PENGARUH TINGKAT SUKU BUNGA DAN PENDAPAT (1)

P ENGA R UH T INGK A T SUK U BUNGA DA N
P EN DA P A T A N NA SIO NA L R IIL T E R H A D A P J UM L A H UA N G
BER EDA R : IM P L E M E N T A SI E R R O R CO R R E CT IO N M O D E L

F e m ia N ik en Susan ti
G h o z a li M ask i
F a ku lta s E k o n o m i U n iv e rs ita s B ra w ija y a

A bst r a k si
P e n e litia n in i b e rtu ju a n u n tu k m e lih a t a p a k a h a n ta ra tin g ka t s u ku
b u n g a d a n p e n d a p a ta n n a s ion a l riil b e rp e n g a ru h te rh a d a p ju m la h
u a n g b e re d a r ( M l m a u p u n M 2 ) . S e b e ra p a b e s a r p e n g a ru h v a ria b e l
tin g ka t s u ku b u n g a d a n v a ria b e l p e n d a p a ta n n a s io n a l riil te rh a d a p
ju m la h u a n g b e re d a r. D i s a m p in g itu , p e n e ra p a n E rro r C o rre ctio n
M o d e l ( E C M ) d a la m p e n e litia n in i tid a k la in u n tu k m e m p e ro le h
g a m b a ra n p e n g a ru h p re d icto r v a ria b le ( b u n g a d a n p e n d a p a ta n ) d a la m
ja n g k a p e n d e k d a n d a la m ja n g k a p a n ja n g . D e n g a n E C M d ih a ra p ka n
a ka n d ip e ro le h m o d e l e s tim a s i y a n g tid a k s p u rio u s ( la n cu n g ) d a n
m e n ja d i in ti p e rm a s a la h a n d a n p e m b a h a s a n y a n g d ia n g ka t d a la m
p e n e litia n ini. D a la m b e b e ra p a te o ri d ik e m u k a ka n b a h w a p e n a w a ra n
u a n g te rg a n tu n g p a d a

tig a v a ria b e l, y a itu k e b ija k a n m o n e te r

p e m e rin ta h , a ktiv ita s p e rb a n ka n , d a n p e rila k u p o rto fo lio m a s y a ra ka t.
M e to d e y a n g d ig u n a k a n d a la m p e n e litia n in i a d a la h m o d e l k o re ks i
ke s a la h a n y a n g m e ru p a k a n p e n u ru n a n d a ri fu n g s i b ia y a k u a d ra t
tunggal. D o m o w itz d a n E lb a d a w ip a d a ta h u n 1 9 8 7 te la h m e n a w a rka n
fu n g s i b ia y a k u a d ra t tu n g g a l y a n g co co k u n tu k m e n u ru n k a n E C M ,
y a itu m e m a s u k ka n v e k to r y a n g m e m p e n g a ru h i v a ria b e l ta k b e b a s
d e n g a n b o b o t te rte n tu d a n d ia s u m s ika n s e ca ra lin e a r te rga n tu n g p a d a
v a ria b e l b e b a s p a d a k o m p o n e n b ia y a p e n y e s u a ia n .

K a t a k u n c i : s u k u b u n g a , p e n d a p a ta n n a s io n a l, ju m la h u a n g
b e re d a r, fu n g s i b ia y a k u a d ra t tu n g g a l

1.

P e n d ah u lu a n

Se k t o r m o n e t e r m e rup ak an salah sat u sisi p e re k o n o m ian y a n g h a ru s

m e n d a p a t p e rh a t i a n d a la m p e m b a n g u n a n e k o n o m i d i sa m p i n g se k t o r riil d a la m
ra n g k a m e n c ap ai st abilit as e k o n o m i y a n g m an t ap . S t abilit as y a n g d ip e rlu k an
d i a n t a ra n y a a d a la h l a ju i n flasi , t i n g k at p e n g a n g g u r a n d a n k e se i m b a n g a n n e r a c a
pe m bay aran y an g

m e rup ak an

p e rm a sa la h a n ja n g k a p e n d e k ,

d isam p in g

p e rt u m bu h an e k o no m i n asio n al y an g m e rup ak an p e rm asalah an ja n g k a p an jan g

175

S u s a n ti d an M as ki, P e n g a ru h Tin gka t S u ku B u n ga

d an P e n d a p a ta n N a s ion a l R iil

(B o e d io n o , 1 9 8 3 :2 ).

H a l d i a ta s d ip e r lu k a n u n tu k m e n c ip ta k a n s u a s a n a y a n g m e n d o r o n g
k e g ia ta n p r o d u k s i, a lo k a s i d a n a d a n m o b ilis a s i s u m b e r d a ya . S e c a r a u m u m d a p a t
d ik a ta k a n b a h w a p r o g r a m

s ta b ilis a s i a d a la h m e n g u r a n g i a ta u m e n g h a p u s

k e tim p a n g a n a n ta r a p e r m in ta a n u a n g d a n p e n a w a r a n u a n g d a la m p e r e k o n o m ia n
y a n g s e c a r a k h u s u s d ic e r m in k a n o le h k e n a ik a n tin g k a t h a r g a d a n d e fis it n e r a c a
p e m b a y a r a n in te r n a s io n a l (N o p ir in , 1 9 8 9 :2 4 ).
B e r k a ita n d e n g a n m a s a la h te r s e b u t, te o r i m o d e r e n s a n g a t m e m p e r h a tik a n
ju m la h u a n g

b e r e d a r d a n tin g k a t p e r u b a h a n n y a , s e b a g a i fa k to r y a n g s a n g a t

m e n e n tu k a n d a la m p r o s e s b a g a im a n a e k o n o m i b e k e ija . J u m la h u a n g b e r e d a r
m e m p u n y a i e fe k y a n g p e n tin g d a la m m e m p e n g a r u h i tin g k a t p e n g a n g g u r a n ,
p en d a p a ta n n a s io n a l, d a n tin g k a t in fla s i. O le h k a r e n a itu , s a n g a tla h p e r lu u n tu k
m e n e n tu k a n b a g a im a n a ju m la h u a n g b e r ed a r te r c ip ta d a n ter s e d ia d a la m ek o n o m i.
P e n g a m a ta n m e n g e n a i fa k to r - fa k to r y a n g m e m p e n g a r u h i ju m la h u a n g b e r e d a r
d a n a n a lis a p e n a w a r a n u a n g m e r u p a k a n v a r ia b e l k u n c i b a g i p e n g u a s a m o n e te r

u n tu k m e n e ta p k a n

v a r ia b e l e k o n o m i m a n a y a n g h a r u s d ia m b il d a la m r a n g k a

m e n c a p a i tu ju a n s ta b ilis a s i e k o n o m i. D a r i b e b e r a p a te o r i p e n a w a r a n u a n g ,
te r u ta m a a lir a n K la s ik , T r a d is io n a l d a n K e y n e s , m e r u m u s k a n b a h w a ju m la h u a n g
b e r e d a r s e p e n u h n y a b e r a d a d a la m k e k u a s a a n p e m e r in ta h . A r tin y a b a h w a
ju m la h n y a te la h d ite ta p k a n d a la m va r ia b e l e k s o g e n d i d a la m m od el. H a l itu b e r la k u
b a gi n ega ra d en ga n

e k o n o m i te r tu tu p , d i m a n a p e n g u a s a m o n e te r d a p a t

m e n e n tu k a n p r o s e s ju m la h u a n g b e r e d a r , m e n s ta b ilk a n p r e fe r e n s i d a n p e r ila k u
b a n k k o m e r s ia l s e r ta m a s y a r a k a t u m u m .
L a in h a ln y a d e n g a n te o r i p e n a w a r a n y a n g m o d e r e n d i m a n a p e r m in ta a n
b u k a n s a tu - s a tu n y a s u m b e r p e n a w a r a n u a n g . J u m la h u a n g b e r e d a r d ite n tu k a n
o leh in ter a k s i- in ter a k s i p e la k u ek o n o m i, p e n g u a s a m o n e te r s e b a g a i p e n c ip ta u a n g
p r im e r , b a n k k o m e r s ia l s e b a g a i p e n c ip ta u a n g g ir a l d a n m a s y a r a k a t u m u m . J a d i,
p e n a w a r a n u a n g m e r u p a k a n r e fle k s i p o r to fo lio d e c e s s io n d a r i k e tig a p e la k u
e k o n o m i te r s e b u t (B u r g e r , 1 9 7 1 :2 1 ).

