Analisis Permintaan Uang Giral di Indonesian Metode Vector Autoregression (VAR)

   esia/Perkembangan/

  http://www.bps.go.id/

  LAMPIRAN 1

Gambaran Makro Ekonomi

  LAMPIRAN 2

  t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.456831 0.0102 Test critical values: 1% level -4.467895

  5% level -3.644963 10% level -3.261452 Variable Coefficnt Std. Error t-Statistic Prob.

  D(Y(-1)) -1.671807 0.375111 -4.456831 0.0003 D(Y(-1),2) 0.447621 0.247908 1.805590 0.0887

  C -18.66320 9.983700 -1.869367 0.0789 @TREND(1988) 3.644977 0.948199 3.844106 0.0013

  R-squared 0.628309 Mean dependent var 2.809048

  Adjusted R-squared 0.562717 S.D. dependent var 27.49987 S.E. of regression 18.18494 Akaike info criterion 8.808708 Sum squared resid 5621.765 Schwarz criterion 9.007665 Log likelihood -88.49143 F-statistic 9.578989 Durbin-Watson stat 1.957484 Prob(F-statistic) 0.000623

  LAMPIRAN 3 Tabel 4.6. Unit Root Test dan Derajat Integrasi dengan ADF Test pada X1

  t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.858913 0.0357 Test critical values: 1% level -4.532598

  5% level -3.673616 10% level -3.277364 Variable Coefficient Std. Error t-Statistic Prob.

  D(X1(-1)) -0.967415 0.250696 -3.858913 0.0014 C -246495.4 135316.2 -1.821625 0.0873

  @TREND(1988) 46600.21 13985.05 3.332145 0.0042 R-squared 0.488681 Mean dependent var 50770.47 Adjusted R-squared 0.424766 S.D. dependent var 336635.2 S.E. of regression 255318.1 Akaike info criterion 27.88235 Sum squared resid

  1.04E+12 Schwarz criterion 28.03147 Log likelihood -261.8823 F-statistic 7.645817 Durbin-Watson stat 2.002507 Prob(F-statistic) 0.004672

  LAMPIRAN 4 Table 4.7 Unit Root Test dan Derajat Integrasi dengan ADF Test pada X

  2

  t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.930755 0.0008 Test critical values: 1% level -3.788030

  5% level -3.012363 10% level -2.646119 Variable Coefficnt Std. Error t-Statistic Prob.

  D(X

  2

  (-1)) -1.434375 0.290904 -4.930755 0.0001 D(X

  2

  (-1),2) 0.331420 0.191004 1.735147 0.0998 C -0.239051 0.796058 -0.300294 0.7674

  R-squared 0.648332 Mean dependent var 0.416667 Adjusted R-squared 0.609257 S.D. dependent var 5.763763 S.E. of regression 3.602895 Akaike info criterion 5.532916 Sum squared resid 233.6553 Schwarz criterion 5.682133 Log likelihood -55.09562 F-statistic 16.59229 Durbin-Watson stat 1.309007 Prob(F-statistic) 0.000082

  LAMPIRAN 5 Table 4.8

  3 Unit Root Test dan Derajat Integrasi dengan ADF Test pada X

  t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.954647 0.0007 Test critical values: 1% level -3.769597

  5% level -3.004861 10% level -2.642242 Variable Coefficnt Std. Error t-Statistic Prob.

3 D(X (-1)) -1.101967 0.222411 -4.954647 0.0001

  C -0.553301 1.408635 -0.392792 0.6986 R-squared 0.551051 Mean dependent var 0.022727 Adjusted R-squared 0.528604 S.D. dependent var 9.590306 S.E. of regression 6.584540 Akaike info criterion 6.693834 Sum squared resid 867.1233 Schwarz criterion 6.793020 Log likelihood -71.63217 F-statistic 24.54853 Durbin-Watson stat 2.071238 Prob(F-statistic) 0.000076

  LAMPIRAN 6 Tabel 4.9 Uji Kointegrasi Augmented Dickey-Fuller Variable Coefficnt Std. Error t-Statistic Prob.

