date: 070912 Time: 15:37 Sample adjusted: 2000M03 2012M04
Included observations: 146 after adjustments Variable
Coefficient Std. Error
t-Statistic Prob.
DLMGSBY 0.734194
0.058442 12.56268
0.0000 ECTP1
0.666844 0.119313
5.589030 0.0000
ECTN1 0.506885
0.110364 4.592865
0.0000 DLMGSBY-1
-0.030056 0.085232
-0.352641 0.7249
DLMGMDN-1 0.069229
0.083291 0.831169
0.4073 R-squared
0.571732 Mean dependent var 0.009661
Adjusted R-squared 0.559583 S.D. dependent var
0.076204 S.E. of regression
0.050572 Akaike info criterion -3.097182
Sum squared resid 0.360614 Schwarz criterion
-2.995004 Log likelihood
231.0943 Hannan-Quinn criter. -3.055665
Durbin-Watson stat 1.985113
Dependent Variable: DLMGPKB Method: Least Squares
Date: 070912 Time: 15:41 Sample adjusted: 2000M03 2012M04
Included observations: 146 after adjustments Variable
Coefficient Std. Error
t-Statistic Prob.
DLMGSBY 0.922250
0.090146 10.23057
0.0000 ECTP2
-0.307414 0.077842
-3.949226 0.0001
ECTN2 -0.285421
0.113872 -2.506517
0.0133 DLMGSBY-1
0.200868 0.124825
1.609201 0.1098
DLMGPKB-1 -0.026662
0.084447 -0.315729
0.7527 R-squared
0.527580 Mean dependent var 0.008806
Adjusted R-squared 0.514178 S.D. dependent var
0.113136 S.E. of regression
0.078857 Akaike info criterion -2.208715
Sum squared resid 0.876798 Schwarz criterion
-2.106537 Log likelihood
166.2362 Hannan-Quinn criter. -2.167198
Durbin-Watson stat 1.997155
Dependent Variable: DLMGPLB Method: Least Squares
Date: 070912 Time: 15:25 Sample adjusted: 2000M03 2012M04
Included observations: 146 after adjustments Variable
Coefficient Std. Error
t-Statistic Prob.
DLMGSBY 0.673700
0.050025 13.46716
0.0000 ECTP3
-0.501597 0.098639
-5.085169 0.0000
ECTN3 -0.472255
0.093076 -5.073880
0.0000 DLMGSBY-1
-0.046406 0.082348
-0.563538 0.5740
DLMGPLB-1 0.020182
0.077681 0.259803
0.7954 R-squared
0.628203 Mean dependent var 0.008832
Adjusted R-squared 0.617656 S.D. dependent var
0.071575 S.E. of regression
0.044258 Akaike info criterion -3.363928
Sum squared resid 0.276183 Schwarz criterion
-3.261750 Log likelihood
250.5668 Hannan-Quinn criter. -3.322411
Durbin-Watson stat 1.996749
Dependent Variable: DLMGJKT Method: Least Squares
Date: 070912 Time: 17:35 Sample adjusted: 2000M03 2012M04
Included observations: 146 after adjustments Variable
Coefficient Std. Error
t-Statistic Prob.
DLMGSBY 0.539693
0.050923 10.59826
0.0000 ECTP4
-0.489131 0.095532
-5.120101 0.0000
ECTN4 -0.420372
0.104706 -4.014794
0.0001 DLMGSBY-1
0.245284 0.078038
3.143149 0.0020
DLMGJKT-1 -0.258465
0.068686 -3.762971
0.0002 R-squared
0.614469 Mean dependent var 0.008709
Adjusted R-squared 0.603532 S.D. dependent var
0.071714 S.E. of regression
0.045155 Akaike info criterion -3.323787
Sum squared resid 0.287495 Schwarz criterion
-3.221609 Log likelihood
247.6365 Hannan-Quinn criter. -3.282270
Durbin-Watson stat 2.076893
Dependent Variable: DLMGBDG Method: Least Squares
Date: 070912 Time: 17:39 Sample adjusted: 2000M03 2012M04
Included observations: 146 after adjustments Variable
Coefficient Std. Error
t-Statistic Prob.
DLMGSBY 0.812392
0.033867 23.98750
0.0000 ECTP5
-0.403397 0.101859
-3.960355 0.0001
ECTN5 -0.360871
0.088411 -4.081747
0.0001 DLMGSBY-1
0.082073 0.080397
1.020845 0.3091
DLMGBDG-1 -0.062706
0.080901 -0.775090
0.4396 R-squared
0.826376 Mean dependent var 0.008685
Adjusted R-squared 0.821450 S.D. dependent var
0.069136 S.E. of regression
0.029214 Akaike info criterion -4.194715
Sum squared resid 0.120335 Schwarz criterion
-4.092536 Log likelihood
311.2142 Hannan-Quinn criter. -4.153197
Durbin-Watson stat 2.018656
Dependent Variable: DLMGPTK Method: Least Squares
Date: 070912 Time: 17:45 Sample adjusted: 2000M03 2012M04
Included observations: 146 after adjustments Variable
Coefficient Std. Error
t-Statistic Prob.