B e r p ija k d a r i h a l te r s e b u t, m a k a u n tu k m e n e n tu k a n s u a tu

fu n g s i

p e n a w a r a n u a n g d i s u a tu n e g a r a h a r u s la h d ik a itk a n d e n g a n p e r k e m b a n g a n
lem b a g a k e u a n g a n y a n g a d a . D e n g a n s u d u t p a n ja n g in i s e h a r u s n ya p e r k e m b a n g a n
p e n a w a r a n u a n g d ilih a t d a r i s e g i p r o s e s p e m b a n g u n a n ek o n o m i, k h u s u s n y a y a n g
m e n y a n g k u t p e r k e m b a n g a n s is te m m o n e te r d i s u a tu n e g a r a .

1.1 P e r m a s a l a h a n
B e r k a ita n d e n g a n te o r i p e n a w a r a n u a n g y a n g b a r u , P ie r c e

dan Shaw,

V a n e d a n T h o m p s o n , M a y e r d a n S te v e n s o n b e r p e n d a p a t b a h w a a d a b e b e r a p a
fa k to r y a n g m e m p e n g a r u h i r a s io a n ta r a u a n g k a r ta l d a n g ir o s e r ta r a s io - r a s io
la in n y a . F a k to r - fa k to r te r s e b u t te n tu

s a ja a k a n m e m p e n g a r u h i v a r ia s i a n g k a

p e n g g a n d a u a n g d a n p a d a g il ir a n n y a a k a n m e m p e n g a r u h i u a n g b e r e d a r
(In s u k in d r o , 19 9 2 ).
S e h u b u n g a n d e n g a n b e s a m y a r a s io u a n g g ir a l d a n k a r ta l y a n g d iin g in k a n
o le h m a s ya r a k a t, P ie r c e a n d S h o w (1 9 7 4 ) m e n g a ta k a n b a h w a p e n d a p a ta n n a s io n a l
r iil d a n s u k u b u n g a m e r u p a k a n va r ia s i- v a r ia s i p e n tin g y a n g m e m p e n g a r u h i va r ia s i
r a s io a n ta r a u a n g k a r ta l d a n u a n g g ir a l s e r ta r a s io - r a s io la in n ya . J ik a p e n d a p a ta n
n a s io n a l n a ik , m a k a p e r m in ta a n u a n g k a r ta l a k a n n a ik le b ih c e p a t d ib a n d in g k a n
d e n g a n k e n a ik a n u a n g g ir a l. J a d i, r a s io u a n g k a r ta l d a n g ir a l a k a n tu r u n d a n
a n g k a p e n g g a n d a u a n g a k a n n a ik s e r ta ju m la h u a n g b e r e d a r a k a n m e n in g k a t

176

TE M A , V olu m e II, N o m or 2, S e p te m b e r 2 0 01

(In s u k in d r o , 1 9 9 5 :3 8 ).
S e la in itu , d a la m te o r i p r e fe r e n s i lik u id ita s b u n g a d in y a ta k a n b a h w a
h u b u n g a n a n ta r a s u k u b u n g a d e n g a n k u a n tita s a ta u ju m la h u a n g b e r e d a r a d a la h
n e g a tif. H a l in i d im a k s u d k a n j ik a s u k u b u n g a m e n g a la m i p e n in g k a ta n , m a k a
ju m la h u a n g b e r e d a r a k a n tu r u n ; d a n s e b a lik n y a j ik a s u k u b u n g a m e n g a la m i
p e n u r u n a n (L ip s e y , C o u r a n t, P u r vis & S te in e r , 1 9 9 5 :2 3 4 - 2 3 5 ).

D a la m k e r a n g k a k e b ija k a n m a k r o e k o n o m i, m e s k ip u n p e m e r in ta h d a p a t
m e n e n tu k a n b e s a m y a u a n g in ti, te ta p i p e r u b a h a n ju m la h n y a d ite n tu k a n o le h
in te r a k s i a n ta r a m a s ya r a k a t, le m b a g a k e u a n g a n , d a n B a n k S e n tr a l. D e n g a n k a ta
la in p e m e r in ta h s e n d ir i s e b e n a r n y a tid a k s e p e n u h n y a d a p a t m e m p e n g a r u h i ju m la h
u a n g b e r e d a r m e la lu i k e b ija k s a n a a n p e n g a tu r a n u a n g in ti. O le h k a r e n a itu ,
p e n e litia n in i a k a n m e n c o b a m e n g a n a lis is s e ja u h m a n a k e d u a fa k to r te r s e b u t
b e r p e n g a r u h te r h a d a p ju m la h u a n g b e r e d a r .

2. T in ja u a n P u st ak a
S tu d i te n ta n g p e n a w a r a n u a n g b e r e d a r y a n g d ila k u k a n o le h D a v id I. F a n d
m e m fo r m u la s ik a n p e n g g u n a a n m o d e l p e n a w a r a n u a n g y a n g d ifo k u s k a n p a d a
ju m la h u a n g b e r ed a r . M e n u r u t m o d e l F a n d , ju m la h u a n g b e r e d a r d ip e n g a r u h i
o le h k o n s e k u e n s i d a r i p e m il ih a n p o r to fo lio , B a n k S e n tr a l, d a n m a s ya r a k a t. S tu d i
la in y a n g b e r k a ita n d e n g a n ju m la h u a n g b e r e d a r d i In d o n e s ia d ila k u k a n o le h
In s u k in d r o d en g a n m e n g g u n a k a n p e n d e k a ta n tr a d is ion a l. S tu d i in i m e n g g u n a k a n
p e n d e k a ta n a n g k a p e n g g a n d a u a n g y a n g a k a n m e n a m b a h ju m la h u a n g b e r e d a r .
A n g k a p e n g g a n d a u a n g d ic ip ta k a n m e la lu i k e g ia ta n b a n k - b a n k u m u m y a n g d a p a t
m e n c ip t a k a n

uang

g i r a l d a r i d e p o s it o .

P r in s ip

u ta m a

p e n d e k a ta n

in i

m e n g a s u m s ik a n b a h w a a n g k a p e n g g a n d a u a n g a d a la h teta p . A k a n te ta p i h a s il
s tu d i e m p ir ik m e n u n ju k k a n h a s il y a n g b e r b e d a , k h u s u s n y a u n tu k u a n g k u a s i
d a n M 2.
S tu d i A g h e v li ta h u n 1 9 7 6 m e n e liti p e n g a r u h la n g s u n g p e n a w a r a n u a n g
p a d a h a r g a , s e d a n g k a n p a d a ta h u n

1 9 7 7 ia m e m a s u k k a n p e n g a r u h n e r a c a

p e m b a y a r a n , a n g g a r a n p e m e r in ta h , d a n k e b ija k s a n a a n m o n e te r te r h a d a p m o n e y

b a s e , y a n g s e la n ju tn y a b e r p e n g a r u h te r h a d a p p e n a w a r a n u a n g d a n a k h im y a
h a r g a . M o d e ln y a m e lip u ti e m p a t s ek to r , y a itu : p e r m in ta a n u a n g , p e r a w a r a n u a n g ,
a n g g a r a n p e m e r in ta h , d a n n e r a c a p e m b a y a r a n (W ija ya , 1 9 9 2 :1 1 9 ). B o e d io n o s e la in
m e n e liti te n ta n g p e r m in ta a n u a n g (1 9 7 4 ), j u g a m e m fo r m u la s ik a n m o d e l m a k r o
tr iw u la n a n u n tu k In d o n e s ia d e n g a n n a m a “H e r ti- 1” y a n g m e r u p a k a n m o d e l
s im u lta n d a r i v a r ia b e l- v a r ia b e l m o n e te r y a n g a d a d a n d a p a t m e n g a ta s i tid a k
te r s e d ia n y a d a ta tr iw u la n d a r i v a r ia b e l y a n g d ip a k a i. A n w a r N a s u tio n (1 9 8 3 ) d a la m
F in a n c ia l In s titu tio n a n d P o lic ie s in In d o n e s ia m e r u m u s k a n m o d e l s e k to r m o n e te r
d i In d o n e s ia y a n g m e lip u ti p e n a w a r a n d a n p e r m in ta a n u a n g , n e r a c a p e m b a ya r a n ,
a n g g a r a n p e m e r in ta h , d a n a g r e g a t d e m a n d , d i m a n a m o d e l y a n g d ip a k a i
m e r u p a k a n p e n g e m b a n g a n d a r i m o d e l A g h e v li s e b e lu m n y a .

