Kesimpulan Saran KESIMPULAN DAN SARAN

BAB V KESIMPULAN DAN SARAN

5.1. Kesimpulan

Beberapa hal yang dapat disimpulkan berdasarkan hasil penelitian adalah sebagai berikut : 1. Defisit anggaran pemerintah tidak mempengaruhi pertumbuhan uang M0, M1, dan M2 dalam jangka panjang. 2. Teori FTPL the fiscal theory of the price level tidak berlaku di Indonesia, hal ini dikarenakan dalam jangka panjang, laju inflasi juga tidak dipengaruhi oleh defisit anggaran. 3. Pertumbuhan M1 dan M2 money supply tidak mempengaruhi laju inflasi dalam jangka panjang. Hal tersebut menunjukkan bahwa teori Monetaris dan Keynesian juga tidak berlaku di Indonesia. 4. Hubungan antara defisit anggaran, pertumbuhan uang dan laju inflasi di Indonesia dapat dijelaskan oleh teori Ricardian Equivalence RE dimana defisit anggaran tidak akan berpengaruh ke variabel makroekonomi dan perekonomian.

5.2. Saran

Adapun saran yang dapat diberikan berdasarkan hasil penelitian ini yaitu : 1. Koordinasi yang erat antara penguasa fiskal pemerintah dan moneter Bank Indonesia dalam menentukan instrumen dan sasaran kebijakan yang menjadi target bersama tetap diperlukan agar pencapaian target tersebut dapat dilakukan secara efektif dan efisien. Walaupun defisit anggaran tidak memiliki dampak pada pertumbuhan uang dan laju inflasi di Indonesia namun defisit anggaran yang terlalu besar dan dalam jangka waktu yang lama, bukan tidak mungkin akan menjadi akar permasalahan makroekonomi seperti hyperinflation, current account deficits, overindebtness dan rendahnya pertumbuhan ekonomi. 2. Bila dalam jangka panjang kebijakan defisit anggaran terus dipertahankan oleh pemerintah, maka pembiayaan melalui money creation pencipataan uang lebih baik untuk dihindari karena telah terbukti menyebabkan hyperinflation di Indonesia pada periode 1965 hingga 1970. Disatu sisi, sesuai dengan UU No.23 Tahun 1999 tentang Bank Indonesia, Bank Indonesia yang telah memiliki kebijakan moneter Inflation Targetting Framework ITF akan berhasil dalam menetapkan inflasi yang ditargetkan jika salah satu persyaratan dapat dipenuhi yaitu tidak adanya dominasi sektor fiskal terhadap kebijakan moneter. Karena kebijakan defisit anggaran masih efektif, tetapi efisiensinya harus diperhitungkan secara cermat. 3. Penelitian ini tentunya masih memiliki kelemahan dan memerlukan perbaikan guna mendapatkan hasil yang lebih realistis dengan kondisi yang terjadi. Upaya mempertahankan kesederhaaan dalam model dalam penelitian ini memberikan implikasi pada relatif rendahnya kemampuan model dalam melakukan analisis dan proyeksi. Sehingga perlu penyempurnaan lebih lanjut terhadap model yang dilakukan atau penggunaan model yang berbeda dengan penelitian ini dengan harapan realitas yang terjadi dalam interaksi kebijakan fiskal dan moneter di Indonesia dapat digambarkan secara lebih akurat. Selain itu, variabel lain juga dapat ditambahkan ke dalam penelitian yang selanjutnya agar fenomena ekonomi dari dampak defisit anggaran yang lain juga dapat ditemukan, seperti tingkat suku bunga, nilai tukar, investasi, dan lain-lain. DAFTAR PUSTAKA Adji, A. 1995. “Is Publik Debt Neutral? Evidence For Indonesia”. Journal Ekonomi dan Bisnis Indonesia JEBI, September 2005: 21-34. Bank Indonesia. Statistik Ekonomi