ABSTRACT Analisis pengaruh ketidak stabilan kurs terhadap permintaan uang M2 dalam sistem perbankan ganda di Indonesia Muhammad Fadhol 34.3.3.11800 Permintaan uang memegang peranan penting dalam perilaku kebijakan moneter disetiap perekonomian. Studi tentang permintaan uang telah banyak di lakukan di Indonesia yang mengadopsi perbankan ganda. Studi sebelumnya menganalisa permintaan uang biasanya menggunakan variabel penjelas seperti GDP, inflasi, return syariah dan suku bunga dalam model regresinya, akan tetapi masih jarang memasukkan variabel nilai tukar sebagai variabel penjelasnya. Variabel nilai tukar ini mencerminkan pengaruh fluktuasi perekonomian dunia terhadap perekonomian Indonesia. Sehingga perlu dibuktikan secara empiris meski dengan fluktuasinya nilai tukar permintaan uang dalam system keuangan Islam tetap setabil dari pada system keuangan konvensional dan mampu mendorong perekonomian secara keseluruhan. Berdasarkan masalah tersebut penulis ingin menganalisa permintaan uang M2 Islam dan permintaan uang M2 konfensional di Indonesia menggunakan tekhnik time series data dalam kondisi nilai tukar yang fluktuatif pada 2011-2015. Tujuan dari penelitian ini adalah meramalkan kecepatan penyesuaian permintaan uang M2 dalam sistem perbankan ganda pada guncangan ketidak stabilan kurs untuk mencapai titik keseimbangannya, memprediksi besarnya kontribusi kurs dalam menjelaskan perubahan permintaan uang, dan untuk melihat hubungan kurs dengan permintaan uang M2 dalam sistem perbankan ganda. Penelitian ini adalah penelitian Kuantitatif. Untuk mencapai tujuan ini penulis menggunakan data sekunder yang diperoleh dari badan pusat statistik (BPS), statistik perbankan syariah Indonesia (SPSBI), otoritas jasa keuangan (OJK), statistik dan keuangan Indonesia, bank Indonesia (BI). Rentang waktu penelitian di mulai januari 2011 sampai desember 2015 (data time series). Adapun penelitian ini menggunakan beberapa tehnik analisis data di antaranya: pre estimation test untuk mencari model terbaik, Vector Auto Regressive yang di kobinasikan dengan Vector Error Correction Model untuk meramalkan kecepatan penyesuaian masing-masing model money demand dalam perbankan ganda terhadap guncangan variable kurs, Granger Causality Test untuk melihat hubungan kausalitas antara variable permintaan uang dalam perbankan ganda terhadap variable kurs Penulis mengambil kesimpulan bahwa model permintaan uang Islam lebih stabil dari pada model permintaan uang Konfensional. Hal ini berdasarkan pada nilai Error Correction Model (ECT) model permintaan uang Islam yang secara statistik adalah signifikan. Nilai ECT yang signifikan menunjukkan adanya kecepatan penyesuaian dari jangka pendek menuju jangka panjangnya. Namun, nilai ECT pada model permintaan uang Konfensional tidaklah signifikan. Pada analisis jangka panjang, nilai tukar lebih memiliki hubungan yang signifikan terhadap permintaan uang M2 Islam dari pada permintaan uang M2 konfensional yang mana koefisiennya tidak signifikan. Pada Uji IRF, permintaan uang islam memiliki kecepatan penyesuaian yg lebih baik dalam menghadapi guncangan variabel kurs. Karena, dia hanya membutuhkan 3 periode untuk mencapai titik keseimbangannya, lebih cepat di bandingkan permintaan uang Konfensional yang membutuhkan 7 periode. Pada uji kausalitas, terdapat hubungan satu arah pada model permintaan uang Islam granger terhadap nilai tukar. Hal ini menujukkan permintaaan uang M2 Islamlah yg mempengaruhi nilai tukar. Hal ini pun terjadi pada permintaan uang M2 Konfensional. Penulis berharap pada otoritas keuangan untuk lebih mengoptimalisasi instrument keuangan syariah sebagai solusi alternatif dalam menghadapi guncangan perekonomian dunia karena terbukti lebih stabil dan tahan guncangan fluktuasi nilai tukar. Dan untuk peneliti selanjutnya diharapkan dapat menganalisa permintaan uang Islam pada setiap masing-masing komponennya. Karena ada kemungkinan setiap variabel memiliki perilaku yang berbeda dalam menjelaskan stabilitas moneter.