2 .1 L a n d a s a n T e o r i
2 .1 .1 K o n s e p t e n t a n g U a n g
B e r d a s a r k a n la p o r a n b u la n a n d a n ta h u n a n B a n k In d o n e s ia , a d a 3 (tig a )
k o n s e p u a n g y a n g b e r la k u d i In d o n e s ia , y a itu : u a n g p r im e r a ta u u a n g in ti a ta u
M O (R e s e r v e m o n e y ), u a n g d a la m a r ti s e m p it a ta u M 1 d a n u a n g d a la m a r ti lu a s

177

S u s a n ti d a n M as ki, P e n g a ru h Tin gka t S u ku Eiunga d a n P e n d a p a ta n N a s ion a l R iil

a ta u M 2 . U a n g p r im e r m e r u p a k a n k e w a jib a n O to r ita s M o n e te r y a n g te r d ir i a ta s
u a n g k a r ta l y a n g b e r a d a d i lu a r B a n k In d o n e s ia d a n K a s N eg a r a , d a n r e k e n in g
g ir o B a n k P e n c ip ta U a n g G ir a l (B P U G ) d a n s e k to r s w a s ta d i B a n k In d o n e s ia . In i
b e r a r ti b a h w a u a n g k a r ta l y a n g d ip e g a n g o le h p e m e r in ta h (k a s p e m e r in ta h a ta u
k a s n eg a r a ) d a n s im p a n a n g ir a l p e m e r in ta h y a n g a d a d i o to r ita s m o n e te r (B a n k
In d o n e s ia ) tid a k d ip e r h itu n g k a n s e b a g a i k o m p o n e n d a r i u a n g p r im er .
K ita m e n g e n a l d u a r a s io y a itu : R a s io U a n g K a r ta l D e p o s ito (cu ) y a itu r a s io
y a n g m e n c e r m in k a n p e r ila k u m a s y a r a k a t d a n R a s io C a d a n g a n - D e p o s ito (re) y a n g
d ite n tu k a n o le h d u a p e r a n g k a t p er tim b a n g a n . P er ta m a , s is te m p e r b a n k a n tu n d u k
k e p a d a p e r a tu r a n d a n k e d u a , b a n k m u n g k in in g in m e n y im p a n c a d a n g a n le b ih
(e x c e s s r e s e r ve ) d i lu a r tin g k a t c a d a n g a n y a n g d ip e r lu k a n .

2 .1 . 2 P e n c i p t a a n U a n g
B a n k In d o n e s ia s e b a g a i B a n k S e n tr a l m e m b e r i d u a m a c a m k r e d it, y a itu
k r e d it k e p a d a b a n k - b a n k u m u m d a n k r e d it la n g s u n g k h u s u s n y a k e p a d a le m b a g a le m b a g a a ta u p e r u s a h a a n n e g a r a d a n s w a s ta u n tu k tu ju a n p e m b a n g u n a n
ek o n o m i.
P e r u b a h a n b e s a r n y a k r e d it y a n g d ib e r ik a n o le h b a n k d ip e n g a r u h i o le h
a n g k a p e n g g a n d a a k tiv a b a n k d a n u a n g in ti. P e r u b a h a n a n g k a p e n g g a n d a a k tiv a

b a n k te r g a n tu n g p a d a k o m p o s is i a k tiv a d a n p a s iv a y a n g m e m p e n g a r u h i u a n g
in ti. A d a n y a p e r u b a h a n k e d u a b e s a r a n e k o n o m i te r s e b u t a k a n b e r p e n g a r u h
te r h a d a p b e s a r n y a k r e d it y a n g d ib e r ik a n d a n p a d a a k h ir n y a m e m p e n g a r u h i j u g a
u a n g b er ed a r .

2 .1 .3 P e n a w a r a n U a n g
S e ja k ta h u n 1 9 6 0 , b e b e r a p a e k o n o m te la h b e r u s a h a m e n s p e s ifik a s i fu n g s i
p e n a w a r a n u a n g b e r d a s a r k a n p a d a h u b u n g a n a n ta r a b e b e r a p a v a r ia b e l m o n e te r .
D a la m

k o n te k s in i d ij e l a s k a n

s e c a r a s in g k a t b e b e r a p a p e n d e k a ta n y a n g

d ik e m b a n g k a n o le h F r ied m a n - S cw a r tz, C a g a n , B r u n n e r - M eltzer , d a n A lb e r t B u r g er .

2 . 1 . 3 . 1 F r i e d m a n -S c w a r t z d a n C a g a n
F r ie d m a n - S c w a r tz m e n g a n a lis a fa k to r y a n g m e n e n tu k a n ju m la h u a n g
b e r e d a r d i A m e r ik a S e r ik a t d e n g a n m e n g g u n a k a n id e n tita s h u b u n g a n ju m la h
u a n g b e r e d a r d e n g a n tig a fa k to r p e n e n tu y a itu , u a n g p r im e r , d e p o s ito to r e s e r v e
r a tio , d a n d e p o s ito to c u r r e n c y r a tio , d i m a n a k e tig a n y a m e n c e r m in k a n p e r ila k u
d a r i tig a s e k to r d a la m p e r e k o n o m ia n .
P e n d e k a ta n C a g a n h a m p ir s e r u p a d e n g a n k e d u a e k o n o m d i a ta s , h a n y a
p e r u m u s a n m e n g e n a i m u l tip l ie r u a n g s a ja y a n g m e m b e d a k a n n y a . C a g a n
m e r u m u s k a n id e n tita s ju m la h u a n g b e r e d a r s e b a g a i b e r ik u t :

M - H - - - - - - - - - - - -- - - - - - - - - - C / M + R / M - C / M Jt/ D

#Q 1)

D a r i k e d u a s tu d i in i d is im p u lk a n b a h w a fa k to r u a n g p r im e r (H ) m e r u p a k a n
fa k to r y a n g p a lin g u ta m a d a la m m e n e n tu k a n ju m la h u a n g b e r e d a r .

178

TE M A , V olu m e II, N o m o r 2, S e p te m b e r 2 001

2 . 1 . 3 . 2 B r u n n e r -M e l t z e r
B r u n n e r - M e ltze r m e n g e m b a n g k a n a n a lis is y a n g k o m p le k s d a r i h u b u n g a n
l in e a r d a n n o n l in e a r d a r i p r o s e s p e n a w a r a n u a n g . M e r e k a m e r u m u s k a n
p e n a w a r a n u a n g s e b a g a i b e r ik u t :
M l = m lO + m i l (B + L ) - m l 2 ( C P - ( l - m l 2 ) (T2 - m l4 ( E R 2

(2 .2 )

M 2 = m 2 0 + m 2 1 (B + L ) - m 2 2 (C P + m 2 3 (T 2 - m 2 4 (E R 2

(2 .3 )

di m ana:

1

m l

= m u ltip lie r M

m 21

= m u ltip lie r M 2

(B + L )

= u a n g p r im e r te r m a s u k r e s e r v e lib e r a te d

C P2

= b a g ia n c u r r e n c y y a n g d ip e g a n g p u b lik

T2

= b a g ia n tim e d e p o s it y a n g a d a d i b a n k

E R2

= b a g ia n e x c e s s r e s e r v e d a r i b a n k

H a s il a n a lis a B r u n n e r - M e ltze r m e n y im p u lk a n p e r u b a h a n ju m la h u a n g
b e r e d a r d ite n tu k a n te r u ta m a o le h p e r u b a h a n u a n g p r im e r d a n p u b lic c u r r e n c ie s
b e h a v io r ; o p e n m a r k e t o p e r a tio n s a n g a t m e n e n tu k a n u a n g p r im e r d a n te n tu s a ja
ju m la h u a n g b e r e d a r ; d a n tin g k a t b u n g a m e m p u n y a i e fe k y a n g k e c il te r h a d a p
ju m la h u a n g b e r e d a r .