dan Keuangan Indonesia. Edisi 2000 hingga 2009. http:www.bi.go.idwebiddata+statistikstatcat.htm. Badan Kebijakan Fiskal BKF. Data Realisasi APBN 2002 hingga 2009. Departemen Keuangan, Jakarta. Barro, Robert J. 1974. “Are Government Bonds Net Wealth?”, Journal of Political Economics, Vol. 6, No. 82: 1095-1117. Barro, Robert J. 1989. “The Ricardian Approach to Budget Deficits”. Journal of Economic Perspectives, Vol.3, No.2: 37-54. Basri, F. 1995. Perekonomian Indonesia Menjelang Abad XXI; Distorsi, Peluang dan Kendala. Erlangga, Jakarta. Cevdet, A., Alper E. C., dan Ozmucur, S. 2001. “Budget Deficit, Inflation and Debt Sustainbility: Evidence from Turkey 1970-2000”. Mim. Istanbul: Bogazici University. Chimobi, O. P. dan Igwe, O. L. 2010. “Budget Deficit, Money Supply and Inflation in Nigeria”. European Journal of Economics, Finance and Administrative Sciences, Issue 19. Chowdhury, A. dan Sugema, I. 2006. “Aid and Fiscal Behaviour in Indonesia: The Case of a Lazy Government”. [SECURED]. APEA. Dornbusch, R., Fischer, S., dan Sparks, G. R. 1989. Macroeconomics, 3rd Edd., McGraw-Hill Ryerson Limited, Toronto. Dornbusch, R. dan Reynoso, A. 1993. Financial Factors in Economic Development. in R. Dornbusch ed., Policymaking in the Open Economy : Concepts and Case Studies in Economic Performance. Oxford University Press, New York. Easterly, W., Rodriguez, C. A., dan Schmith-Hebbel, K. 1994. “Publik Sector Deficits and Macroeconomic Performance”. Oxford University Press, New York. Enders, W. 1995. Applied Econometric Time Series. Second Edition. John Wiley Sons, Inc., New York. Engle, R. F. dan Granger, C. W. J. 1987. “Co-integration and Error Correction: Representation, Estimation, and Testing”, Econometrica, Vol.55, No.2, 251-276. Gujarati, D. N. 2004. Basic Econometrics. 4th edd. McGraw-Hill International Editions, New York. Hidayat, S. 2004. Pengendalian Jumlah Uang Beredar di Indonesia [Skripsi]. Fakultas Ekonomi dan Manajemen, Institut Pertanian Bogor, Bogor. Hossain, A. dan Chowdhury, A. 1998. Open Economy Macroeconomics for Developing Countries. Edward Elgar, Massachusetts. International Financial Statistics IFS of International Monetary Fund IMF. Country Table – Indonesia : 1990-2010. Kementrian Keuangan Republik Indonesia. Nota Keuangan dan APBN. edisi 2000 hingga 2009. Kementrian Keuangan Republik Indonesia, Jakarta. Lipsey, R. G., Courant P. N., Purvis, D. D., dan Steiner, P. O. 1995. Pengantar Makroekonomi. Edisi ke-10. Jilid 1. Wasana, Kirbrandoko, dan Budijanto [editor]. Binarupa Aksara, Jakarta. Lozano, I. 2008. “Budget Deficit, Pertumbuhan uang, and Inflation : Evidence from the Colombian Case”. Borradores de Economia, No. 537, Banco de la Republica. Mankiw, N. G. 2000. Pengantar Ekonomi. Jilid 2. Munandar dan Salim [penerjemah]. Sumiharti dan Kristiaji [editor]. Erlangga, Jakarta. Metin, K. 1998. “The Relationship between Inflation and the budget deficit in Turkey”. Journal of Business and Economic Statistics, Vol. 16, No. 4: 412-22. Mishkin, F. S. 2001. The Economics of Money, Banking, and Financial Markets. 