Kesimpulan Saran KESIMPULAN DAN SARAN
Lampiran 1 : Uji Stationeritas Data AMERIKA SERIKAT
Level No
VARIABEL ADF STATISTIC
HASIL t-statistic
Probability 1
2 3
4 5
1 LKAS
-4.789422 0.0014
Stasioner 2
LPAS -2.838151
0.1901 Tidak Stasioner
3 LERIAS
-2.791947 0.2063
Tidak Stasioner 4
LPINTL -2.462931
0.3448 Tidak Stasioner
5 LPTHAI
-2.619605 0.2735
Tidak Stasioner 6
LYIAS -1.627218
0.7697 Tidak Stasioner
First Difference
No VARIABEL
ADF STATISTIC HASIL
t-statistic Probability
1 2
3 4
5 1
LKAS -10.31814
0.0000 Stasioner
2 LPAS
-5.830538 0.0000
Stasioner 3
LERIAS -6.346187
0.0000 Stasioner
4 LPINTL
-6.631563 0.0000
Stasioner 5
LPTHAI -4.914925
0.0010 Stasioner
6 LYIAS
-3.560432 0.0425
Stasioner
JEPANG
Level No
VARIABEL ADF STATISTIC
HASIL t-statistic
Probability 1
2 3
4 5
1 LKJ
-3.781364 0.0245
Stasioner 2
LPJ -2.923489
0.1630 Tidak Stasioner
3 LERIJ
-2.283797 0.4358
Tidak Stasioner 4
LPINTL -2.462931
0.3448 Tidak Stasioner
5 LPTHAI
-2.619605 0.2735
Tidak Stasioner 6
LYIJ -1.857092
0.6639 Tidak Stasioner
First Difference
No VARIABEL
ADF STATISTIC HASIL
t-statistic Probability
1 2
3 4
5 1
LKJ -10.21592
0.0000 Stasioner
2 LPJ
-5.870466 0.0000
Stasioner 3
LERIJ -6.991506
0.0000 Stasioner
4 LPINTL
-6.631563 0.0000
Stasioner 5
LPTHAI -4.914925
0.0010 Stasioner
6 LYIJ
-7.213083 0.0000
Stasioner
Lampiran 2: Uji Lag Optimal AMERIKA SERIKAT
Endogenous variables: LKAS LPAS LERIAS LPINTL LPTHAI Exogenous variables: C LYIAS
Date: 070711 Time: 21:28 Sample: 1996Q1 2010Q4
Included observations: 54 Lag
LogL LR
FPE AIC
SC HQ
123.2002 NA
1.04e-08 -4.192599
-3.824269 -4.050548
1 273.5789
261.7703 1.01e-10
-8.836255 -7.547098
-8.339078 2
287.0928 21.02163
1.59e-10 -8.410844
-6.200861 -7.558540
3 307.5141
27.98480 2.03e-10
-8.241264 -5.110455
-7.033834 4
337.5867 35.64162
1.93e-10 -8.429138
-4.377504 -6.866582
5 360.7447
23.15793 2.63e-10
-8.360914 -3.388453
-6.443231 6
396.1877 28.87950
2.66e-10 -8.747692
-2.854406 -6.474883
JEPANG
Endogenous variables: LKJ LPJ LERIJ LPINTL LPTHAI Exogenous variables: C LYIJ
Date: 070711 Time: 21:42 Sample: 1996Q1 2010Q4
Included observations: 54 Lag
LogL LR
FPE AIC
SC HQ
102.8767 NA
2.21e-08 -3.439877
-3.071546 -3.297826
1 248.6712
253.7905 2.53e-10
-7.913748 -6.624592
-7.416571 2
264.8155 25.11333
3.63e-10 -7.585759
-5.375776 -6.733455
3 275.9733
15.29038 6.51e-10
-7.073086 -3.942278
-5.865656 4
312.3780 43.14622
4.91e-10 -7.495480
-3.443846 -5.932923
5 332.2387
19.86078 7.57e-10
-7.305138 -2.332678
-5.387455 6
364.2223 26.06067
8.70e-10 -7.563788
-1.670502 -5.290979
Lampiran 3 : Pengujian Stabilitas VAR AMERIKA SERIKAT
Roots of Characteristic Polynomial Endogenous variables: LKAS LPAS LERIAS LPINTL LPTHAI
Exogenous variables: C LYIAS Lag specification: 1 1
Date: 070711 Time: 21:27
Root Modulus
0.924258 0.924258
0.616262 0.616262
0.441780 - 0.287317i 0.526992
0.441780 + 0.287317i 0.526992
0.041701 0.041701
No root lies outside the unit circle. VAR satisfies the stability condition.
JEPANG
Roots of Characteristic Polynomial Endogenous variables: LKJ LPJ LERIJ LPINTL LPTHAI
Exogenous variables: C LYIJ Lag specification: 1 1
Date: 070711 Time: 21:43
Root Modulus
0.830514 0.830514
0.793284 0.793284
0.485868 0.485868
0.342030 0.342030
0.151539 0.151539
No root lies outside the unit circle. VAR satisfies the stability condition.