  C 8.458948 12.65374 0.668494 0.5119

  5.30E-05

  2.23E-06 23.77497 0.0000

  1 X

  2 X 0.855586 1.195286 0.715800 0.4828

  3 X 0.552747 0.749979 0.737017 0.4701

  R-squared 0.982912 Mean dependent var 117.2596 Adjusted R-squared 0.980214 S.D. dependent var 119.7968 S.E. of regression 16.85111 Akaike info criterion 8.643481 Sum squared resid 5395.238 Schwarz criterion 8.840958

• Log likelihood 95.40003 F-statistic 364.2920 Durbin-Watson stat 1.848697 Prob(F-statistic) 0.000000

  LAMPIRAN 7 Table 4.10 Unit Root Test dan Derajat Integrasi dengan ADF Test setelah uji kointegrasi

  t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.928478 0.0000 Test critical values: 1% level -3.831511

  5% level -3.029970 10% level -2.655194 Variable Coefficnt Std. Error t-Statistic Prob.

• D(RESID01(-1)) 1.404387 0.202698 -6.928478 0.0000
• C 0.602039 4.476444 -0.134490 0.8946
• R-squared 0.738477 Mean dependent var 2.446852

Adjusted R-squared 0.723093 S.D. dependent var 37.01464 S.E. of regression 19.47782 Akaike info criterion 8.875730 Sum squared resid 6449.553 Schwarz criterion 8.975145

• Log likelihood 82.31944 F-statistic 48.00381 Durbin-Watson stat 1.118098 Prob(F-statistic) 0.000002

  LAMPIRAN 8

Tabel 4.11 Hasil estimasi Vector Autoregression

  Cointegrating Eq: CointEq1 X1(-1) X2(-1) X3(-1) Y(-1) 1.000000 -5.38E-05 -4.079475 0.822571 (3.6E-06) (0.96127) (0.67202) [-15.1000] [-4.24386] [ 1.22402]

  C -2.477140

Error Correction: D(Y) D(X1) D(X2) D(X3)

CointEq1 -0.783914 420.8781 0.167342 0.072777 (0.28442) (3399.29) (0.06298) (0.10522)

  [-2.75619] [ 0.12381] [ 2.65696] [ 0.69169] D(Y(-1)) 0.501110 6600.035 -0.077188 0.020467 (0.24336) (2908.62) (0.05389) (0.09003) [ 2.05909] [ 2.26913] [-1.43230] [ 0.22734]

D(X1(-1))

2.89E-05 0.673073

  4.86E-07 -5.24E-06 (1.3E-05) (0.15751) (2.9E-06) (4.9E-06) [ 2.19353] [ 4.27317] [ 0.16647] [-1.07460] D(X2(-1)) -2.009141 -9761.963 0.172169 0.680740 (1.09341) (13068.1) (0.24213) (0.40449) [-1.83750] [-0.74701] [ 0.71107] [ 1.68296] D(X3(-1)) 1.692336 29294.93 -0.264995 -0.404234 (0.71510) (8546.71) (0.15835) (0.26454) [ 2.36656] [ 3.42763] [-1.67344] [-1.52806]

  C 2.197170 49039.27 0.510219 0.718540 (5.19744) (62118.2) (1.15093) (1.92271) [ 0.42274] [ 0.78945] [ 0.44331] [ 0.37371] R-squared 0.601328 0.776195 0.343722 0.264902

  Adj. R-squared 0.476743 0.706256 0.138635 0.035184 Sum sq. resids 4706.730

  6.72E+11 230.8016 644.1196 S.E. equation 17.15140 204988.4 3.798039 6.344878 F-statistic 4.826648 11.09817 1.675980 1.153160 Log likelihood -90.23941 -296.7892 -57.07232 -68.36191 Akaike AIC 8.749038 27.52629 5.733848 6.760174 Schwarz SC 9.046595 27.82385 6.031405 7.057731 Mean dependent 18.29832 337588.4 -0.478636 -0.500000 S.D. dependent 23.71058 378220.3 4.092283 6.459530 Determinant resid covariance (dof adj.)