2 .1 .3 .3 A lbe rt B u rg e r
B u r g e r m e m a k a i tig a s e k to r d a l a m m e m p e n g a r u h i ju m la h u a n g b e r e d a r ,
y a itu p e n g u a s a m o n e te r , b a n k k o m e r s ia l, d a n p u b lik n o n - b a n k (m a s y a r a k a t) .
D a l a m a n a lis a n ya , p e r ta m a - ta m a ia m e r u m u s k a n u a n g p r im e r d e n g a n b e r b a g a i
fa k to r y a n g m e m p e n g a r u h in ya , y a itu a n ta r a la in p in ja m a n d a r i b a n k s en tr a l, s to c k
e m a s , tr e a s u r y d e p o s it d a n fo r e ig n d e p o s it. B u r g e r m e n u r u n k a n m u ltip lie r u a n g
( m l u n tu k M 1 d a n m 2 u n tu k M 2 ) s e b a g a i b e r ik u t:

ml
ml
D i mana:

0 + ^ )

= ----------- - -------- - -----------

{r-b).{\ +t +d) +K

= ----------- - - - - - - - - - - - - - - - - - - -

(r-b).(\ +t +d) +K

(2 .4 )

(2 .5 )

K : c u r r e n c y / d e m a n d d e p o s it
t

: tim e d e p o s it/ d e m a n d d e p o s it

d : tr e a s u r y d e p o s it/ d e m a n d d e p o s it
b

: b o r r o w in g r e s e r v e r a tio

r

: r e a s e r v e r a tio

H a s il p e n e litia n n y a m e n e m u k a n h a l y a n g s a m a d e n g a n h a s il p e n e litia n
s e b elu m n ya , y a itu p e m e r in ta h d a la m ja n g k a p e n d e k d a p a t m e n g o n tr o l u a n g p r im e r
y a n g d ib e r ik a n p a d a b a n k k o m e r s ia l d a n m a s ya r a k a t, d a n b a h w a u a n g p r im e r
m e r u p a k a n fa k to r u ta m a d a la m p e n e n tu a n p e r u b a h a n ju m la h u a n g b e r ed a r .

179

S u s a n ti d a n M as ki, P e n g a ru h Tin gka t S u ku B u n g a

d a n P e n d a p a ta n N a s ion a l R iil

2 .1 .3 .4 . K a rl B ru n n e r
A n a lis a B r u n n e r te n ta n g p r o s e s p en a w a r a n u a n g a d a la h b er d a s a r k a n p a d a
id e n tita s p e n a w a r a n u a n g B r u n n e r - M e ltzer , y a itu :
M =mB

( 2 .6 )

D i m a n a M a d a la h p e n a w a r a n u a n g , m m e r u p a k a n m u ltip lie r u a n g , d a n B
a d a la h u a n g p r im e r . B ila k e tig a p e n e liti s e b e lu m n y a m e n d a s a r k a n p a d a s itu a s i
e k o n o m i ter tu tu p , m a k a K a r l B r u n n e r b er d a s a r k a n p a d a e k o n o m i te r b u k a d i m a n a
m o n e y b a s e d ip e n g a r u h i s e la in o le h fa k to r d a la m n e g e r i j u g a d ip e n g a r u h i o le h
fa k to r lu a r b e g e r i, a ta u :
B = B D 1+D B 2+FB 1+FB 2

(2 .7 )

D i mana:
B

=

u a n g p r im e r

DB 1

=

k o m p o n e n d o m e s tik u a n g p r im e r y a n g m e lip u ti g o v e r n m e n t
s e c u r itie s d a n p in ja m a n p e m e r in ta h d a n s im p a n a n b e r s ih
p e m e r in ta h p a d a b a n k s e n tr a l.

DB2

=

k o m p o n e n d o m e s tik u a n g p r im e r s e la in D B 1

FB 1

=

k o m p o n e n a u to n o m o u s y a n g b e r h u b u n g a n d e n g a n n e r a c a

FB 2

=

p em b a ya ra n
n e t fo r e ig n p o s is itio n d a r i m a s y a r a k a t

3 . M e t o d e P e n e li t i a n
3 .1 . M o d e l y a n g D i t a k s i r
B e r d a s a r k a n te o r i y a n g te r k a it s e p e r ti d ije la s k a n d i a ta s , m a k a u n tu k
p e n a w a r a n u a n g d i In d o n e s ia d a p a t d ib u a t m o d e l y a n g d ita k s ir s e b a g a i b e r ik u t:
M = f(IR ,Y R )
D i mana :

(3 .1 )

M = ju m la h u a n g b e r e d a r
IR = tin g k a t s u k u b u n g a
Y R = p e n d a p a ta n n a s io n a l r iil

D a r i p e r s a m a a n d i a ta s b ila d itu lis k a n d a la m m o d e l E C M a k a n m e n ja d i:

3 .2

D M 1 , = So + S i D Y R t+ 5 2 D IR t+ 83 Y R , + 54 IRt- i + S5 E C T

(3 .2 )

D M 2t= 5o + 5i D Y R t+ 82D IR t+ S3Y R t+ 5 4IR ^ +

(3.3)

55E C T

P e n d e k atan K o in te g rasi
B e r k a ita n d e n g a n is u te r s e b u t, p e n g u jia n te r h a d a p p e r ila k u d a ta r u n tu n

w a k tu ( tim e s e rie s ) a ta u in te g r a s in y a d a p a t d ip a n d a n g s e b a g a i u ji p r a s y a r a t b a g i
d ig u n a k a n n y a p e n d e k a ta n k o in te g r a s i. U n tu k itu , p e r ta m a - ta m a h a r u s d ia m a ti
p e r ila k u d a ta e k o n o m i r u n tu n w a k tu y a n g a k a n d ig u n a k a n . In i b e r a r ti p e n g a m a t
h a r u s y a k in te r le b ih d a h u lu a p a k a h d a ta y a n g d ig u n a k a n s ta s io n e r a ta u tid a k ,

180

TB M A , V olu m e II, N o m o r 2, S e p te m b e r 2 001

y a n g a n ta r a la in d a p a t d ila k u k a n d e n g a n u n i a k a r - a k a r

u n it (te s tin g fo r u n it

r o o ts ) d a n u ji d e r a ja t in te g r a s i ( te s tin g f o r d e g re e o f in te g ra tio n ) .
U ji a k a r - a k a r u n it d a p a t p u la d ip a n d a n g s e b a g a i u ji s ta tio n e r ita s , k a r e n a p a d a
p r in s ip n y a u ji te r s e b u t d im a k s u d k a n u n tu k m e n g a m a ti a p a k a h k o e fis ie n te r te n tu
d a r i m o d e l o to r e g r e s if d ita k s ir m e m p u n y a i n ila i s a tu

a ta u

tid a k . U ji y a n g

d ik e m b a n g k a n o le h D ick e y d a n F u lle r m e n g g u n a k a n p e n a k s ir a n o to r e g r e s if b e r ik u t
in i:

D X , = a 0 + axB X , +

b ,B ‘D X t

(3 .4

1=1

k

D X t = c0 + c 1T + c 2B X , +

d jB 'D X ,

(3 .5

i= i

di m ana :

D Xt

= X t- X t- 1

B Xt

= X t- l

T

= tr e n w a k tu

Xt

= v a r ia b e l y a n g d ia m a ti p a d a p e r io d e t

B

= o p e r a s i k e la m b a n a n k e u d ik (b a c k w a r d la g o p e r a to r )

K

= N 1 / 3 d i m a n a N a d a la h ju m la h o b s e r v a s i

D a ri p ers a m a a n

d i a ta s , k e m u d ia n d ih itu n g n ila i s ta tis k tik D F (D ic k e y-

F u lle r ) d a n A D F (A u g u m e n te d D ic k e y - F u lle r ). N ila i D F d a n A D F u n tu k h ip o te s a
b a h w a a l = 0 d a n c2 = 0 d itu n ju k k a n o le h n is b a h t p a d a k o e fis ie n B X t. S e la n ju tn y a
n is b a h t te r s e b u t d ib a n d in g k a n d e n g a n n ila i k r itis s ta tis tik D F d a n A D F ta b e l
u n tu k m e n g e ta h u i a d a a ta u tid a k n y a a k a r - a k a r u n it. D a r i F u lle r (1 9 7 6 ) d a p a t
d ik e ta h u i b a h w a n ila i k r itis N = 5 0 d a n N = 1 0 0 b e s a r n y a m a s in g - m a s in g - 2 .9 3 d a n
- 2 .8 9 u n tu k D F s e r ta - 3 .5 0 d a n - 3 .4 5 u n tu k A D F .
U ji d e r a ja t in te g r a s i d ila k u k a n a p a b ila p a d a u ji a k a r - a k a r u n it y a n g te la h
d ila k u k a n , d a ta y a n g d ia m a ti te r n y a ta tid a k s ta s io n e r . U ji in i u n tu k m e n g e ta h u i
p a d a d e r a ja t a ta u o r d e r d ife r e n s i k e b e r a p a d a ta y a n g d ia m a ti a k a n s ta tio n e r .
S e la in itu p u la , u ji in i m e r u p a k a n p e r lu a s a n d a r i u ji a k a r - a k a r u n it, s e h in g g a
u n tu k d a p a t m e n e r a p k a n u ji in i, p e r lu d ila k u k a n u ji m o d e l o to r e g r e s if b e r ik u t:
k