Lampiran 4 : Pengujian Kointegrasi Summary AMERIKA SERIKAT
Date: 070711 Time: 21:29 Sample: 1996Q1 2010Q4
Included observations: 58 Series: LKAS LPAS LERIAS LPINTL LPTHAI
Exogenous series: LYIAS Warning: Rank Test critical values derived assuming no exogenous series
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
4 5
5 3
5 Max-Eig
1 1
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
254.6719 254.6719
258.6777 258.6777
258.9872 1
274.8890 276.4514
280.1473 280.2943
280.5613 2
286.3006 288.4526
291.8347 296.8600
297.0964 3
294.1822 298.4703
301.6884 306.8439
307.0800 4
300.4321 304.8099
308.0217 316.0573
316.0826 5
300.4370 310.4423
310.4423 319.4595
319.4595 Akaike Information Criteria by Rank rows and Model columns
-7.919719 -7.919719
-7.885437 -7.885437
-7.723698 1
-8.272035 -8.291429
-8.280942 -8.251527
-8.122803 2
-8.320711 -8.325951
-8.339126 -8.443448
-8.348150 3
-8.247661 -8.292080
-8.334084 -8.408409
-8.347586 4
-8.118349 -8.131376
-8.207645 -8.346804
-8.313193 5
-7.773690 -7.946287
-7.946287 -8.084810
-8.084810 Schwarz Criteria by Rank rows and Model columns
-7.031597 -7.031597
-6.819690 -6.819690
-6.480327 1
-7.028664 -7.012533
-6.859947 -6.795007
-6.524183 2
-6.722092 -6.656282
-6.562882 -6.596154
-6.394282 3
-6.293793 -6.231637
-6.202591 -6.170342
-6.038469 4
-5.809232 -5.680160
-5.720903 -5.717963
-5.648827 5
-5.109324 -5.104297
-5.104297 -5.065195
-5.065195
JEPANG
Date: 070711 Time: 21:44 Sample: 1996Q1 2010Q4
Included observations: 58 Series: LKJ LPJ LERIJ LPINTL LPTHAI
Exogenous series: LYIJ Warning: Rank Test critical values derived assuming no exogenous series
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
3 2
2 2
2 Max-Eig
1 1
1 1
1 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
239.0834 239.0834
240.9237 240.9237
245.0248 1
260.7165 261.8620
263.5398 263.5845
267.3021 2
271.9360 274.2320
275.9055 278.4669
281.7767 3
279.8514 282.6213
283.9577 287.1860
290.4741 4
285.0667 288.3658
288.3668 294.3545
296.5154 5
285.5688 289.3705
289.3705 298.6763
298.6763 Akaike Information Criteria by Rank rows and Model columns
-7.382188 -7.382188
-7.273231 -7.273231
-7.242236 1
-7.783328 -7.788344
-7.708269 -7.675328
-7.665588 2
-7.825380 -7.835586
-7.789846 -7.809203
-7.819888 3
-7.753497 -7.745564
-7.722681 -7.730553
-7.774968 4
-7.588507 -7.564338
-7.529889 -7.598432
-7.638461 5
-7.260992 -7.219673
-7.219673 -7.368149
-7.368149 Schwarz Criteria by Rank rows and Model columns
-6.494066 -6.494066
-6.207484 -6.207484
-5.998865 1
-6.539958 -6.509448
-6.287273 -6.218808
-6.066969 2
-6.226760 -6.165916
-6.013602 -5.961909
-5.866019 3
-5.799629 -5.685121
-5.591188 -5.492485
-5.465851 4
-5.279390 -5.113121
-5.043147 -4.969591
-4.974095 5
-4.596626 -4.377682
-4.377682 -4.348534
-4.348534
Lampiran 5 : Pengujian Kointegrasi Asumsi AMERIKA SERIKAT
Date: 070711 Time: 21:31 Sample adjusted: 1996Q3 2010Q4
Included observations: 58 after adjustments Trend assumption: No deterministic trend restricted constant
Series: LKAS LPAS LERIAS LPINTL LPTHAI 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
0.522273 97.15795
76.97277 0.0007
At most 1 0.303110
54.31239 54.07904
0.0476 At most 2
0.289180 33.36699
35.19275 0.0777
At most 3 0.196266
13.56947 20.26184
0.3201 At most 4
0.015350 0.897211
9.164546 0.9639
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
0.522273 42.84556
34.80587 0.0045
At most 1 0.303110
20.94539 28.58808
0.3432 At most 2
0.289180 19.79753
22.29962 0.1078
At most 3 0.196266