6th Edd. The Addison-Wesley, New York. Mundell, R. 1971. Monetary Theory. Goodyear Publishing Company, California. Maryatmo, R. 2004. Dampak Moneter Kebijakan Defisit Anggaran Pemerintah dan Peranan Asa Nalar dalam Simulasi Model Makro-Ekonomi Indonesia 1983:1-2002:4. Buletin Ekonomi Moneter dan Perbankan, September 2004. Putong, I. 2003. Pengantar Ekonomi Mikro Makro. Edisi ke-2. Ghalia Indonesia, Jakarta. Saad, W. dan Kalakech, K. 2009. “The Impact of Budget Deficit on Money Demand: Evidence from Lebanon”. Middle Eastern Finance and Economics, Issue 3. Samuelson, P. A dan Nordhaus, W. D. 1997. Macroeconomics. 13th edd. McGraw-Hill, New York. Sargent, T., dan Wallace, N. 1981. “Some Unpleasant Monetarist Arithmetic”. Federal Reserve Bank of Minneapolis Quarterly Review 5: 1 ‐17. Solikin, dan Suseno. 2002. Uang : Pengertian, Penciptaan, dan Peranannya dalam Perekonomian. Pusat Penelitian dan Studi Kebanksentralan, Bank Indonesia, Jakarta. Tekin ‐Koru, A., dan Özmen E. 2003. “Budget Deficits, Pertumbuhan uang and Inflation: The Turkish Evidence”. Applied Economics, Taylor and Francis Journals, Vol. 35, No.5: 591 ‐596. Thomas, R. L. 1997. Modern Econometrics; an Introduction. 1st edd. Addison Wesley Longman, Reading. Waluyo, J. 2006. Pengaruh Pembiayaan Defisit Anggaran terhadap Inflasi dan Pertumbuhan Ekonomi: Suatu Model Ekonomi Makro Indonesia 1970- 2003. KINERJA, Vol.10, No.1: 1-22 Warjiyo, P. 2004. Mekanisme Transmisi Kebijakan Moneter di Indonesia. Pusat Pendidikan dan Studi Kebanksentralan, Bank Indonesia, Jakarta. Woodford, M. 1995. “Price Level Determination without Control of A Monetary Aggregate”. Working Paper No. 5204, National Bureau of Economic Research. LAMPIRAN Lampiran 1. Data yang Digunakan PERIODE INF M0GRW M1GRW M2GRW DEFY 2002M1 14.41695 12.82918 14.7401 13.44089 3.438596 2002M2 15.12666 13.94946 12.51943 10.75039 0.434389 2002M3 14.08162 13.3283 11.99528 8.424229 -0.78715 2002M4 13.29544 9.124641 9.530321 4.55059 -0.13519 2002M5 12.92504 9.273595 8.002388 5.678405 0.268275 2002M6 11.4752 8.443637 8.664186 5.297951 0.315706 2002M7 10.04959 5.86341 7.011853 10.5796 0.978539 2002M8 10.59183 4.863524 5.462958 10.6969 -0.13436 2002M9 10.47869 7.494381 10.68821 9.781843 0.36433 2002M10 10.32524 7.127152 6.886205 6.740267 -0.20067 2002M11 10.47797 15.79721 14.67707 5.884816 2.944669 2002M12 10.02606 8.180225 7.994103 4.72186 -0.67336 2003M1 8.758387 9.366926 8.000887 4.255253 1.016853 2003M2 7.345051 7.539259 7.641586 5.262435 0.1553 2003M3 7.146247 7.003316 9.066455 5.576791 -1.99005 2003M4 7.532903 7.849043 8.260849 6.583659 -0.40321 2003M5 6.895143 9.443033 13.96308 7.200354 0.494887 2003M6 6.589741 10.38827 12.18387 6.667978 3.061736 2003M7 5.764349 10.45629 13.29211 5.745745 0.681581 2003M8 6.382071 11.39336 14.71477 5.679507 -0.05766 2003M9 6.18384 10.17365 14.18992 5.992397 0.696799 2003M10 6.248034 12.31419 17.03501 7.336416 0.527225 2003M11 5.32532 25.08054 14.13525 8.574374 1.214537 2003M12 5.087016 20.41519 16.59902 8.121207 3.644451 2004M1 4.821181 15.40889 20.11582 8.423421 1.875468 2004M2 4.613547 13.16701 20.6594 6.188047 -0.44429 2004M3 5.211679 13.98998 20.88292 6.547456 -1.59647 2004M4 6.106 17.10184 17.75496 5.439795 -0.97221 2004M5 6.831979 14.50436 16.65641 6.706425 -0.59726 2004M6 7.261696 37.55655 15.84272 8.813656 1.858114 2004M7 7.637041 41.96164 17.50759 8.027388 -0.25345 2004M8 6.804788 36.86403 15.24975 8.522373 -1.39847 2004M9 