D 2 X t = e 0 + e 1B D X t + ^ J f iB iD 2 X t

(3 .6 )

/=l

k

D 2 X t = g 0 + g \ T + g 2B D X t + J^ h i B i D 2 X t

(3 .7 )

i=i

di m ana :

D 2Xt
B D Xt
T

= D X t - D X t- 1
= D X t- l
= tr e n d w a k tu

Xt

= v a r ia b e l y a n g d ia m a ti p a d a p e r io d e T a ’a la

B

= o p e r a s i k e la m b a n a n k e u d ik (b a c k w a r d la g o p e r a to r )

k

= N 1 / 3 d i m a n a N a d a la h ju m la h o b s e r v a s i

N ila i s ta tis tik D F d a n A D F u n tu k m e n g e ta h u i p a d a d e r a ja t k e b e r a p a s u a tu
d a ta a k a n s ta s io n e r d a p a t d ilih a t p a d a r a s io T p a d a k o e fis ie n B X t p a d a p e r s a m a a n
(3 .6 ) d a n (3 .7 ). J ik a e l d a n g 2 s a m a d e n g a n s a tu , m a k a v a r ia b e l X t d ik a ta k a n

181

S u s a n ti d an M a s ki, P e n g a ru h Tin gka t S uku B u n ga

d a n P e nd a p a ta n N a s ion a l R iil

s ta tio n e r p d a d ife r e n s i p e r ta m a a ta u b e r in te g r a s i p a d a d e r a ja t s a tu a ta u I = (1 ).
S e b a lik n ya , b ila e 1 d a n g 2 s a m a d e n g a n n o l, m a k a v a r ia b e l X d ik a ta k a n b e lu m
s ta s io n e r p a d a d ife r e n s i p er ta m a . B ila h a l in i te r ja d i, m a k a u ji d e r a ja t in te g r a s i
p e r lu d ila n ju tk a n s e h in g g a d ip e r o le h d a ta y a n g s ta s io n e r .

3 .3

U ji K o in t e g rasi
U n tu k m e n d a p a tk a n g a m b a r a n

m e n g e n a i p e n d e k a ta n

k o in te r a s i,

a n g g a p la h k ita m e m ilik i s a tu h im p u n a n v a r ia b e l r u n tu n w a k tu X . K o m p o n e n X
d ik a ta k a n b e r k o in te g r a s i p a d a d e r a ja t d , b a ta u d itu lis ( (d ,b ) b ila :
1. S e tia p k o m p o n e n d a r i X b e r k o in te g r a s i p a d a d e r a ja t d a ta u I (d )
2. T e r d a p a t s u a tu v e k to r ( y a n g tid a k s a m a d e n g a n n o l (( ( 0 ), s e h in g g a

Zt =

( lX ( I( d , b ) , d i m a n a b > 0 d a n ( a d a la h v e k to r k o in te g r a s i
Im p lik a s i p e n tin g d a r i ilu s tr a s i d a n d e fin is i d i a ta s a d a la h b a h w a j ik a d u a
v a r ia b e l a ta u le b ih m e m p u n y a i d e r a ja t in te g r a s i y a n g b e r b e d a , k a ta k a n la h X = I
(1) d a n Y = 1(2), k e d u a v a r ia b e l te r s e b u t tid a k d a p a t b e r k o in te g r a s i. S e la n ju tn y a
b e r s a m a a n d e n g a n u ji k o in te g r a s i, E n g le d a n G r a n g e r b e r p e n d a p a t b a h w a d a r i
tu ju h u ji s ta tis tik y a n g d ik e te n g a h k a n u n tu k m e n g u ji h ip o te s is n o l tid a k a d a n y a
k o in te g r a s i, te r n y a ta u ji C R W D (C o in te g r a tio n - R e g r e s s io n D u r b in - W a ts o n ), D F
(D ic k e y- F u lle r ), d a n A D F (A u g e m e n te d D ick e y- F u lle r ) m e r u p a k a n u ji s ta tis tik y a n g
p a lin g d is u k a i. U n tu k m e n g h itu n g s ta tis tik C R D W , D F d a n A D F d ita k s ir d e n g a n
r e g r e s i k o in te g r a s i b e r ik u t in i d e n g a n m e to d e k u a d r a t te r k e c il (o r d in a r y le a s t
s q u a r e s = O L S ), d e n g a n m e la k u k a n e s tim a s i m e n g g u n a k a n m o d e l b e r ik u t:
L M 2 t= (0 + (1 L Y R t + (2 IR t + U t

(3 .8 )

U n tu k m e n d a p a tk a n n ila i D F u ji k o in te g r a s i, y a n g d itu n ju k k a n o le h r a s io
p a d a k o e f is ie n

B u t p a d a p ers a m a a n

(3 . 9 )

dan

p ers a m a a n

(3 .1 0 )

u n tu k

m e n d a p a tk a n n ila i A D F u ji k o in te g r a s i, d itu n ju k k a n o le h r a s io p a d a k o e fis ie n
B u t p a d a p e r s a m a a n (3 .1 0 ):

D U t= pi B u t

(3 .9 )
k

(3 - 1 0 )
i=i

4. H a sil P e n e lit ian d an P e m bah asan
4 .1

U j i A k a r -a k a r u n i t d a n u j i D e r a j a t K o i n t e g r a s i
T a b e l 1.
H asil U ji A k a r Un it V a ria be l L M lt ,L M 2 t , L Y R t , d an IR t
U j i A k a r -A k a r U n i t

V ariabe l
DF

182

ADF

L M lt

- 0 .9 0 2 1

- 3 .6 6 6 1

LM 2t

- 0 .9 2 3 8

- 2 .6 2 9 4

LYRt

- 0 .2 1 8 0

- 2 .0 4 3 1

I Rt

- 2 .2 6 8 3

- 2 .5 7 1 8

TE M A , V olu m e II, N o m or 2, S e p te m b e r 2001

D a r i k e s e lu r u h a n h a s il n ila i u ji a k a r - a k a r u n it te r h a d a p k e e m p a t v a r ia b e l
( L M l t, L M 2 t, L Y R t, d a n IR t) d a p a t d is im p u lk a n b a h w a s e m u a v a r ia b e l IR t j u g a
tid a k s ta s io n e r s e h in g g a p e r lu d ila k u k a n u ji d e r a ja t s ta s io n e r y a n g b e r ik u tn y a
y a itu u ji d e r a ja t in te g r a s i.

T abe l 2.
H asil U ji D e rajat I n t e g rasiV ariabe l L M l t ,
LM 2t, LY R t, dan IR t
v a iia D e i

U ji D e ra ja t K o in t e g ra s i
DF

ADF

L M lt

- 3 .3 9 3 2

- 3 .2 1 6 1

LM 2t

- 5 .2 7 7 1

- 5 .3 8 8 2

LYRt

- 4 .7 5 4 7

- 4 .7 5 3 4

IR t

- 2 .1 8 5 1

- 2 .1 4 9 0

D a r i h a s il p e r h itu n g a n u ji d e r a ja t in te g r a s i, d id a p a t b a h w a s e m u a v a r ia b e l
b a ik itu L M 1 , L M 2 , L Y R t m a u p u n IR t s u d a h s ta s io n e r p a d a d e r a ja t 1. D e n g a n
d e m ik ia n tid a k p e r lu d ila k u k a n la g i u ji d e r a ja t in te g r a s i s e la n ju tn y a u n tu k
m e n e m u k a n n ila i u ji d e r a ja t y a n g s ta s io n er .

