Institutional Repository | Satya Wacana Christian University: Pengaruh Tingkat Bunga Sertifikat Bank Indonesia Berjangka 1 Bulan terhadap Investasi Domestik Indonesia, 2001-2009

Lampiran 1
Data SBI dan PMDN, berdasarkan sumber olah BI.

Tahun
2001.4
2002.1
2002.2
2002.3
2002.4
2003.1
2003.2
2003.3
2003.4
2004.1
2004.2
2004.3
2004.4
2005.1
2005.2
2005.3
2005.4

2006.1
2006.2
2006.3
2006.4
2007.1
2007.2
2007.3
2007.4
2008.1
2008.2
2008.3
2008.4
2009.1
2009.2
2009.3
2009.4

Suku Bunga Sertifikat
Bank Indonesia (SBI),
satuan persen (%)

5.07
2.59
3.63
3.12
2.99
4.3
2.93
2.46
3.21
2.32
0.54
1.09
1.03
-1.36
0.45
0.9
-4.35
-5.17
-3
2.15

3.15
2.5
2.95
1.2
1.4
-0.24
-2.27
-2.39
-0.27
0.31
3.25
3.68
-1.74

Penanaman Modal Dalam Negeri
(PMDN), satuan milyar
81819.7
84741.8
85048.3
89858

94318.9
93222.4
94317.3
100650
104599
115823
122937
135625
140996
146357
159526
168097
181874
186274
196502
208067
214943
220499
234278
254265

276584
291390
327660
369263
382321
400706
424017
454200
464806

1

Lampiran 2
Uji Stasioner
Variabel Invetasi PMDN ( I )
Null Hypothesis: PMDN has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=2)

Augmented Dickey-Fuller test statistic

Test critical values:
1% level
5% level
10% level

t-Statistic

Prob.*

-0.089281
-4.273277
-3.557759
-3.212361

0.9928

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(PMDN)

Variabel SBI(ir)
Null Hypothesis: SBI has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic based on SIC, MAXLAG=2)

Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(SBI)

2

t-Statistic

Prob.*

-3.428297
-4.284580
-3.562882
-3.215267

0.0659

Lampiran 3
Uji Derajat Integrasi

Variabel Investasi PMDN ( I )

Null Hypothesis: D(PMDN) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=2)

Augmented Dickey-Fuller test statistic
Test critical values:
1% level

5% level
10% level

t-Statistic

Prob.*

-4.369810
-4.284580
-3.562882
-3.215267

0.0082

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(PMDN,2)
Method: Least Squares
Variabel SBI

Null Hypothesis: D(SBI) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 1 (Automatic based on SIC, MAXLAG=2)

Augmented Dickey-Fuller test statistic
Test critical values:
1% level
5% level
10% level
*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation
Dependent Variable: D(SBI,2)
3

t-Statistic

Prob.*

-4.489124

-4.296729
-3.568379
-3.218382

0.0064

Lampiran 4
Uji Johanse Cointegration
Trend assumption: Linear deterministic trend
Series: DSBI DPMDN
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test (Trace)
Hypothesized

Trace

0.05

No. of CE(s)

Eigenvalue

Statistic

Critical Value

Prob.**

None *

0.438728

22.00928

15.49471

0.0045

At most 1 *

0.144521

4.682800

3.841466

0.0305

Trace test indicates 2 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values

4

Lampiran 5
Granger Causalitas
Lags: 4
Null Hypothesis:
DPMDN does not Granger Cause DSBI
DSBI does not Granger Cause DPMDN

5

Obs

F-Statistic

Prob.

28

1.43598

0.2607

0.75389

0.5678

Lampiran 6
Estimasi Vector Error Collection Model

Vector Error Correction Estimates
Date: 06/27/12 Time: 09:03
Sample (adjusted): 2003Q3 2009Q4
Included observations: 26 after adjustments
Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq:

CointEq1

DPMDN(-1)

1.000000

DSBI(-1)

-73572.18
(25892.0)
[-2.84150]

C

-11448.75

Error Correction:

D(DPMDN)

D(DSBI)

CointEq1

-0.025445
(0.03436)
[-0.74046]

2.47E-05
(8.7E-06)
[ 2.85681]

D(DPMDN(-1))

-0.762888
(0.26435)
[-2.88595]

-4.45E-05
(6.7E-05)
[-0.66734]

D(DPMDN(-2))

-0.630065
(0.29939)
[-2.10451]

-0.000126
(7.5E-05)
[-1.67624]

D(DPMDN(-3))

-0.422625
(0.32527)
[-1.29929]

-5.17E-05
(8.2E-05)
[-0.63110]

D(DPMDN(-4))

0.221447
(0.29506)
[ 0.75052]

1.32E-05
(7.4E-05)
[ 0.17685]

D(DSBI(-1))

-2720.973
(2050.25)
[-1.32714]

0.984221
(0.51669)
[ 1.90486]

D(DSBI(-2))

-2315.956
(1759.20)
[-1.31648]

0.425672
(0.44334)
[ 0.96015]

D(DSBI(-3))

-2382.400
(1262.08)
[-1.88768]

0.360435
(0.31806)
[ 1.13323]

6

D(DSBI(-4))

-1300.808
(974.654)
[-1.33464]

0.077733
(0.24563)
[ 0.31647]

C

2325.188
(1731.25)
[ 1.34307]

-0.172448
(0.43630)
[-0.39525]

0.533473
0.286488
1.12E+09
8113.921
2.159942
-275.1020
21.11867
21.59861
433.4259
9605.726

0.648815
0.462894
71.08145
2.044813
3.489726
-51.37920
4.546607
5.026547
-0.249259
2.790124

R-squared
Adj. R-squared
Sum sq. resids
S.E. equation
F-statistic
Log likelihood
Akaike AIC
Schwarz SC
Mean dependent
S.D. dependent

Determinant resid covariance (dof adj.)
Determinant resid covariance
Log likelihood
Akaike information criterion
Schwarz criterion

2.69E+08
1.07E+08
-326.1948
25.79221
26.84808

7