6.452464 39.50656 13.04947 8.444695 -0.2399 2004M10 6.414252 37.43798 13.11344 7.75571 -0.64411 2004M11 6.334402 12.80983 8.567302 6.027966 -2.33802 2004M12 6.400825 23.85117 9.895933 8.181297 10.48757 2005M1 7.315515 29.19906 12.03182 7.412087 1.347103 2005M2 7.153844 30.72665 11.70372 8.403465 -2.89141 2005M3 8.725144 34.08721 11.37265 9.350675 -4.38903 2005M4 8.12253 29.41418 11.61719 12.44349 -0.53952 2005M5 7.395971 32.84914 10.27221 10.13241 -1.76273 2005M6 7.422514 12.71077 15.7716 10.59505 2.573552 2005M7 7.841537 7.939212 13.03554 12.12538 0.226095 2005M8 8.33487 12.53129 15.56641 13.88372 -0.25075 2005M9 9.061423 26.51981 14.09859 16.78623 1.04039 2005M10 17.89128 39.19805 16.53881 17.09864 1.015652 2005M11 18.38196 23.97628 10.33728 16.72341 -0.0439 2005M12 17.11489 30.93947 10.25428 16.33458 6.719419 2006M1 17.02878 28.85884 13.07736 17.43997 2.517277 2006M2 17.91369 30.33401 10.49177 18.07902 -0.02361 2006M3 15.82766 28.47058 10.82856 17.21424 -3.54581 2006M4 15.39869 28.73338 13.77138 14.37525 -1.48334 2006M5 15.59503 33.57994 20.03981 18.32647 -0.16312 2006M6 15.53574 31.29935 16.03772 16.8365 1.433834 2006M7 15.15647 32.87614 16.09835 14.70505 -2.4167 2006M8 14.89725 30.06226 18.65757 13.84863 2.103319 2006M9 14.54841 17.29977 20.96003 12.19098 0.76597 2006M10 6.290781 19.9091 19.9818 13.73926 0.803617 2006M11 5.268495 20.12125 23.67041 14.785 -0.07457 2006M12 6.601532 28.34416 27.97069 14.94313 6.250828 2007M1 6.261723 28.1858 22.4874 14.47939 2.14391 2007M2 6.301436 31.72298 24.43423 14.31577 0.270878 2007M3 6.514492 21.67351 22.67209 15.05652 -0.65625 2007M4 6.296694 24.13096 25.05428 15.75364 -5.09268 2007M5 6.004409 16.22856 15.94321 12.41766 -1.29972 2007M6 6.0094 18.63503 22.37141 15.64662 1.122081 2007M7 6.153261 16.24247 27.40437 17.71603 1.694344 2007M8 6.409635 20.46232 22.86454 17.18652 -0.99248 2007M9 6.743547 14.5682 23.52378 17.15711 -0.22011 2007M10 6.664693 7.580425 20.14583 15.37651 -0.42696 2007M11 6.716191 16.95768 24.40839 16.21757 2.292856 2007M12 5.788901 26.5426 29.69399 19.32528 11.20815 2008M1 6.44518 11.80484 22.35687 16.71101 -2.23878 2008M2 6.567152 5.592847 19.32769 17.12702 -3.08727 2008M3 7.220806 19.35184 23.52232 15.59917 -6.71965 2008M4 8.966029 19.25323 21.11673 16.30789 -0.90675 2008M5 10.38652 22.41257 24.1689 17.59654 -0.65286 2008M6 11.03494 25.90061 21.86283 17.10459 1.394266 2008M7 11.90312 23.15004 15.45359 14.3263 1.259877 2008M8 11.84659 13.25011 12.34208 12.70955 -5.01174 2008M9 12.15123 42.94691 19.90077 17.21428 9.431223 2008M10 11.7708 12.56964 13.63751 18.16605 -3.19271 2008M11 11.48022 9.453036 12.13292 18.68784 0.650501 2008M12 11.06095 -2.87666 1.495817 14.92308 9.314933 2009M1 9.172878 7.911914 6.595951 17.38676 -0.49152 2009M2 8.600687 4.364252 8.308463 18.48542 -1.47864 2009M3 7.924164 1.348842 9.338455 20.21839 1.402138 2009M4 6.041083 3.207519 9.302107 18.6717 -1.56696 2009M5 4.617285 -0.43222 7.19522 17.38045 0.463973 2009M6 3.651651 -3.27739 6.5278 16.09447 2.656892 2009M7 2.706526 -1.08827 5.163022 16.30438 2.167608 2009M8 2.754998 5.024247 11.30773 18.56894 2.708826 2009M9 2.834127 -10.8294 2.153252 13.5 3.248585 2009M10 2.566518 5.527933 5.754973 11.53275 3.819884 2009M11 2.41456 7.240851 6.985699 9.793519 4.427069 