4 .2 . U j i K o i n t e g r a s i
U ji k o in te g r a s i y a n g d ig u n a k a n d a la m p e n e litia n in i k o in te g r a s i m e n c a k u p
tig a je n is . P e r ta m a , u ji C W R D ( C o in te g ra tio n - R e g re s s io n D u rb in W a ts on ), u ji D F
(D ic k e y F u ller ) d a n u ji A D F ( A u g u m e n te d D icke y - F u lle r). U n tu k m e n g h itu n g s ta tis tik
C R D W , D F d a n A D F d ita k s ir d e n g a n r e g r e s i k o in te g r a s i d e n g a n m e to d e k u a d r a t
te r k e c il ( O rd in a ry L e a s t S q u a re s = O L S ) .
D a r i h a s il r e g r e s i p e r s a m a a n (3 .8 ) p a d a ta m p ila n 1 d i a ta s , d id a p a t n ila i
C R D W = 0 .8 4 6 1 1 6 . J ik a d ib a n d in g k a n d e n g a n n ila i k r itis n ila i C R D W m a k a d a p a t
d ik a ta k a n b a h w a n ila i C R D W v a r ia b e l M l lo lo s u ji k o in te g r a s i. U n tu k n ila i D F
d a n A D F v a r ia b e l y a n g s a m a j u g a lo lo s u ji k o in teg r a s i. H a l te r s e b u t d id a p a t s e te la h
m e m b a n d in g k a n h a s il D F d a n A D F h itu n g te r h a d a p n ila i k r itis D F d a n A D F p a d a
s ig n ifik a n 5 % d a n ju m la h d a ta N = 5 0 .
U n tu k v a r ia b e l M 2 d a p a t d ik a ta k a n b a h w a s e c a r a k e s e lu r u h a n b a ik itu
u ji n ila i C R D W , D F d a n A D F m e n g in d ik a s ik a n b a h w a d a ta p a d a v a r ia b e l M 2 te la h
lo lo s u ji k o in te g r a s i. H a l itu d a p a t d ilih a t d a r i n ila i k e tig a m e to d e y a n g d ite r a p k a n .
V a r ia b e l M 2 m e m p u n y a i n ila i C R D W

=

1 . 9 8 0 0 9 1 , n il a i D F d a n A D F b il a

d ib a n d in g k a n d e n g a n n ila i k r itis D F d a n A D F d id a p a t b a h w a v a r ia b e l d a ta - d a ta
p a d a v a r ia b e l M 2 lo lo s u ji k o in te g r a s i.

4 .3 . P e n d e k a t a n K o i n t e g r a s i d a n E C M
D L M 1 = 0 .4 0 0 1 9 4 7 D L Y R - 0 .0 0 9 2 5 1 0 D IR - 0 .2 0 5 6 8 8 3 U
D L M 2 = - 1 .0 2 4 0 2 1 0 D L Y R + 0 .0 1 6 7 4 2 D IR - 0 .7 0 6 0 5 4 5 U
D a r i h a s il y a n g d ita m p ilk a n d a p a t d ik a ta k a n b a h w a v a r ia b e l j a n g k a p e n d e k
y a n g d ip ilih s u d a h s ig n ifik a n s e c a r a s ta tis tik . D e n g a n k a ta la in d a la m ja n g k a
p e n d e k p e n d a p a ta n n a s io n a l r iil d a n tin g k a t s u k u b u n g a d e p o s ito m e m p u n y a i
p e n g a r u h te r h a d a p ju m la h M l d i In d o n e s ia . P e n d a p a ta n n a s io n a l r iil m e m p u n y a i
p e n g a r u h p o s itif, s e d a n g s u k u b u n g a b e r p e n g a r u h n é g a tif. A r tin y a , s e s u a i d e n g a n

183

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d a n P e n d a p a ta n N a s io n a l R iil

h a s il r e g r e s i y a n g d ita m p ilk a n p a d a ta m p ila n M 1 h a s il k o in te g r a s i E C M j ik a te ij a d i
k e n a ik a n p e n d a p a ta n n a s io n a l r iil 1 % m a k a d a la m ja n g k a p e n d e k a k a n te ija d i
k e n a ik a n ju m la h M l s e b a n y a k 0 .4 % . N a m u n s e b a lik n y a j ik a k e n a ik a n te ija d i
p a d a s u k u b u n g a s e b a n y a k 1 % , m a k a a k a n m e n y e b a b k a n p e n u r u n a n ju m la h
M 1 s e b a n ya k 0 .0 0 9 % . D e n g a n a n g k a y a n g s a n g a t k e c il= 0 .0 0 9 % , d ite n g a r a i b a h w a
p e n g a r u h k e n a ik a n tin g k a t s u k u b u n g a tid a k b e g itu b e s a r , a ta u s a n g a t le m a h
j ik a m e n c a r i ta h u p e n g a r u h n y a d a la m m a s a y a n g s a n g a t s in g k a t.
D a r i h a s il te r s e b u t, s e k a r a n g k ita tin ja u p e n g a r u h v a r ia b e l b e b a s te r h a d a p
v a r ia b e l ta k b e b a s M 2 . In d ik a s i a w a i d a r i k e s u k s e s a n p e n g g u n a a n m o d e l k o r e k s i
k e s a la h a n E - G in i d a p a t d ilih a t s ig n ifik a n n y a n ila i k o e fis ie n B U t d e n g a n k o e fis ie n
n e g a tif s e p e r ti y a n g d ih a r a p k a n y a itu s e b e s a r - 0 .7 0 6 0 5 4 5 .
K e n d a ti b e g itu , v a r ia b e l ja n g k a p e n d e k y a n g d ip ilih (L Y R ) tid a k m e m p u n ya i
p e n g a r u h te r h a d a p ju m la h M 2 k a r e n a k o e fis ie n n y a tid a k s ig n ifik a n s ec a r a s ta tis tik .
S e d a n g u n tu k v a r ia b e l IR , d ia m e m p u n y a i p e n g a r u h p o s itif te r h a d a p M 2 , y a n g
b e r a r ti b a h w a j ik a IR m e n g a la m i k e n a ik a n

1 % , m a k a ju m la h M 2 a k a n n a ik

s e b a n ya k 0 .0 1 6 % .

4 .4 . E r r o r C o r e c t i o n M o d e l
D LM l =

0 . 1 5 9 0 1 6 4 - 0 . 3 6 9 7 3 0 6 D L Y R t - 0 . 0 2 5 9 8 1 0 D IR t - 0 . 0 0 9 2 9 L Y R t- i (0 .7 9 7 2 9 0 7 )

0 .1 2 7 1 0 3 3 )

(0 .0 1 4 9 1 9 4 )

(0 .0 6 2 3 5 2 5 )

0 . 0 5 0 4 1 2 0 IR t- i + 0 . 0 3 3 0 5 1 8 E C T ..............................
(0 .0 4 2 5 4 6 6 )

( 4 .1 )

(0 .0 4 2 2 0 3 5 )

R 2 = 0 .4 5 2 3 3 5

D -W

= 1 .5 6 1 3 0 8

F = 5 .4 1 1 5 2

D L M 2 = - 2 0 . 2 0 1 7 9 0 + 0 . 8 8 5 3 4 0 0 D L Y R t + 0 . 0 4 1 9 0 1 3 D IR t + 0 . 0 4 1 9 0 1 3 L Y R t- i(1 .0 3 8 2 1 1 4 )

(0 .3 6 2 8 0 9 5 )

(0 .0 4 4 2 2 8 8 )

(0 .0 8 7 7 2 7 3 )

0 . 7 5 4 1 4 2 1 IR t- i + 0 . 7 8 6 5 5 6 2 E C T .............................
(0 .0 3 9 0 1 3 3 )

( 4 .2 )

(0 .0 3 3 6 4 1 2 )

R 2 = 0 .9 6 2 6 1 0

D -W

= 1 .3 2 4 8 6 1

F = 1 6 2 .9 1 6 7

D e n g a n m e n g a n g g a p b a h w a h a s il e s tim a s i m o d e l E C M d i a ta s d ih a s ilk a n
tr a n s fo r m a s i K y o c k , m a k a d a p a t d ik e m u k a k a n b a h w a b e s a m y a n ila i tin g k a t
p e n u r u n a n (r a te o f d e c lin e ), c6 = 0 .0 3 3 0 5 1 8 d a n m e a n la g a d a la h ( c 6 / ( l- c 6 ) ) =
0 .0 3 3 0 5 1 8 / (1 - 0 .0 3 3 0 5 1 8 ) = 0 .0 3 4 1 8 1 5 5 1 . H a l te r s e b u t m e m p u n y a i a r ti b a h w a
3 . 3 % d a r i g a p a k a n te r tu tu p d a la m s u a tu p e r io d e d e n g a n k e c e p a ta n L M l t d a la m
m e r e s p o n s p e r u b a h a n L Y R t d a n IR t a d a la h 0 .0 3 4 2 x 3 b u la n = 0 .1 0 1 6 b u la n a ta u
ta k s a m p a i d a la m 1 b u la n .
U n tu k m e n g h itu n g b e s a r a n