12.67226 15.89210
0.1502 At most 4
0.015350 0.897211
9.164546 0.9639
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
JEPANG
Date: 070711 Time: 21:46 Sample adjusted: 1996Q3 2010Q4
Included observations: 58 after adjustments Trend assumption: No deterministic trend
Series: LKJ LPJ LERIJ LPINTL LPTHAI 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
0.438084 69.06128
60.06141 0.0072
At most 1 0.265558
35.62992 40.17493
0.1332 At most 2
0.229780 17.72856
24.27596 0.2669
At most 3 0.039631
2.586001 12.32090
0.8961 At most 4
0.004140 0.240608
4.129906 0.6824
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
0.438084 33.43136
30.43961 0.0206
At most 1 0.265558
17.90136 24.15921
0.2797 At most 2
0.229780 15.14256
17.79730 0.1201
At most 3 0.039631
2.345393 11.22480
0.8817 At most 4
0.004140 0.240608
4.129906 0.6824
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 6 : Impulse Response Function IRF
AMERIKA SERIKAT
Response of LKAS: Period
LKAS LPAS
LERIAS LPINTL
LPTHAI 1
0.158016 2
0.064925 -0.03639
-0.00447 0.044085
-0.0264 3
0.032902 -0.01497
-0.0055 0.034186
-0.00817 4
0.012222 -0.00585
-0.00432 0.014453
-0.00071 5
0.002009 -0.00394
-0.00252 0.000375
0.000474 6
-0.00136 -0.00435
-0.00096 -0.00616
-0.00035 7
-0.00153 -0.0049
6.45E-05 -0.00772
-0.00124 8
-0.00078 -0.00502
0.000626 -0.00703
-0.00168 9
-9.40E-05 -0.00477
8.76E-04 -0.0058
-0.00175 10
0.00029 -0.00435
0.000953 -0.00475
-0.00161 11
0.000423 -0.00392
0.000948 -0.00402
-0.00142 12
0.000422 -0.00353
0.000911 -0.00355
-0.00124 13
0.000373 -0.0032
0.000862 -0.00323
-0.0011 14
0.000321 -0.00292
0.000811 -0.00298
-0.001 15
0.000279 -0.00269
0.00076 -0.00276
-0.00091 16
0.00025 -0.00248
0.00071 -0.00256
-0.00084 17
0.000228 -0.00229
0.000661 -0.00237
-0.00077 18
0.00021 -0.00211
0.000614 -0.00219
-0.00071 19
0.000195 -0.00195
0.000569 -0.00202
-0.00066 20
1.80E-04 -0.0018
0.000527 -0.00187
-0.00061 21
1.67E-04 -0.00167
0.000488 -0.00173
-0.00056 22
1.54E-04 -0.00154
0.000451 -0.0016
-0.00052 23
1.43E-04 -0.00142
0.000417 -0.00147
-0.00048 24
1.32E-04 -0.00131
0.000386 -0.00136
-0.00044 25
1.22E-04 -0.00121
0.000357 -0.00126
-0.00041 26
1.13E-04 -0.00112
0.00033 -0.00116
-0.00038 27
1.04E-04 -0.00104
0.000305 -0.00108
-3.50E-04 28
9.62E-05 -0.00096
0.000282 -0.00099
-3.24E-04 29
8.89E-05 -0.00089
0.00026 -0.00092
-2.99E-04 30
8.22E-05 -0.00082
2.41E-04 -0.00085
-2.77E-04 31
7.60E-05 -0.00076
2.22E-04 -0.00079
-2.56E-04 32
7.02E-05 -0.0007
2.06E-04 -0.00073
-2.36E-04 33
6.49E-05 -0.00065
1.90E-04 -0.00067
-2.18E-04 34
6.00E-05 -0.0006
1.76E-04 -0.00062
-2.02E-04 35
5.54E-05 -0.00055
1.62E-04 -0.00057
-1.87E-04 36
5.12E-05 -0.00051
1.50E-04 -0.00053
-1.72E-04 37
4.74E-05 -0.00047
1.39E-04 -0.00049
-1.59E-04 38
4.38E-05 -0.00044
1.28E-04 -0.00045
-1.47E-04 39
4.05E-05 -0.0004
1.18E-04 -0.00042
-1.36E-04 40
3.74E-05 -0.00037
1.09E-04 -0.00039
-1.26E-04 41
3.46E-05 -0.00034
1.01E-04 -0.00036
-1.16E-04 42
3.19E-05 -3.18E-04
9.35E-05 -0.00033
-1.07E-04 43
2.95E-05 -2.94E-04
8.64E-05 -3.05E-04
-9.94E-05 44
2.73E-05 -2.72E-04
7.99E-05 -2.82E-04
-9.18E-05 45
2.52E-05 -2.51E-04
7.38E-05 -2.61E-04
-8.49E-05 46
2.33E-05 -2.32E-04
6.82E-05 -2.41E-04
-7.84E-05 47
2.15E-05 -2.15E-04
6.31E-05 -2.23E-04
-7.25E-05 48
1.99E-05 -1.98E-04
5.83E-05 -2.06E-04
-6.70E-05 49
1.84E-05 -1.83E-04
5.39E-05 -1.90E-04
-6.19E-05 50
1.70E-05 -1.69E-04
4.98E-05 -1.76E-04
-5.72E-05 51
1.57E-05 -1.57E-04
4.60E-05 -1.62E-04
-5.29E-05 52
1.45E-05 -1.45E-04
4.25E-05 -1.50E-04
-4.89E-05 53
1.34E-05 -1.34E-04