2009M12 2.78392 9.52126 12.9244 12.95151 5.065615 Keterangan : INF = laju inflasi year on year M0GRW = pertumbuhan base money uang inti-M0 M1GRW = pertumbuhan narrow money uang dalam arti sempit-M1 M2GRW = pertumbuhan broad money uang dalam arti luas-M2 DEFY = defisit anggaran pemerintah Lampiran 2. Grafik Data yang Digunakan INF M0GRW M1GRW M2GRW DEFY Lampiran 3. Uji Akar Unit pada Variabel Penelitian INF Level Null Hypothesis: INF has a unit root Exogenous: Constant, Linear Trend Lag Length: 1 Automatic based on SIC, MAXLAG=11 t-Statistic Prob. Augmented Dickey-Fuller test statistic -2.367895 0.3938 Test critical values: 1 level -4.058619 5 level -3.458326 10 level -3.155161 MacKinnon 1996 one-sided p-values. M0GRW Level Null Hypothesis: M0GRW has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 Automatic based on SIC, MAXLAG=11 t-Statistic Prob. Augmented Dickey-Fuller test statistic -3.875170 0.0168 Test critical values: 1 level -4.057528 5 level -3.457808 10 level -3.154859 MacKinnon 1996 one-sided p-values. M1GRW Level Null Hypothesis: M1GRW has a unit root Exogenous: Constant, Linear Trend Lag Length: 1 Automatic based on SIC, MAXLAG=11 t-Statistic Prob. Augmented Dickey-Fuller test statistic -2.108224 0.5343 Test critical values: 1 level -4.058619 5 level -3.458326 10 level -3.155161 MacKinnon 1996 one-sided p-values. M2GRW Level Null Hypothesis: M2GRW has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 Automatic based on SIC, MAXLAG=11 t-Statistic Prob. Augmented Dickey-Fuller test statistic -3.637500 0.0319 Test critical values: 1 level -4.057528 5 level -3.457808 10 level -3.154859 MacKinnon 1996 one-sided p-values. DEFY Level Null Hypothesis: DEFY has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 Automatic based on SIC, MAXLAG=11 t-Statistic Prob. Augmented Dickey-Fuller test statistic -9.276394 0.0000 Test critical values: 1 level -4.057528 5 level -3.457808 10 level -3.154859 MacKinnon 1996 one-sided p-values. INF Difference Null Hypothesis: DINF has a unit root Exogenous: None Lag Length: 0 Automatic based on SIC, MAXLAG=11 t-Statistic Prob. Augmented Dickey-Fuller test statistic -7.966493 0.0000 Test critical values: 1 level -2.589795 5 level -1.944286 10 level -1.614487 MacKinnon 1996 one-sided p-values. M1GRW Difference Null Hypothesis: DM1GRW has a unit root Exogenous: None Lag Length: 0 Automatic based on SIC, MAXLAG=11 t-Statistic Prob. Augmented Dickey-Fuller test statistic -13.92580 0.0000 Test critical values: 1 level -2.589795 5 level -1.944286 10 level -1.614487 MacKinnon 1996 one-sided p-values. Lampiran 4. Penentuan Lag Optimal Sistem Trivariabel VAR Lag Order Selection Criteria Endogenous variables: INF M0GRW DEFY Exogenous variables: C Date: 063011 Time: 11:00 Sample: 2002M01 2009M12 Included observations: 88 Lag LogL LR FPE AIC SC HQ -798.0412 NA 16185.22 18.20548 18.28994 18.23951 1 -679.0442 227.1762 1328.899 15.70555 16.04337 15.84165 2 -673.1368 10.87489 1426.838 15.77584 16.36702 16.01401 3 -670.4081 4.837229 1648.619 15.91837 16.76291 16.25861 4 -662.5587 13.37966 1698.361 15.94452 17.04243 16.38684 5 -657.5130 8.256703 1868.740 16.03439 17.38566 16.57878 6 -652.7618 7.450719 2075.652 16.13095 17.73559 16.77742 7 -648.5146 6.370807 2339.782 