( n ila i) k o e f is ie n j a n g k a p a n ja n g h a s il

p e r h itu n g a n n y a a d a la h s e b a g a i b er ik u t:
K o n s ta n ta

= c0 / o5

= 0 .1 5 9 0 2 / 0 .0 3 3 0 5

LYR t

= (c 3 + c 5 )/ c 5

= (- 0 .0 0 9 0 9 + (0 .0 3 3 0 5 ))/

IR t

= (c 4 + c 5 )/ c 5

=

(- 0 .0 5 0 4 1 + 0 .0 3 3 0 5 )/

= 4 .8 1 1 4 9
0 .0 3 3 0 5

0 .0 3 3 0 5

= 0 .7 2 4 9 6
= - 0 .5 2 5 2 6

D a r i h a s il p e r h itu n g a n d i a ta s d id a p a t b a h w a d a la m ja n g k a p a n ja n g , ju m la h
M 1 d i In d o n e s ia tid a k h a n y a d ip e n g a r u h i o le h tin g k a t p e n d a p a ta n n a s io n a l r iil,
ta p i j u g a tin g k a t s u k u b u n g a . K e d u a k o e fis ie n v a r ia b e l b a ik itu tin g k a t s u k u b u n g a

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m a u p u n p en d a p a ta n n a s io n a l r iil ta m p a k s ig n ifik a n d a n s e s u a i d e n g a n te o r i y a n g
a d a . H a s il te r s e b u t m e n u n ju k k a n b a h w a b ila tin g k a t s u k u b u n g a n a ik 1 % m a k a
te ija d i p en u r u n a n p a d a ju m la h M 1 s eb es a r 0 .5 3 % . S e d a n g k a n b ila te ija d i k e n a ik a n
p a d a tin g k a t p e n d a p a ta n n a s io n a l s e b e s a r 1 % a k a n te ija d i j u g a p e n in g k a ta n
ju m la h M l s e b e s a r 0 .7 2 % .
U n tu k v a r ia b e l M 2 s e p e r ti y a n g te r lih a t p a d a p e r s a m a a n (4 .2 ), d a p a t d ilih a t
b a h w a h a s il E C T y a n g p o s itif, k o e fis ie n n y a s ig n ifik a n s e c a r a s ta tis tik d a n te r le ta k
a n ta r a 0 d a n 1 a ta u o (c 6 ( 1, m a k a d a p a t d ik a ta k a n b a h w a m o d e l y a n g d ig u n a k a n
s a h ih / va lid .
N ila i R 2 = 0 .9 6 2 6 1 0 m e n u n ju k k a n b a h w a s e b a n y a k 0 .9 6 2 a ta u 9 6 . 3 %
d a r i v a r ia b e l M 2 (u a n g d a la m a r ti lu a s ) m a m p u d ije la s k a n o le h v a r ia b e l- v a r ia b e l
b eb a s n ya . N ila i F s ta tis tik y a n g s ig n ifik a n m e n u n ju k k a n b a h w a s e c a r a k e s e lu r u h a n
v a r ia b e l b e b a s (D L Y R t, D IR t, D L Y R t- l, d a n D IR t- 1 ) m e m p e n g a r u h i v a r ia b e l ta k
b e b a s L M 2 t.
D e n g a n m e n g a n g g a p b a h w a h a s il e s tim a s i m o d e l E C M d i a ta s d ih a s ilk a n
tr a n s fo r m a s i K yo c k , m a k a d a p a t d ik e m u k a k a n b a h w a b e s a m y a n ila i tin g k a t
p e n u r u n a n (r a te o fd e c lin e ) , c6 = 0 .7 8 6 6 d a n m e a n la g a d a la h ( c 6 / ( l- c 6 ) ) = 0 .7 8 6 6 /
(1 - 0 . 7 8 6 6 )= 3 .6 8 6 0 4 . H a l te r s e b u t m e m p u n y a i a r ti b a h w a 7 8 %

d a ri g a p a k a n

ter tu tu p d a la m s u a tu p e r io d e d en g a n k e c ep a ta n L M 2 t d a la m m e r e s p o n s p e r u b a h a n
L Y R t d a n IR t a d a la h 3 .6 8 6 0 4 x 3 b u la n = 1 1 .0 5 8 1 2 b u la n a ta u d ib u la tk a n m e n ja d i
11 b u la n .
U n tu k m e n g h itu n g b e s a r a n (n ila i) k o e fis ie n j a n g k a p a n ja n g d ig u n a k a n
r u m u s y a n g te la h d ib a h a s d i a ta s . H a s il p e r h itu n g a n n y a a d a la h s e b a g a i b e r ik u t:
K o n s ta n ta = c 0 / c 5 = - 2 0 . 2 0 1 7 9 0 / 0 .7 8 6 5 6 2 = - 2 5 .6 8 3 8 5
L Y R t = (c 3 + c 5 )/ c 5 = (1 .7 1 9 7 1 + 0 .7 8 6 5 6 )/ 0 .7 8 6 5 6 = 3 .1 8 6 3 7
IR t = (c4 + c 5 )/ c 5 = (- 0 .7 5 4 1 4 + 0 .7 8 6 5 6 )/ 0 .7 8 6 5 6 = 0 .0 4 1 2 2
D a r i h a s il p e r h itu n g a n d i a ta s d id a p a t b a h w a d a la m ja n g k a p a n ja n g , ju m la h
M 2 d i In d o n e s ia tid a k h a n y a d ip e n g a r u h i o le h tin g k a t p e n d a p a ta n n a s io n a l r iil,
ta p i j u g a tin g k a t s u k u b u n g a . K en d a ti k o e fis ie n tin g k a t s u k u b u n g a tid a k s ig n ifik a n
d a n ta k s e s u a i d e n g a n te o r i y a n g a d a , h a l itu s a h - s a h s a ja m e n g in g a t d a la m M 2
te r d a p a t j e n is u a n g k u a s i y a n g k a d a n g p e r ta m b a h a n ju m la h n y a d ite n tu k a n o le h
p e n in g k a ta n tin g k a t s u k u b u n g a . H a s il te r s e b u t m e n u n ju k k a n b a h w a b ila tin g k a t
s u k u b u n g a n a ik 1 % m a k a te ija d i k e n a ik a n p u la p a d a ju m la h M 2 s e b e s a r 0 .0 4 1 % .
S e d a n g k a n b ila te ija d i k e n a ik a n p a d a tin g k a t p e n d a p a ta n n a s io n a l s e b e s a r 1 %
a k a n te ija d i j u g a p e n in g k a ta n ju m la h M 2 s e b e s a r 3 .1 8 6 4 % .

5. K e sim p u lan d an S aran
5 .1 . K e s i m p u la n
B er d a s a r k a n h a s il p e n g a m a ta n d a n a n a lis a te r h a d a p ju m la h u a n g b e r a d a r
d a la m p e n e litia n in i, m a k a d a p a t d ia m b il k e s im p u la n s e b a g a i b er ik u t:
1.

D a r i p e n g a m a ta n te r h a d a p v a r ia b e l y a n g b e r p e n g a r u h te r h a d a p ju m la h u a n g
b e r e d a r d i In d o n e s ia , m e n u n ju k k a n b a h w a te o r i p e n a w a r a n u a n g m o d e r e n
b e r la k u p u la d i In d o n e s ia s e b a g a i n e g a r a b e r k e m b a n g d e n g a n p e r e k o n o m ia n
te r b u k a d a n p r o s e s m o n e tis a s i s e d a n g m e lu a s , y a itu

b a h w a g era k a ra h

p e r u b a h a n ju m la h u a n g b e r e d a r d i m a s y a r a k a t d ip e n g a r u h i o le h tig a s e k to r

185

S u s a n ti d a n M as ki, P e n g a ru h Tin gka t S u ku B u n g a

d a n P e n d a p a ta n N a s ion a l R iil

d a la m p er ek o n o m ia n , y a itu p e m e r in ta h s e b a g a i p e n g u a s a m o n e te r , b a n k - b a n k
u m u m s e b a g a i p e n c ip ta u a n g s e k u n d e r / g ir a l d a n p e r ila k u m a s ya r a k a t y a n g
b e r in te r a k s i d e n g a n le m b a g a - le m b a g a k e u a n g a n d a la m m e n g a m b il k e p u tu s a n
p o r to fo lio n ya .
2.