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ABSTRACT The Influence of instability of exchange rate toward money demand M2 under dual banking system in Indonesia Muhammad Fadhol 34.3.3.11800 Money demand holds an important role in monetary policy‟s behavior in overall economic activities. A lot of researches about money demand have been widely applied in Indonesia which adopts dual banking system. The previous research usually analyzed money demand using explanatory variables such as GDP, inflation, and return sharia in their Regression model. But, it is still rare to include exchange rate variable as their explanatory variable. Exchange rate reflects the effects of the world economic shocks toward Indonesian economy. Therefore, it needs empirically proven even if exchange rate fluctuates money demand under Islamic monetary system is more stable than Conventional monetary system and able to support overall economic activities. Based on explanation above, the researcher analyzes money demand M2 Islamic and money demand M2 Conventional in Indonesia using time series data during instability of exchange rate condition on 2011-2015. The purposes of this study are to forecast the speed of adjustment of money demand under dual banking system against the shock of exchange rate to reach their equilibrium point, to predict exchange rate variable's contribution against variability of money demand, and to see the relationship of exchange rate toward money demand under dual banking system. This research is quantitative research. The researcher is using secondary data earned from Statistic of Indonesia (BPS), statistics and finances of Indonesia (SEKI), Bank central of Indonesia (BI), statistics Bank Sharia Indonesia (SPS-BI), and the financial services authority (OJK). Time span would take from January 2011 till December 2015. It means data used is time series data. This research uses some technic data analysis such as: Pre Estimation Test to look for the best model analysis, Vector Auto Regressive test that was combined with Vector Error Correction Model to forecasting speed of adjustment of money demand against the shock of exchange rate, and Granger Causality test to see causality relationship of exchange rate toward money demand under dual banking system. The researcher has concluded that Islamic money demand model is more stable than Conventional money demand model. This case is related to Error Correction Term (ECT) value of Islamic money demand model that statistically significant. A significant ECT value points out the existence of speed of adjustment from short term toward long term. Unfortunately, ECT value of Conventional money demand model is insignificant. For long term analysis, exchange rate has more significant relationship against money demand M2 Islamic than Conventional money demand model which the coefficient is insignificant. According to IRF test, Islamic money demand has better speed of adjustment against the shock of exchange rate. Because, it needs only 3 periods of forecast faster than speed of adjustment of Conventional money demand that require around 7 periods of forecast. Moreover, Granger Causality test result indicated one direction relationship between money demand M2 Islamic and Exchange rate. This case point out that money demand Islamic effected toward Exchange rate, and this case occurred in Conventional money demand model as well. The researcher hopes monetary authority to optimize sharia monetary instruments as alternative solution against world economic shocks. Because, it has proven that money demand M2 Islamic is more stable and more resistant against the shock of exchange rate. Moreover, for next researcher suggested to analyze money demand Islamic from each component. Because, it is possible for each variable has a different behavior in explaining monetary stability
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To Honorable, Dean of Faculty of Sharia University of Darussalam Gontor Bismillahirrahmanirrahim, Assalamu'alaikumWr, Wb I have to honor to present this thesis written by: Name : Muhammad Fadhol Reg. Number : 34.3.3.11800 The Title : The influence of instability exchange rate toward money demand M2 under dual banking system in Indonesia. (Period 2011-2015) It has been processed and corrected to meet the partial fulfillment of the requirement for the degree of licentiate in Islamic Economics in the Faculty of Syari‟ah. There for we expect that the thesis can be examined soon. Wassalamu'alaikumWr, Wb. Siman, Ramadhan 1, 1438 Mei 27, 2017
Supervisor,
( Khoirul Umam, M.Ec.)
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CERTIFICATION The Faculty of Sharia University of Darussalam Gontor, has received a thesis written by: Name : Muhammad Fadhol Reg. Number : 34.3.3.11800 The Title : The influence of instability exchange rate toward money demand M2 under dual banking system in Indonesia. (Period 2011-2015) It has been processed and corrected to meet the partial fulfillment of the requirements for the degree of Licentiate in Islamic Economics in the Faculty of Syari‟ah, for academic year 1437-1438/2016-2017. Siman, Ramadhan 2, 1438 Mei 28, 2017
Dean of Sharia Faculty,
(Imam Kamaluddin, Lc. M.Hum.)