3.93E-05 -1.39E-04
-4.52E-05 54
1.24E-05 -1.24E-04
3.63E-05 -1.28E-04
-4.18E-05 55
1.15E-05 -1.14E-04
3.36E-05 -1.19E-04
-3.86E-05 56
1.06E-05 -1.06E-04
3.10E-05 -1.10E-04
-3.57E-05 57
9.80E-06 -9.77E-05
2.87E-05 -1.01E-04
-3.30E-05 58
9.06E-06 -9.03E-05
2.65E-05 -9.36E-05
-3.05E-05 59
8.37E-06 -8.34E-05
2.45E-05 -8.65E-05
-2.82E-05 60
7.74E-06 -7.71E-05
2.27E-05 -7.99E-05
-2.60E-05
JEPANG
Response of LKJ: Period
LKJ LPJ
LERIJ LPINTL
LPTHAI
1 0.192939
2 0.115289
0.036746 0.011817
0.022478 0.018064
3 0.075578
0.032524 0.012926
0.027923 0.016395
4 0.051961
0.022905 0.011962
0.022061 0.012412
5 0.036327
0.014353 0.010628
0.013695 0.00888
6 0.025339
0.007812 0.009306
0.006301 0.006125
7 0.017406
0.003101 8.09E-03
0.000712 0.004061
8 0.011634
-0.00015 0.007002
-0.00317 0.002548
9 7.44E-03
-0.00231 0.006039
-0.00567 0.001458
10 0.004429
-0.00365 0.005193
-0.00714 0.000688
11 0.002289
-0.00441 0.004453
-0.00787 0.000155
12 0.0008
-0.00476 0.00381
-0.00807 -0.0002
13 -0.00021
-0.00482 0.003253
-0.00793 -4.30E-04
14 -0.00087
-0.00469 0.002773
-0.00755 -0.00057
15 -0.00127
-0.00444 0.002359
-0.00704 -0.00063
16 -0.00149
-0.00412 0.002003
-0.00646 -0.00066
17 -0.00158
-0.00377 0.001699
-0.00585 -0.00065
18 -0.00159
-0.0034 0.001439
-0.00524 -0.00062
19 -0.00154
-0.00304 0.001217
-0.00466 -0.00058
20 -0.00145
-0.0027 0.001029
-0.00411 -0.00054
21 -0.00134
-0.00238 0.000868
-0.0036 -0.00049
22 -0.00122
-0.00208 0.000732
-0.00315 -0.00044
23 -0.0011
-0.00182 0.000617
-0.00273 -0.00039
24 -0.00098
-0.00158 0.000519
-0.00237 -0.00034
25 -0.00087
-0.00136 0.000437
-0.00204 -0.0003
26 -0.00077
-0.00117 0.000367
-0.00175 -0.00026
27 -0.00067
-0.00101 0.000308
-0.00151 -0.00023
28 -5.84E-04
-0.00087 0.000259
-0.00129 -0.0002
29 -5.07E-04
-0.00074 0.000217
-0.0011 -0.00017
30 -4.38E-04
-0.00063 0.000182
-0.00094 -0.00015
31 -3.77E-04
-0.00054 0.000153
-0.0008 -0.00013
32 -3.24E-04
-0.00046 0.000128
-0.00068 -0.00011
33 -2.78E-04
-0.00039 0.000107
-0.00057 -9.22E-05
34 -2.37E-04
-0.00033 8.96E-05
-0.00049 -7.86E-05
35 -2.02E-04
-0.00028 7.49E-05
-0.00041 -6.69E-05
36 -1.72E-04
-0.00024 6.27E-05
-0.00035 -5.68E-05
37 -1.46E-04
-0.0002 5.24E-05
-0.00029 -4.82E-05
38 -1.24E-04
-0.00017 4.38E-05
-0.00025 -4.09E-05
39 -1.05E-04
-0.00014 3.66E-05
-0.00021 -3.46E-05
40 -8.92E-05
-0.00012 3.06E-05
-0.00018 -2.92E-05
41 -7.54E-05
-0.0001 2.55E-05
-0.00015 -2.47E-05
42 -6.37E-05
-8.44E-05 2.13E-05
-0.00012 -2.08E-05
43 -5.37E-05
-7.10E-05 1.78E-05
-0.0001 -1.75E-05
44 -4.53E-05
-5.96E-05 1.48E-05
-8.75E-05 -1.48E-05
45 -3.82E-05
-5.00E-05 1.24E-05
-7.34E-05 -1.24E-05
46 -3.21E-05
-4.20E-05 1.03E-05
-6.15E-05 -1.04E-05
47 -2.70E-05
-3.52E-05 8.60E-06
-5.16E-05 -8.77E-06
48 -2.27E-05
-2.95E-05 7.17E-06
-4.32E-05 -7.36E-06
49 -1.90E-05
-2.47E-05 5.98E-06
-3.62E-05 -6.18E-06
50 -1.60E-05
-2.07E-05 4.98E-06
-3.03E-05 -5.18E-06
51 -1.34E-05
-1.73E-05 4.15E-06
-2.53E-05 -4.34E-06
52 -1.12E-05
-1.45E-05 3.46E-06
-2.12E-05 -3.64E-06
53 -9.42E-06
-1.21E-05 2.88E-06
-1.77E-05 -3.04E-06
54 -7.89E-06
-1.01E-05 2.40E-06
-1.48E-05 -2.55E-06
55 -6.60E-06
-8.45E-06 2.00E-06
-1.24E-05 -2.13E-06
56 -5.53E-06
-7.06E-06 1.66E-06
-1.03E-05 -1.78E-06
57 -4.62E-06
-5.90E-06 1.38E-06
-8.62E-06 -1.49E-06
58 -3.86E-06
-4.92E-06 1.15E-06
-7.20E-06 -1.25E-06
59 -3.23E-06
-4.11E-06 9.59E-07
-6.00E-06 -1.04E-06
60 -2.70E-06
-3.43E-06 7.98E-07
-5.01E-06 -8.70E-07
Lampiran 7 : Forecast Error Variance Decomposition FEVD
AMERIKA SERIKAT
Variance Decomposition of LKAS:
Period S.E.