D e n g a n te ija d in y a k e le b ih a n p e n d a p a ta n , m a k a m a s ya r a k a t m e n ye s u a ik a n n ya
d e n g a n m e m e g a n g u a n g s e m p it le b ih b a n ya k d a r ip a d a u a n g lu a s d a la m ja n g k a
p e n d e k , d a n s e b a lik n y a d a la m ja n g k a p a n ja n g . E la s tis ita s p e n d a p a ta n y a n g
tin g g i d a la m ja n g k a p a n ja n g m e n u n ju k k a n b a h w a a s e t- a s e t fin a n s ia l d i In d o ­
n e s ia b e lu m

b e r k e m b a n g , s e h in g g a m a s y a r a k a t m e n y im p a n k e le b ih a n

p e n d a p a ta n n y a d a la m b e n tu k k e k a y a a n m o n e te r . H a l in i c u k u p w a ja r te ija d i
d i I n d o n e s ia s e b a g a i n e g a r a b e r k e m b a n g d i m a n a p a s a r m o d e l b e lu m
b e r k e m b a n g d a n p r o s e s m o n e tis a s i s e d a n g m e lu a s .
3.

M e lu a s n y a ja r in g a n p e r b a n k a n , te r u ta m a s e te la h a d a n y a d e r e g u la s i te la h
m e n a m b a h in te r a k s i m a s y a r a k a t d e n g a n le m b a g a k e u a n g a n te r s e b u t s e h in g g a
tu r u t p u la m e m p e n g a r u h i g e r a k a r a h p e r u b a h a n ju m la h u a n g b er ed a r .

4.

P e r u b a h a n tin g k a t b u n g a d e p o s ito s e c a r a la n g s u n g m e m p e n g a r u h i tin g k a h
la k u p o r te p e l (p o r to fo lio ) a ta u k e p u tu s a n p e n yim p a n a n k e k a y a a n m a s ya r a k a t.
H a l in i te r lih a t d a r i p e n g a r u h tin g k a t s u k u b u n g a y a n g n e g a tif te r h a d a p M 1
d a n p o s itif te r h a d a p M 2 , y a n g m e n u n ju k k a n d e n g a n m e n in g k a tn y a tin g k a t
s u k u b u n g a y a n g d ita w a r k a n o le h p e r b a n k a n , m a s y a r a k a t a k a n m e n g g e s e r
a s e t/ k e k a y a a n n y a d a r i u a n g k a r ta l d a n u a n g g ir a l k e p a d a j e n is d e p o s ito d a n
ta b u n g a n y a n g m e n ja n jik a n k e u n tu n g a n le b ih b e s a r .

5.

D u a d e r e g u la s i y a n g p a lin g m e n d a s a r p a d a d u n ia p e r b a n k a n In d o n e s ia , y a itu
d e r e g u la s i 1 J u n i 1 9 8 3 d a n d e r e g u la s i 2 7 O k to b e r 1 9 8 8 y a n g m e n g u b a h
p r a k te k p o litik m o n e te r p e m e r in ta h d a r i p e n g e n d a lia n ju m la h u a n g b e r e d a r
s e c a r a la n g s u n g m e n ja d i tid a k la n g s u n g , te r n y a ta b e r p e n g a r u h p u la te r h a d a p
j u m l a h u a n g b e r e d a r d i m a s y a r a k a t, d i m a n a d e r e g u la s i 1 J u n i 1 9 8 3
b e r p e n g a r u h te r h a d a p M l , d a n s e b a lik n y a p o s itif te r h a d a p M 2 . S e d a n g k a n
d e r e g u la s i 2 7 O k to b e r 1 9 8 8 b e r p e n g a r u h p o s itif b a ik te r h a d a p M l m a u p u n
te r h a d a p M 2.

5 .2 . S a r a n
1.

P r a k tek p o litik m o n e te r p e m e r in ta h d a la m m e n g e n d a lik a n ju m la h u a n g b e r e d a r
d a ri p en ga ru ra n

s e c a r a la n g s u n g m e n ja d i tid a k la n g s u n g h a r u s te ta p

d ip e r ta h a n k a n d a n k o n s e k u e n u n tu k d ija la n k a n s e ir in g d e n g a n p e r k e m b a n g a n
s e k to r m o n e te r y a n g s e m a k in m a n d ir i d a n d e w a s a .
2.

P e r lu n y a p e m e r in ta h m e n ja g a tin g k a t k e p e r c a y a a n te r h a d a p r u p ia h d e n g a n
m e n e m p u h k e b ija k a n m o n e te r y a n g k o n s is te n a g a r tid a k m e n im b u lk a n e fe k
y a n g n e g a tif b a g i s e k to r m o n e te r b a ik ja n g k a p e n d e k m a u p u n p a n ja n g .

3.

D a r i p e r k e m b a n g a n s e k to r m o n e te r y a n g a d a te r u ta m a a d a la h d e r e g u la s i
d ila n c a r k a n , m e n u n tu t p e n g u a s a m o n e te r u n tu k m e n g a m a ti le b ih d a la m d a r i
p e r ila k u y a n g a d a b a ik fa k to r - fa k to r y a n g m e m p e n g a r u h i b a s e m o n e y m a u p u n
fa k to r - fa k to r y a n g m e m p e n g a r u h i m u ltip lie r u a n g , s e h in g g a s e p e r ti m e n g a m b il
tin d a k a n y a n g te p a t d a la m m e n g e n d a lik a n ju m la h u a n g b e r e d a r u n tu k tu ju a n
s ta b ilis a s i.

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D aft ar P ust ak a

N a s u tio n , A n w a r , 1 9 8 8 , K e b ija ks a n a a n M o n e te r S e te la h P a k to 27, H a r ia n K O M P A S
e d is i 1 D e s e m b e r 1 9 8 8 , D o k u m e n ta s i K lip in g C S IS
N a s u tio n , A n w a r , 1 9 9 1 , Tin ja u a n E k o n o m i A ta s D a m p a k P a k e t D e re g u la s i Ta h u n

1988 P a d a S is te m K e u a n g a n In d on e s ia ”, C e t II, P T G r a m e d ia P u s ta k a U ta m a ,
J a k a r ta
B o e d io n o , 1 9 8 3 , E k o n o m i M a kro, B P F E , Y o g y a k a r ta
B u r g e r , A lb e r t E , 1 9 7 1 , Th e M o n e y S u p p ly P ro ce s s , W e d s w o r s th P u b lis h in g C o m p a n y, In c ., B e lm o n t C a lifo r n ia
W ija ya , F a r ied , d a n S o e ta tw o H a d iw ig e n o , 1 9 9 2 , E k o n o m i M o n e te r d a n P e rb a n ka n ,
U n ta ia n B a c a a n te r p ilih , B P F E - U G M , Y o g y a k a r ta
G o ld fle ld , S te p h e n M , 1 9 9 6 , E k o n o m i U a n g D a n B a n k, c e t III, E r la n g g a , J a k a r ta
In s u k in d r o , 1 9 9 2 , P e n d e k a ta n K o in te g ra s i D a la m A n a lis is E k o n o m i: S tu d i K a s u s

P e rm in ta a n D e p o s ito D a la m V a lu ta A s in g D i In d o n e s ia ”, J u r n a l E k o n o m i
In d o n e s ia
In s u k in d r o , 1 9 9 7 , E k o n o m i U a n g d a n B a n k, Te o ri d a n P e n g a la m a n d i In d o n e s ia ,
B P F E , Y o g y a k a r ta
N o p ir in , 1 9 9 5 , E k o n o m i M o n e te r, B P F E Y o g y a k a r ta
S u k in d r o , S a d o n o ,1 9 8 5 , P e n g a n ta r Te ori M a k ro E k on om i, B in a G r a fik a , J a k a r ta
J o y o s u m a r to , S u b a r jo , 1 9 8 7 , T h e s is D o c to r , S c h o o l o f th e U n iv e r s ity o f C o lo r a d o
(tid a k d ite r b itk a n )

187