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DECISION OF THE TEAM The committee of the team in partial fulfillment of the requirement for the degree of licentiate in Faculty of Syari‟ah University of Darussalam Gontor, declared that the thesis written by: Name : Muhammad Fadhol Reg. Number : 34.3.3.11800 The Title : The influence of instability exchange rate toward money demand M2 under dual banking system in Indonesia. (Period 2011-2015) The committee has decided to grant her passed in this examination. Hence, she is eligible for the degree of licentiate of Islamic economics the Faculty of Syari‟ah. Siman, Ramadhan 3, 1438 Mei 29, 2017 Chairman,
Secretary
( Khoirul Umam, M.Ec )
(
Adib Susilo, M.S.I )
The team of thesis Examination 1st Examiner: Imam Haryadi, M.S.I (___________________) 2nd Examiner: Adib Susilo, M.S.I
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(____________________)
DECLARATION I who signed hereunder: Name Reg. Number Faculty Department The Title
: Muhammad Fadhol : 34.3.3.11800 : Sharia : Islamic Economics :The Influence of instability exchange rate toward money demand M2 under dual banking system in Indonesia. (Period 2011-2015)
Declared sincerely that this thesis originally belongs to my own work and not belong to other research for any degree. Furthermore, this thesis is not work published before, except where otherwise stated. When, otherwise found that this thesis is a plagiarism, I here ready to be ceased academically. Siman, Ramadhan 9, 1438 june 4, 2017 I who declare,
(Muhammad Fadhol)
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MOTTOES بسم هللا الرحمن الرحيم )58 :(األعراف “So fulfill the measure and weight and do not deprive people of their due and cause not corruption upon the earth after its reformation. That is better for you, if you should be believers”
ِ ِ َّ عن عبادةَ ب ِن :صلَّى اهللُ َعلَْي ِو َو َسلَّ َم ْ َ َُ ْ َ َ قَ َال َر ُس ْو ُل اهلل:الص َامت قَ َال ِ ِ ِ الذ َى َّ ِالذ َىب ب َّ ب َوالْفضَّةُ بِالْفض َِّة َوالِْ ُِّب بِالِْ ِِّب َوالشَّعِْي ُر بِالشَّعِ ِْْي َوالت َّْم ُر ُ ِ ٍ ٍ ِِ ِ ِ ف َى ِذ ِه ْ بِالت َّْم ِر َوامللْ ُح بِالْملْ ِح مثْالً ِبثْ ٍل َس َواءً بِ َس َواء يَداً بِيَد فَِإذَا َ َاختَ ل )ف ِشئْتُ ْم إِذَا َكا َن يَداً بِيَ ٍد ٍ(رواه مسلم ُ ََصن َ اف فَبِْي عُ ْوا َكْي ْ الأل “The gold for gold, the silver for silver, the wheat for wheat, the barley for barley, the dates for dates and the salt for salt; like for like, measure for measure and hand to hand (i.e. immediately) and if they differed sell as you wish, if it was hand to hand”. Narrated by Al-Bukhaari and Muslim by way of „Ubaadah Bin As-Saamit may Allah be pleased with him.
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DEDICATION This thesis is proudly presented to: Most beloved and respected parents, “Bapak Kurdi and Ibu Fatimah” Who are always educating, motivating, praying, watching over and taking care of me the whole time. It is now, the time when your poor son can only represent his deep gratitude through this thesis that couldn‟t ever be compared to your sincere pray and wholehearted care. No best figure except you father and no great mom except you umi. And I dedicate this thesis to my brothers and sisters Muhammad Zakiyuddin, Sinwani, Ainun nisa‟, and Faizatul Amaliyah. Who always support and pray. I am nothing without you all. I would like to express my deepest gratitude to my Supervisor Mr. Khoirul Umam, M.Ec. Who is not only as my supervisor but encouraged and challenged me throughout my academic program. He has patiently guided me through the thesis process, never accepting less than my best effort, and my beloved teachers and lectures of University of Darussalam Gontor. Thanks a lot sir. The best lecturer Mr. Anton Sudrajat, Dr. Akhsyim, Mr. Sulistyo Pangarso,who help me till my thesis finished. I don‟t even know what I have to do without you. Finally, wish me luck!!
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ACKNOWLADGEMENT In the name of Allah the most Merciful and the most Beneficent, praise be to Allah, Lord of the world, and the Owner of the day Judgment. Shalawat and salam to our beloved prophet Muhammad peace be upon him, his family, companions and entire followers. By the mercy, blessing and help of Allah Almighty, I could possible accompish the writing of this humble thesis. Therefore I should like to extend my deep gratitude to those whom in the course of graduate study at University of Darussalam Gontor. So in this occasion, the researcher very grateful and wish to extend his appreciation due to: 1. The head master of Darussalam Gontor Modern Islamic Boarding School, Dr. K.H. Abdullah Syukri Zarkasyi, M.A. K.H. Hasan Abdullah Sahal, and K.H. Syamsul Hadi Abdan, S.Ag. Who had sincerly educated me up to now. 2. The rector of UNIDA Gontor, Prof. Dr.K.H. Amal Fathullah Zarkasyi and his vice, Dr. H. Hamid Fahmi Zarkasyi, M.A., M.Phil. Dr. H. Setiawan Bin Lahuri,MA., and Dr. H. Dihyatun Masqon, M.A. 3. Dean of the Syariah Faculty, Imam Kamaluddin, Lc, M.Hum 4. The head of Islamic Economic Departement, Royyan Ramdhani Djayusman, M.A. 5. All the lectures of University of Darussalam Gontor for their class during my study in this University.