LKAS LPAS
LERIAS LPINTL
LPTHAI 1
0.158016 100.0000
0.000000 0.000000
0.000000 0.000000
2 0.182123
87.98711 3.992095
0.060337 5.859443
2.101016 3
0.189052 84.68386
4.331630 0.140598
8.707553 2.136359
4 0.190138
84.13279 4.376903
0.190701 9.186181
2.113427 5
0.190207 84.08296
4.416561 0.208059
9.179910 2.112516
6 0.190364
83.94942 4.461406
0.210279 9.269533
2.109362 7
0.190594 83.75386
4.516771 0.209784
9.411078 2.108506
8 0.190799
83.57498 4.576243
0.210408 9.526611
2.111754 9
0.190957 83.43691
4.631073 0.212163
9.603235 2.116618
10 0.191075
83.33416 4.677238
0.214386 9.653121
2.121096 11
0.191166 83.25583
4.714747 0.216644
9.688187 2.124595
12 0.191238
83.19355 4.745168
0.218749 9.715312
2.127222 13
0.191297 83.14221
4.770154 0.220646
9.737757 2.129231
14 0.191347
83.09894 4.790980
0.222328 9.756925
2.130826 15
0.191390 83.06210
4.808534 0.223806
9.773428 2.132137
16 0.191426
83.03062 4.823431
0.225095 9.787612
2.133237 17
0.191458 83.00374
4.836116 0.226212
9.799756 2.134172
18 0.191484
82.98080 4.846931
0.227176 9.810123
2.134969 19
0.191507 82.96123
4.856157 0.228005
9.818963 2.135648
20 0.191526
82.94453 4.864029
0.228716 9.826499
2.136228 21
0.191543 82.93028
4.870747 0.229325
9.832927 2.136722
22 0.191557
82.91812 4.876481
0.229846 9.838413
2.137144 23
0.191569 82.90773
4.881376 0.230291
9.843095 2.137504
24 0.191579
82.89887 4.885556
0.230672 9.847094
2.137811 25
0.191588 82.89130
4.889125 0.230997
9.850509 2.138073
26 0.191596
82.88483 4.892174
0.231275 9.853425
2.138297 27
0.191602 82.87931
4.894777 0.231512
9.855916 2.138488
28 0.191607
82.87459 4.897001
0.231715 9.858044
2.138651 29
0.191612 82.87056
4.898900 0.231888
9.859861 2.138791
30 0.191616
82.86712 4.900522
0.232036 9.861413
2.138910 31
0.191620 82.86418
4.901908 0.232163
9.862739 2.139012
32 0.191622
82.86167 4.903092
0.232271 9.863872
2.139099 33
0.191625 82.85952
4.904103 0.232363
9.864839 2.139173
34 0.191627
82.85769 4.904966
0.232442 9.865666
2.139236 35
0.191629 82.85612
4.905704 0.232509
9.866372 2.139290
36 0.191630
82.85479 4.906334
0.232567 9.866975
2.139337 37
0.191632 82.85365
4.906873 0.232616
9.867490 2.139376
38 0.191633
82.85267 4.907333
0.232658 9.867930
2.139410 39
0.191634 82.85184
4.907725 0.232694
9.868306 2.139439
40 0.191635
82.85112 4.908061
0.232724 9.868627
2.139463 41
0.191635 82.85052
4.908348 0.232751
9.868901 2.139484
42 0.191636
82.85000 4.908593
0.232773 9.869135
2.139502 43
0.191637 82.84955
4.908802 0.232792
9.869336 2.139518
44 0.191637
82.84917 4.908980
0.232808 9.869507
2.139531 45
0.191637 82.84885
4.909133 0.232822
9.869653 2.139542
46 0.191638
82.84857 4.909263
0.232834 9.869777
2.139552 47
0.191638 82.84834
4.909375 0.232844
9.869884 2.139560
48 0.191638
82.84814 4.909470
0.232853 9.869975
2.139567 49
0.191638 82.84796
4.909551 0.232860
9.870053 2.139573
50 0.191639
82.84782 4.909621
0.232867 9.870119
2.139578 51
0.191639 82.84769
4.909680 0.232872
9.870176 2.139582
52 0.191639
82.84758 4.909731
0.232877 9.870224
2.139586 53
0.191639 82.84749
4.909774 0.232881
9.870266 2.139589
54 0.191639
82.84741 4.909811
0.232884 9.870301
2.139592 55
0.191639 82.84734
4.909843 0.232887
9.870332 2.139594
56 0.191639
82.84729 4.909870
0.232889 9.870357
2.139596 57
0.191639 82.84724
4.909893 0.232892
9.870379 2.139598
58 0.191639
82.84720 4.909912
0.232893 9.870398
2.139599 59
0.191639 82.84716
4.909929 0.232895
9.870414 2.139601
60 0.191639
82.84713 4.909944
0.232896 9.870428
2.139602
JEPANG
Variance Decomposition of LKJ:
Period S.E.