DLMGSBY 0.643886
0.050431 12.76756
0.0000 ECTP8
-0.395994 0.091485
-4.328513 0.0000
ECTN8 -0.224460
0.084220 -2.665178
0.0086 DLMGSBY-1
0.113774 0.074734
1.522381 0.1302
DLMGPTK-1 -0.024033
0.079214 -0.303386
0.7620 R-squared
0.578841 Mean dependent var 0.008290
Adjusted R-squared 0.566893 S.D. dependent var
0.065730 S.E. of regression
0.043258 Akaike info criterion -3.409638
Sum squared resid 0.263843 Schwarz criterion
-3.307460 Log likelihood
253.9036 Hannan-Quinn criter. -3.368121
Durbin-Watson stat 2.022156
Dependent Variable: DLMGMKS Method: Least Squares
Date: 070912 Time: 17:48 Sample adjusted: 2000M03 2012M04
Included observations: 146 after adjustments Variable
Coefficient Std. Error
t-Statistic Prob.
DLMGSBY 0.424523
0.059534 7.130764
0.0000 ECTP9
-0.353934 0.092509
-3.825920 0.0002
ECTN9 -0.263039
0.057585 -4.567870
0.0000 DLMGSBY-1
0.006699 0.076481
0.087589 0.9303
DLMGMKS-1 0.106926
0.073990 1.445145
0.1506 R-squared
0.403078 Mean dependent var 0.008635
Adjusted R-squared 0.386144 S.D. dependent var
0.067339 S.E. of regression
0.052759 Akaike info criterion -3.012517
Sum squared resid 0.392476 Schwarz criterion
-2.910339 Log likelihood
224.9137 Hannan-Quinn criter. -2.970999
Durbin-Watson stat 1.976306
Lampiran 10 Hasil Uji Wald
Wald Test: Equation: CPOINTMGDOM
Test Statistic Value
df Probability
F-statistic 0.405620
1, 138 0.5253
Chi-square 0.405620
1 0.5242
Null Hypothesis Summary: Normalized Restriction = 0
Value Std. Err.
C2 - C3 0.050529
0.079338 Restrictions are linear in coefficients.
Wald Test: Equation: AYMSBYMDN
Test Statistic Value
df Probability
F-statistic 1.173303
1, 141 0.2806
Chi-square 1.173303
1 0.2787
Null Hypothesis Summary: Normalized Restriction = 0
Value Std. Err.
C2 - C3 0.159959
0.147674 Restrictions are linear in coefficients.
ABSTRACT
ARIFAYANI RACHMAN. Market Integration and Price Transmission on the CPO and Cooking Oil Markets in Indonesia. Under direction of RITA
NURMALINA and HARMINI.
Cooking oil is considered as one of staple food in Indonesia. The goverment need to maintain the stability of cooking oil’s price because it will
affect the wealth of the people. The aims of this study were to gain better understanding on vertikal and spatial integration of crude palm oil and cooking oil
markets and to analyze the nature of price transmission both vertically and spatially and the impact of CPO export tax to market integration. Data analysis
methods used in this research were:market integration by cointegration test VAR based and price transmission by Error Correction Model ECM adapted from
Taubadel 1998. The research found that there was no cointegration between international and domestic prices of CPO. The implementation of progressif
export tax started in 2007 had an impact to integration of international-domestic CPO markets. Vertically, CPO prices both international and domestic were
cointegrated to domestic cooking oil’s price and the price transmissions were symmetric. Spatially, cooking oil prices of 10 big cities in Indonesia were
cointegrated together with Medan and Surabaya as main markets. Price transmission from main markets to local markets were symmetric.
Keywords : cooking oil, crude palm oil, market integration, price transmission, cointegration, ECM
RINGKASAN
ARIFAYANI RACHMAN. Integrasi Dan Transmisi Harga Pada Pasar CPO Dan Minyak Goreng Sawit Di Indonesia. Dibimbing oleh RITA NURMALINA dan
HARMINI.