16.23897 18.09697 16.98751 8 -636.1206 17.74586 2200.446 16.16183 18.27320 17.01245 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 Sistem Trivariabel VAR Lag Order Selection Criteria Endogenous variables: INF M1GRW DEFY Exogenous variables: C Date: 063011 Time: 11:01 Sample: 2002M01 2009M12 Included observations: 88 Lag LogL LR FPE AIC SC HQ -750.6380 NA 5511.040 17.12814 17.21259 17.16216 1 -616.0942 256.8564 317.8008 14.27487 14.61269 14.41097 2 -606.7240 17.24964 315.3976 14.26645 14.85764 14.50463 3 -603.1731 6.294761 357.6750 14.39030 15.23484 14.73054 4 -595.6739 12.78269 371.4113 14.42441 15.52232 14.86673 5 -592.4372 5.296435 425.8238 14.55539 15.90667 15.09979 6 -590.1728 3.551009 500.4734 14.70847 16.31311 15.35494 7 -585.9242 6.372920 564.1414 14.81646 16.67446 15.56500 8 -571.7038 20.36097 508.9742 14.69781 16.80918 15.54843 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 Sistem Trivariabel VAR Lag Order Selection Criteria Endogenous variables: INF M2GRW DEFY Exogenous variables: C Date: 063011 Time: 11:02 Sample: 2002M01 2009M12 Included observations: 88 Lag LogL LR FPE AIC SC HQ -721.0171 NA 2811.029 16.45493 16.53939 16.48896 1 -551.7004 323.2411 73.54728 12.81137 13.14919 12.94747 2 -545.2508 11.87295 78.00062 12.86934 13.46052 13.10751 3 -541.9420 5.865623 88.94420 12.99868 13.84323 13.33893 4 -531.3783 18.00639 86.14616 12.96314 14.06105 13.40546 5 -528.8690 4.106162 100.4131 13.11066 14.46193 13.65505 6 -524.6666 6.590063 112.9310 13.21970 14.82433 13.86616 7 -519.6362 7.545579 125.0558 13.30991 15.16792 14.05846 8 -501.7718 25.57864 103.8588 13.10845 15.21982 13.95907 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. Uji Kestabilan VAR Sistem Trivariabel Roots of Characteristic Polynomial Endogenous variables: INF M0GRW DEFY Exogenous variables: C Lag specification: 1 1 Date: 063011 Time: 11:03 Root Modulus 0.911982 0.911982 0.748648 0.748648 -0.000504 0.000504 No root lies outside the unit circle. VAR satisfies the stability condition. Sistem Trivariabel Roots of Characteristic Polynomial Endogenous variables: INF M1GRW DEFY Exogenous variables: C Lag specification: 1 1 Date: 063011 Time: 11:04 Root Modulus 0.893512 0.893512 0.858203 0.858203 0.017479 0.017479 No root lies outside the unit circle. VAR satisfies the stability condition. Sistem Trivariabel Roots of Characteristic Polynomial Endogenous variables: INF M2GRW DEFY Exogenous variables: C Lag specification: 1 1 Date: 063011 Time: 11:05 Root Modulus 0.923720 - 0.023253i 0.924012 0.923720 + 0.023253i 0.924012 0.037193 0.037193 No root lies outside the unit circle. VAR satisfies the stability condition. Lampiran 6. Uji Kointegrasi dengan Asumsi Summary Sistem Trivariabel Date: 063011 Time: 11:06 Sample: 2002M01 2009M12 Included observations: 94 Series: INF M0GRW DEFY 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 2 1 3 1 1 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 -742.3667 -742.3667 -742.0540 -742.0540 -741.8820 1 -722.2207 -720.0861 -719.7744 -719.0270 -718.9082 2 -717.0106 -714.7775 -714.5656 -713.6948 -713.6911 3 -716.0292 -712.0242 -712.0242 -710.9991 -710.9991 Akaike Information Criteria by Rank rows and Model columns 15.98653 15.98653 16.04370 16.04370 16.10387 1 15.68555 