LKJ LPJ
LERIJ LPINTL
LPTHAI 1
0.192939 100.0000
0.000000 0.000000
0.000000 0.000000
2 0.229866
95.60641 2.555435
0.264290 0.956281
0.617583 3
0.246625 92.44555
3.959097 0.504303
2.112603 0.978443
4 0.254622
90.89436 4.523524
0.693840 2.732693
1.155583 5
0.258335 90.27718
4.703095 0.843275
2.935702 1.240744
6 0.260008
90.06927 4.733058
0.960556 2.956791
1.280325 7
0.260766 89.99155
4.719704 1.051239
2.940359 1.297145
8 0.261151
89.92488 4.705833
1.120032 2.946403
1.302847 9
0.261403 89.83293
4.704573 1.171246
2.987799 1.303452
10 0.261616
89.71538 4.716397
1.208735 3.057467
1.302021 11
0.261819 89.58370
4.737451 1.235790
3.143027 1.300034
12 0.262016
89.45022 4.763304
1.255086 3.233242
1.298143 13
0.262201 89.32427
4.790368 1.268715
3.320060 1.296583
14 0.262368
89.21146 4.816222
1.278264 3.398665
1.295392 15
0.262515 89.11428
4.839482 1.284910
3.466799 1.294531
16 0.262639
89.03307 4.859536
1.289511 3.523956
1.293931 17
0.262742 88.96681
4.876284 1.292680
3.570702 1.293527
18 0.262826
88.91379 4.889931
1.294854 3.608165
1.293263 19
0.262893 88.87204
4.900834 1.296340
3.637696 1.293096
20 0.262945
88.83960 4.909404
1.297352 3.660654
1.292994 21
0.262986 88.81468
4.916051 1.298040
3.678295 1.292935
22 0.263017
88.79573 4.921148
1.298506 3.691716
1.292902 23
0.263041 88.78143
4.925019 1.298821
3.701839 1.292886
24 0.263059
88.77074 4.927934
1.299034 3.709417
1.292879 25
0.263072 88.76278
4.930112 1.299177
3.715052 1.292878
26 0.263082
88.75690 4.931730
1.299273 3.719217
1.292880 27
0.263090 88.75257
4.932924 1.299338
3.722280 1.292883
28 0.263095
88.74941 4.933802
1.299381 3.724522
1.292887 29
0.263099 88.74710
4.934443 1.299410
3.726156 1.292890
30 0.263102
88.74543 4.934910
1.299429 3.727342
1.292892 31
0.263104 88.74421
4.935249 1.299442
3.728200 1.292895
32 0.263106
88.74334 4.935494
1.299451 3.728819
1.292897 33
0.263107 88.74271
4.935671 1.299456
3.729264 1.292898
34 0.263107
88.74226 4.935798
1.299460 3.729583
1.292899 35
0.263108 88.74194
4.935888 1.299463
3.729812 1.292900
36 0.263108
88.74171 4.935953
1.299464 3.729975
1.292901 37
0.263109 88.74154
4.936000 1.299466
3.730091 1.292901
38 0.263109
88.74143 4.936033
1.299466 3.730173
1.292902 39
0.263109 88.74134
4.936056 1.299467
3.730232 1.292902
40 0.263109
88.74128 4.936073
1.299467 3.730273
1.292902 41
0.263109 88.74124
4.936085 1.299467
3.730303 1.292903
42 0.263109
88.74121 4.936093
1.299467 3.730324
1.292903 43
0.263109 88.74119
4.936099 1.299468
3.730338 1.292903
44 0.263109
88.74118 4.936103
1.299468 3.730349
1.292903 45
0.263109 88.74117
4.936106 1.299468
3.730356 1.292903
46 0.263109
88.74116 4.936108
1.299468 3.730361
1.292903 47
0.263109 88.74116
4.936110 1.299468
3.730365 1.292903
48 0.263109
88.74115 4.936111
1.299468 3.730367
1.292903 49
0.263109 88.74115
4.936111 1.299468
3.730369 1.292903
50 0.263109
88.74115 4.936112
1.299468 3.730370
1.292903 51
0.263109 88.74115
4.936112 1.299468
3.730371 1.292903
52 0.263109
88.74115 4.936112
1.299468 3.730371
1.292903 53
0.263109 88.74114
4.936113 1.299468
3.730372 1.292903
54 0.263109
88.74114 4.936113
1.299468 3.730372
1.292903 55
0.263109 88.74114
4.936113 1.299468
3.730372 1.292903
56 0.263109
88.74114 4.936113
1.299468 3.730373
1.292903 57
0.263109 88.74114
4.936113 1.299468