  3.74E+15 Determinant resid covariance

  1.05E+15 Log likelihood -505.2850 Akaike information criterion 48.48046 Schwarz criterion 49.86906

  LAMPIRAN 9

Tabel 4.12

  

Impulse Response Function Y

  Response of periode

  1

  2

  X X

  X 1 17.15140 0.000000 0.000000 0.000000 2 16.30414 12.23053 4.289410 5.887835 3 21.02779 19.97684 10.37603 9.566599 4 27.51858 23.87954 10.20515 13.89380 5 33.68891 27.88921 10.74013 18.89028 6 38.05935 32.90979 13.33083 22.52537 7 41.87226 37.32088 15.22903 25.61876

  3 Y

  8 45.92196 40.80215 16.24172 28.80160 9 49.64461 44.06580 17.35627 31.75905 10 52.82236 47.24553 18.63266 34.32651

  LAMPIRAN 10

Tabel 4.13

  Impulse Response Function X

  1 Respon

  se of

  X

  1

  : Period Y

  X

  1 X

  2 X

  3

  1 -15500.49 204401.5 0.000000 0.000000 2 145412.1 303029.5 -18611.31 166606.4 3 295236.1 414267.1 42736.19 269096.1 4 390575.7 536785.8 96176.25 349735.5 5 492139.0 634881.1 130083.6 432040.1 6 591652.1 720073.0 157849.7 509874.3 7 678136.4 802450.6 188839.8 579394.7 8 755033.7 878934.8 218672.6 641345.5 9 826530.0 947049.9 243522.8 698423.3 10 892538.3 1008708. 265684.8 751102.6

  LAMPIRAN 11

Tabel 4.14

  Impulse Response Function X

  2

  LAMPIRAN 12

  Response of

  X

  2

  : Perio d Y

  X

  1 X

  2 X

  3

  1 2.080969 -0.684209 3.102664 0.000000 2 2.377086 -1.895688 1.445711 -0.715779 3 2.499888 -2.375744 0.671271 -0.219222 4 2.107807 -2.147541 1.371606 -0.502492 5 1.688640 -2.157177 1.447907 -0.841312 6 1.675338 -2.477303 1.126374 -0.881039 7 1.625052 -2.657953 1.038959 -0.929694 8 1.439750 -2.708846 1.092279 -1.060807 9 1.295575 -2.802791 1.064731 -1.174472 10 1.213475 -2.929043 0.990881 -1.246974

  

Tabel 4.15

Impulse Response Function X3

  ResponsX

  3

  : Period Y

  X

1 X

  2 X

  3

  1 2.512156 -1.422755 0.573660 5.620785 2 4.187017 -3.067062 1.567062 3.685155 3 3.013007 -3.411311 0.272510 3.436913 4 2.694824 -3.691130 0.476523 3.326487 5 2.198037 -3.933077 0.574557 2.833737 6 1.861726 -4.326203 0.296722 2.574983 7 1.622770 -4.678143 0.132847 2.376734 8 1.315438 -4.918646 0.084098 2.135772 9 1.028998 -5.149584 0.010633 1.910874 10 0.800199 -5.389566 -0.092160 1.724186

  LAMPIRAN 13 _{50 60 1200000} Response of Y to Cholesky _{One S.D. Innovations 1000000}

₈₀₀₀₀₀

_{Response of X1 to Cholesky One S.D. Innovations}

  40 _{10 20 30}

₂₀₀₀₀₀

₄₀₀₀₀₀

₆₀₀₀₀₀

_{1 2 Response of X2 to Cholesky Response of X3 to Cholesky 3 Y 4 X1 5 6 X2 7 8 X3 Y 9 10} -200000 _{1 2 3 4 X1 5 6 X2 7 8 X3 9 10 2 3 4} One S.D. Innovations One S.D. Innovations

₂

₄

₆

_{-1 -2}

  1

_-4

_-2

• 3
_{1 2 3 Y 4 X1 5 6 X2 7 8 X3 Y 9 10}

^-6

_{1 2 3 4 X1 5 6 X2 7 8 X3 9 10} Gambar 4.1 Impulse Response Function (IRF)

  LAMPIRAN 14 Tabel 4.16 Variance Decomposition dari Y

  Variance Decomposition

  Y Period S.E. Y

  X

  

1

X

  2 X

  3

  1 17.15140 100.0000 0.000000 0.000000 0.000000 2 27.61607 73.42788 19.61403 2.412523 4.545563 3 42.46258 55.58093 30.42920 6.991459 6.998417 4 58.54706 51.32906 32.64210 6.715935 9.312910 5 76.24108 49.79402 32.63027 5.944851 11.63085 6 95.02302 48.09738 33.00068 5.795168 13.10677 7 114.2968 46.66484 33.47126 5.780810 14.08309 8 133.9056 45.75949 33.67081 5.682897 14.88681 9 153.7757 45.12032 33.74305 5.583057 15.55357 10 173.7665 44.57652 33.81824 5.522142 16.08309