15.66141 15.69733 15.70270 15.74273 2 15.70235 15.69739 15.71416 15.73819 15.75938 3 15.80913 15.78775 15.78775 15.82977 15.82977 Schwarz Criteria by Rank rows and Model columns 16.23003 16.23003 16.36838 16.36838 16.50972 1 16.09139 16.09431 16.18434 16.21677 16.31091 2 16.27054 16.31969 16.36351 16.44165 16.48991 3 16.53965 16.59944 16.59944 16.72263 16.72263 Sistem Trivariabel Date: 063011 Time: 11:07 Sample: 2002M01 2009M12 Included observations: 94 Series: INF M1GRW DEFY 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 1 1 1 1 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 -669.4472 -669.4472 -669.1444 -669.1444 -668.9832 1 -649.4912 -647.0775 -646.7752 -645.5094 -645.4083 2 -646.0450 -643.6277 -643.5397 -642.1549 -642.0664 3 -645.6026 -641.6754 -641.6754 -640.2200 -640.2200 Akaike Information Criteria by Rank rows and Model columns 14.43505 14.43505 14.49243 14.49243 14.55283 1 14.13811 14.10803 14.14415 14.13850 14.17890 2 14.19245 14.18357 14.20297 14.21606 14.23545 3 14.31069 14.29097 14.29097 14.32383 14.32383 Schwarz Criteria by Rank rows and Model columns 14.67855 14.67855 14.81711 14.81711 14.95868 1 14.54395 14.54093 14.63117 14.65257 14.74708 2 14.76063 14.80586 14.85232 14.91953 14.96598 3 15.04121 15.10266 15.10266 15.21669 15.21669 Sistem Trivariabel Date: 063011 Time: 11:08 Sample: 2002M01 2009M12 Included observations: 94 Series: INF M2GRW DEFY 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 1 1 2 3 Max-Eig 1 1 1 2 3 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 -608.6990 -608.6990 -608.4418 -608.4418 -608.3717 1 -587.1698 -586.9079 -586.6509 -585.8044 -585.7868 2 -584.3498 -583.9182 -583.9148 -574.5646 -574.5646 3 -584.0576 -582.0732 -582.0732 -572.0798 -572.0798 Akaike Information Criteria by Rank rows and Model columns 13.14253 13.14253 13.20089 13.20089 13.26323 1 12.81212 12.82783 12.86491 12.86818 12.91036 2 12.87978 12.91315 12.93436 12.77797 12.79925 3 13.00123 13.02283 13.02283 12.87404 12.87404 Schwarz Criteria by Rank rows and Model columns 13.38604 13.38604 13.52556 13.52556 13.66907 1 13.21797 13.26073 13.35193 13.38225 13.47854 2 13.44797 13.53545 13.58371 13.48144 13.52977 3 13.73175 13.83452 13.83452 13.76690 13.76690 Lampiran 7. Uji Kointegrasi dengan Asumsi Berdasarkan SC Sistem Trivariabel Asumsi: Model 1 Date: 063011 Time: 11:09 Sample adjusted: 2002M03 2009M12 Included observations: 94 after adjustments Trend assumption: No deterministic trend Series: INF M0GRW DEFY 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 0.348605 52.67509 24.27596 0.0000 At most 1 0.104931 12.38304 12.32090 0.0488 At most 2 0.020664 1.962755 4.129906 0.1899 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 0.348605 40.29205 17.79730 0.0000 At most 1 0.104931 10.42029 11.22480 0.0690 At most 2 0.020664 1.962755 4.129906 0.1899 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 Unrestricted Cointegrating Coefficients normalized by bS11b=I: INF M0GRW DEFY -0.039455 0.008965 0.472756 -0.203475 0.093250 -0.021402 -0.049950 -0.027413 0.009987 Unrestricted Adjustment Coefficients alpha: DINF -0.112056 0.289900 0.148270 DM0GRW -0.842221 -1.579132 0.920393 DDEFY -2.119303 -0.151872 0.024659 1 Cointegrating Equations: Log likelihood -722.2207 