3.730373 1.292903
58 0.263109
88.74114 4.936113
1.299468 3.730373
1.292903 59
0.263109 88.74114
4.936113 1.299468
3.730373 1.292903
60 0.263109
88.74114 4.936113
1.299468 3.730373
1.292903
Lampiran 8 : Vector Error Correction Estimates
AMERIKA SERIKAT
Vector Error Correction Estimates Date: 070711 Time: 21:39
Sample adjusted: 1996Q3 2010Q4 Included observations: 58 after adjustments
Standard errors in t-statistics in [ ] Cointegrating Eq:
CointEq1 CointEq2
LKAS-1 1.000000
0.000000 LPAS-1
0.000000 1.000000
LERIAS-1 -1.699716
0.223347 0.41233
0.17342 [-4.12227]
[ 1.28788] LPINTL-1
8.201205 -5.282777
1.73894 0.73139
[ 4.71622] [-7.22294]
LPTHAI-1 8.989379
-4.424282 1.78747
0.75180 [ 5.02911]
[-5.88490] C
-9.899612 -11.55959
10.1347 4.26263
[-0.97680] [-2.71184]
Error Correction: DLKAS
DLPAS DLERIAS
DLPINTL DLPTHAI
CointEq1 -0.106141
-0.048286 0.325765
-0.084088 0.027997
0.09774 0.03818
0.07062 0.10161
0.03630 [-1.08594]
[-1.26455] [ 4.61278]
[-0.82756] [ 0.77136]
CointEq2 -0.330446
-0.213451 0.561979
-0.138307 0.190178
0.18277 0.07140
0.13206 0.19000
0.06787 [-1.80803]
[-2.98947] [ 4.25560]
[-0.72794] [ 2.80210]
DLKAS-1 -0.301777
0.048275 -0.143893
0.081611 -0.027145
0.14078 0.05500
0.10172 0.14635
0.05228 [-2.14368]
[ 0.87778] [-1.41465]
[ 0.55765] [-0.51926]
DLPAS-1 -0.687530
-0.184170 -0.175803
0.386364 -0.200555
0.32120 0.12548
0.23208 0.33391
0.11928 [-2.14052]
[-1.46769] [-0.75751]
[ 1.15709] [-1.68143]
DLERIAS-1 -0.036457
-0.081514 0.335675
-0.119330 0.030331
0.16778 0.06555
0.12123 0.17442
0.06231 [-0.21729]
[-1.24360] [ 2.76894]
[-0.68415] [ 0.48681]
DLPINTL-1 -0.615284
-0.094003 0.216269
0.303961 -0.115470
0.43096 0.16836
0.31139 0.44801
0.16004 [-1.42772]
[-0.55834] [ 0.69454]
[ 0.67846] [-0.72153]
DLPTHAI-1 -0.426667
-0.265531 -0.476967
0.756701 -0.397680
0.40982 0.16010
0.29611 0.42604
0.15219 [-1.04111]
[-1.65848] [-1.61076]
[ 1.77613] [-2.61312]
LYIAS -0.272587
-0.134454 0.758312
-0.192425 0.089071
0.22396 0.08749
0.16182 0.23283
0.08317 [-1.21712]
[-1.53670] [ 4.68610]
[-0.82648] [ 1.07098]
R-squared 0.254361
0.739837 0.333780
0.092014 0.762620
Adj. R-squared 0.149972
0.703414 0.240509
-0.035104 0.729387
Sum sq. resids 1.571031
0.239777 0.820192
1.697857 0.216646
S.E. equation 0.177259
0.069250 0.128077
0.184275 0.065825
F-statistic 2.436656
20.31245 3.578611
0.723849 22.94755
Log likelihood 22.35417
76.86774 41.20272
20.10277 79.80966
Akaike AIC -0.494971
-2.374749 -1.144921
-0.417337 -2.476195
Schwarz SC -0.210772
-2.090550 -0.860722
-0.133138 -2.191996
Mean dependent 0.001552
0.013103 0.002586
0.020138 -0.015469
S.D. dependent 0.192261
0.127158 0.146964
0.181123 0.126536
Determinant resid covariance dof adj. 6.92E-11
Determinant resid covariance 3.30E-11
Log likelihood 288.4526
Akaike information criterion -8.153537
Schwarz criterion -6.306244
JEPANG
Vector Error Correction Estimates Date: 070711 Time: 21:52
Sample adjusted: 1996Q3 2010Q4 Included observations: 58 after adjustments
Standard errors in t-statistics in [ ] Cointegrating Eq:
CointEq1 LKJ-1
1.000000 LPJ-1
-0.279130 1.00086
[-0.27889] LERIJ-1
-0.540156 0.36001
[-1.50038] LPINTL-1
-11.84866 1.70909
[-6.93273] LPTHAI-1
-11.91706 1.78609
[-6.67214] C
82.27505 34.1306
[ 2.41059] Error Correction:
DLKJ DLPJ