Minyak goreng merupakan komoditas yang strategis di Indonesia. Pertumbuhan jumlah penduduk serta peningkatan konsumsi minyak goreng per
kapita menyebabkan permintaan minyak goreng pada pasar domestik terus meningkat. Sebagai salah satu bahan pangan pokok, pemerintah memandang
perlu upaya stabilisasi harga minyak goreng karena fluktuasi harga minyak goreng akan berdampak pada kesejahteraan masyarakat. Minyak goreng yang paling
banyak dikonsumsi oleh masyarakat Indonesia adalah minyak goreng sawit sehingga harga minyak goreng domestik mempunyai keterkaitan dengan harga
CPO. Adanya konsentrasi yang cukup tinggi baik pada sektor hulu maupun pada industri hilirnya serta integrasi vertikal yang dilakukan oleh sebagian besar
industri minyak goreng sawit menimbulkan peluang munculnya market power yang dapat digunakan oleh industri minyak goreng sawit dalam menentukan
harga. Secara spasial, sentra industri minyak goreng utama masih terpusat di Pulau Sumatera dan Jawa. Jika pasar minyak goreng di suatu wilayah terintegrasi
dengan wilayah lain maka guncangan minyak harga yang terjadi di wilayah acuan akan tertransmisikan ke wilayah lain. Namun demikian jumlah distributor yang
relatif terbatas pada setiap wilayah memungkinkan timbulnya respon perubahan harga yang berbeda ketika terjadi kenaikan dan pernurunan harga di pasar acuan.
Penelitian ini mempunyai beberapa tujuan yaitu : i menganalisis pergerakan harga CPO baik pada pasar internasional maupun pada pasar
domestik, serta pergerakan harga minyak goreng domestik baik di tingkat nasional maupun harga minyak goreng di 10 kota besar di Indonesia, ii menganalisis
integrasi pasar CPO internasional dan CPO domestik, serta pengaruh perubahan mekanisme penetapan pajak ekspor CPO terhadap integrasi pasar CPO
internasional dan domestik, iii Menganalisis integrasi pasar CPO dan minyak goreng, serta transmisi harga yang berlangsung antar pasar, iv menganalisis
integrasi spasial pada pasar minyak goreng di 10 kota besar di Indonesia serta transmisi harga yang berlangsung, v menganalisis dampak terjadinya shock
harga CPO terhadap harga minyak goreng serta shock harga minyak goreng pada pasar acuan terhadap pasar minyak goreng di wilayah lain. Untuk menjawab
tujuan penelitian tersebut digunakan analisa secara deskriptif serta analisis dengan metode ekonometrika yaitu dengan pendekatan kointegrasi dan model Vector
Error Correction Model
VECM untuk menganalisis hubungan integrasi antar pasar secara multivariat, serta Error Correction Model ECM yang
dikembangkan oleh Taubadel 1998 untuk menganalisis sifat transmisi harga yang berlangsung secara bivariat.
Hasil penelitian menunjukkan bahwa seluruh data yang digunakan dalam penelitian ini bersifat nonstasioner. Dari pengujian kointegrasi diketahui jika
harga CPO internasional dan CPO domestik tidak terkointegrasi, yang berarti
pasar CPO domestik tidak terintegrasi dengan pasar dunia. Perubahan mekanisme penetapan pajak ekspor CPO pada tahun 2007, dimana besaran pajak ditetapkan
secara progresif berdasarkan harga CPO internasional pada bulan sebelumnya berpengaruh terhadap integrasi pasar CPO dunia dengan pasar CPO domestik.
Harga CPO internasional dan CPO domestik terkointegrasi dengan harga minyak goreng domestik. Hasil estimasi model VECM menunjukkan bahwa
dalam jangka panjang harga CPO internasional dan CPO domestik berpengaruh signifikan terhadap harga minyak goreng domestik, dimana harga CPO
internasional berpengaruh lebih besar dari harga CPO domestik.
Hasil analisis integrasi spasial memperlihatkan bahwa pasar minyak goreng di 10 kota besar di Indonesia Medan, Pekanbaru, Palembang, Jakarta, Bandung,
Semarang, Surabaya, Denpasar, Pontianak dan Makasar terintegrasi dengan 7 persamaan kointegrasi. Dari hasil pengujian kausalitas blok diketahui jika Medan
dan Surabaya merupakan pasar acuan pada pasar minyak goreng di Indonesia. Selanjutnya kedua kota tersebut masing-masing diuji kointegrasi dengan harga di
kota lain secara bivariat, yang hasilnya harga minyak goreng di Medan terintegrasi dengan seluruh kota kecuali Denpasar, sementara harga minyak
goreng di Surabaya terintegrasi dengan seluruh kota kecuali Semarang dan Denpasar.
Analisis terhadap transmisi harga baik secara vertikal maupun horizontal menunjukkan jika transmisi harga secara keseluruhan berjalan simetris sehingga
dapat disimpulkan jika karakteristik industri minyak goreng yang terkonsentrasi dan tingginya integrasi vertikal pada industri minyak goreng belum terbukti
menyebabkan digunakankannya market power dalam penetapan harga minyak goreng, dan secara spasial transmisi harga yang berjalan simetris menunjukkan
jika pasar minyak goreng di Surabaya dengan tujuh kota yaitu Medan, Pekanbaru, Palembang, Jakarta, Bandung, Pontianak dan Makasar berjalan efisien.
Kata kunci : minyak goreng, CPO, integrasi pasar, transmisi harga, kointegasi, VECM, ECM
I. PENDAHULUAN