Normalized cointegrating coefficients standard error in parentheses INF M0GRW DEFY 1.000000 -0.227216 -11.98207 0.18010 1.70997 Adjustment coefficients standard error in parentheses DINF 0.004421 0.00572 DM0GRW 0.033230 0.03381 DDEFY 0.083618 0.01223 2 Cointegrating Equations: Log likelihood -717.0106 Normalized cointegrating coefficients standard error in parentheses INF M0GRW DEFY 1.000000 0.000000 -23.86757 3.41304 0.000000 1.000000 -52.30928 7.89635 Adjustment coefficients standard error in parentheses DINF -0.054566 0.026029 0.02935 0.01326 DM0GRW 0.354544 -0.154805 0.17422 0.07875 DDEFY 0.114520 -0.033161 0.06414 0.02899 Sistem Trivariabel Asumsi: Model 2 Date: 063011 Time: 11:11 Sample adjusted: 2002M03 2009M12 Included observations: 94 after adjustments Trend assumption: No deterministic trend restricted constant Series: INF M1GRW DEFY 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 0.378706 55.54355 35.19275 0.0001 At most 1 0.070770 10.80413 20.26184 0.5610 At most 2 0.040688 3.904640 9.164546 0.4265 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 0.378706 44.73942 22.29962 0.0000 At most 1 0.070770 6.899487 15.89210 0.6818 At most 2 0.040688 3.904640 9.164546 0.4265 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 Unrestricted Cointegrating Coefficients normalized by bS11b=I: INF M1GRW DEFY C -0.044621 -0.035699 -0.476675 1.194726 -0.200505 0.089916 0.007061 0.166350 -0.148804 -0.146976 0.058321 3.236820 Unrestricted Adjustment Coefficients alpha: DINF 0.146246 0.364119 0.065019 DM1GRW 0.413917 -0.134498 0.673320 DDEFY 2.242869 -0.126006 -0.005733 1 Cointegrating Equations: Log likelihood -647.0775 Normalized cointegrating coefficients standard error in parentheses INF M1GRW DEFY C 1.000000 0.800058 10.68284 -26.77522 0.52847 1.44995 8.47368 Adjustment coefficients standard error in parentheses DINF -0.006526 0.00667 DM1GRW -0.018469 0.01607 DDEFY -0.100078 0.01369 Sistem Trivariabel Asumsi: Model 1 Date: 063011 Time: 11:13 Sample adjusted: 2002M03 2009M12 Included observations: 94 after adjustments Trend assumption: No deterministic trend Series: INF M2GRW DEFY 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 0.367496 49.28276 24.27596 0.0000 At most 1 0.058234 6.224348 12.32090 0.4092 At most 2 0.006198 0.584450 4.129906 0.5062 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 0.367496 43.05841 17.79730 0.0000 At most 1 0.058234 5.639898 11.22480 0.3925 At most 2 0.006198 0.584450 4.129906 0.5062 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 Unrestricted Cointegrating Coefficients normalized by bS11b=I: INF M2GRW DEFY 0.033072 -0.043380 0.477526 0.225001 -0.130456 -0.037135 -0.040067 0.100866 0.008156 Unrestricted Adjustment Coefficients alpha: DINF -0.173844 -0.309430 -0.035151 DM2GRW -0.077376 0.149401 -0.137250 DDEFY -2.175363 0.149485 -0.021312 1 Cointegrating Equations: Log likelihood -587.1698 Normalized cointegrating coefficients standard error in parentheses INF M2GRW DEFY 1.000000 -1.311706 14.43921 0.33259 1.99895 Adjustment coefficients standard error in parentheses DINF -0.005749 0.00480 DM2GRW -0.002559 0.00646 DDEFY -0.071943 0.01022 Lampiran 8. Uji Lag Structure Lag Exclusion dan Weak Exogeneity Sistem Trivariabel

a. Uji Lag Exclusion