DLERIJ DLPINTL
DLPTHAI CointEq1
-0.067243 -0.021101
0.116502 -0.025145
0.064687 0.05803
0.02630 0.03909
0.05345 0.01898
[-1.15877] [-0.80218]
[ 2.98068] [-0.47041]
[ 3.40856] DLKJ-1
-0.355829 0.010739
0.182085 -0.003617
-0.002317 0.12462
0.05649 0.08394
0.11480 0.04076
[-2.85520] [ 0.19010]
[ 2.16921] [-0.03151]
[-0.05685] DLPJ-1
0.318830 -0.226170
0.318705 0.083239
-0.059029 0.30830
0.13975 0.20765
0.28398 0.10082
[ 1.03416] [-1.61838]
[ 1.53479] [ 0.29311]
[-0.58547] DLERIJ-1
-0.112236 -0.027624
0.029860 -0.140193
0.045456 0.18607
0.08434 0.12533
0.17139 0.06085
[-0.60320] [-0.32751]
[ 0.23826] [-0.81797]
[ 0.74701] DLPINTL-1
-0.315861 0.372903
1.013692 0.070455
-0.082151 0.49915
0.22626 0.33620
0.45978 0.16324
[-0.63280] [ 1.64810]
[ 3.01515] [ 0.15324]
[-0.50326] DLPTHAI-1
0.182421 -0.388785
0.108643 0.454169
-0.230233 0.35992
0.16315 0.24242
0.33153 0.11771
[ 0.50684] [-2.38299]
[ 0.44816] [ 1.36991]
[-1.95600]
LYIJ 0.576622
0.180716 -0.996920
0.216459 -0.553600
0.49619 0.22492
0.33421 0.45706
0.16227 [ 1.16209]
[ 0.80346] [-2.98292]
[ 0.47359] [-3.41154]
R-squared 0.239252
0.660712 0.226284
0.073349 0.760678
Adj. R-squared 0.149753
0.620795 0.135258
-0.035669 0.732522
Sum sq. resids 2.042215
0.419628 0.926481
1.732761 0.218418
S.E. equation 0.200109
0.090708 0.134782
0.184325 0.065442
F-statistic 2.673220
16.55243 2.485936
0.672812 27.01699
Log likelihood 14.74740
60.63764 37.66889
19.51265 79.57335
Akaike AIC -0.267152
-1.849574 -1.057548
-0.431471 -2.502529
Schwarz SC -0.018477
-1.600900 -0.808874
-0.182797 -2.253855
Mean dependent 0.020517
0.013966 -0.005345
0.020138 -0.015469
S.D. dependent 0.217017
0.147303 0.144941
0.181123 0.126536
Determinant resid covariance dof adj. 1.57E-10
Determinant resid covariance 8.24E-11
Log likelihood 261.8620
Akaike information criterion -7.615930
Schwarz criterion -6.159410
ABSTRACT
TITIEN KRISTININGSIH . Effect of Exchange Rate on Natural Rubber
Exports to United States and Japan. Under the Supervision of DEDI BUDIMAN
HAKIM and YUSMAN SYAUKAT.
Natural rubber is one of prospective tropical plants for industry commodity product. This study examines the effect of the exchange rate on natural
rubber exports to the United States and Japan quarterly over the period of 1996- 2010. This study then presents how the exchange rate effects the natural rubber
exports in the short and long term. All variables used in this study are stationary at first difference and there is cointegration among variables, therefore we used
VECM method. Using the VECM, we find that export volume and export price affects the natural rubber exports to the United States in the short term. Export
volume affect the natural rubber exports to Japan, but export price, real exchange rate, international price, competitor price, and real GDP does not. In the long
term, real exchange rate, international price and competitor price significantly affects natural rubber exports to the United States. The main conclusion is that
the exchange rate has no significant effect on natural rubber exports to the United States and Japan in the short term, but has significant effect on natural rubber
exports to United States in the long term.
Keywords: exchange rate,export, natural rubber, VAR, VECM