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6. The guardian of Darussalam Gontor Campus Six Darul Qiyam, H. Sunanto WR, M. A. Who has struggled all their life in educating us be a good leader. May Allah reward all of his deeds. 7. Honorable supervisor, Khoirul Umam, M.Ec for his motivation and guidance in writing this thesis. 8. For my parents who have educated Me of my childhood up to adulthood, and my beloved Families, my brothers, my friends \ who have supported me mentally and materially. Finally, I should like to offer my deepest respect and grateful to all of my companions for their support and help to complete this thesis, may Allah gives great rewards in the world and hereafter.
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TABLE OF CONTENTS Indonesian Abstract ........................................................... i English Abstract ................................................................ ii Latter to Dean ................................................................... iii Certification ...................................................................... iv Decision of the team.......................................................... v Declaration ........................................................................ vi Mottoes ............................................................................. vii Dedication ......................................................................... viii Acknowledge .................................................................... ix Table of Contents .............................................................. xi CHAPTER I: INTRODUCTION A. Background Of Study ............................................... 1 B. Problem Formulation ............................................... 8 C. Purpose Of Study ..................................................... 8 D. Significant Of Study ................................................. 8 E. The Research Systematics ........................................ 9 CHAPTER II: PREVIOUS STUDY AND THEORETICAL FRAMEWORK A. Previous Study .......................................................11 B. Theoretical Frame Work ........................................19 1. Dual Banking System .....................................19 2. The differences between Interest Rate Concept and Profit Loss Sharing Concept ..... 23 3. Monetary Policy Transmission Mechanism ... 25
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a. Conventional Monetary Policy Transmission Mechanism ...................... 25 b. Islamic Monetary Policy Transmission Mechanism ............................................ 29 4. Money Supply /Monetary Based ..................... 33 5. Money Demand Theory ................................... 37 a. Conventional Money demand Theory ... 38 b. Islamic Money demand Theory ............. 40 6. Theory Of Exchange ........................................ 47 7. Summary of theoretical framework ................ 50 CHAPTER III: RESEARCH METHODS A. Design Of Research ................................................ 55 B. Sources of data ........................................................ 56 C. Method of data analysis........................................... 57 1. Pre Estimation Test .......................................... 57 2. Vector Auto Regression Analysis (VAR) ........ 66 a. Impulse Response .................................. 70 b. variance Decomposition ........................ 71 3. Vector Error Correction Model ........................ 72 4. Granger Causality Test .................................... 72 D. Research Variables .................................................. 74 E. Model VAR research analysis ................................. 76 CHAPTER IV: DISCUSSION AND RESULT A. Pre-estimation .......................................................... 81 1. Unit root test ................................................. 81 2. Lag optimal test ............................................ 83 3. VAR Stability Test ........................................ 84
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4. Co-integration test ........................................ 85 B. VECM estimation test ............................................ 86 1. VECM estimation of Conventional money demand M2 Model ........................................ 86 a. Impulse response function ..................... 88 b. Forecasting Error Variance Decomposition .............................................................. 91 2. VECM estimation of Islamic money demand M2 model ............................................................ 93 a. Impulse response function ..................... 95 b. Forecasting Error Variance Decomposition .............................................................. 98 C. Granger Causality .................................................... 100 D. General Discussion................................................... 102 CHAPTER V: Conclusion and Suggestion. A. Conclusion ............................................................. 109 B. Suggestion .............................................................. 110 Bibliography .................................................................... 113
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CONTENT OF TABLE Number Page Table 1: USD against selected other Major Currencies and SDRs .......................................................................... 3 Table 2: Summary Unit Root Test ..................................... 82 Table 3: Summary of Lag Optimal test ............................. 83 Table 4: Summary of VAR Stability Test.......................... 84 Table 5: Summary Cointegration test ................................ 86 Table 6: Summary of VECM estimation on M2 Conventional Model .......................................................... 87 Table 7: Summary of VECM estimation on M2 Islamic Model ................................................................................ 93 Table 8: Granger Causality test result for money demand M2 Conventional Model ................................................... 101 Table 9: Granger Causality test result for money demand M2 Islamic Model ............................................................. 102 Table 10: Summary of Response Money demand M2 under dual banking toward the shock of GDP ................... 103 Table 11: Summary of Response Money demand M2 under dual banking toward the shock of inflation .............. 104 Table 12: Summary of Response Money demand M2 under dual banking toward the shock of Exchange rate ..... 105 Table 13: Summary of Response Money demand M2 under dual banking toward the shock of Return Sharia & Interest Rate ...................................................................... 105
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CONTENT OF FIGURE Number Page Figure 1: Fluctuation of Rupiah against Dollar ................. 4 Figure 2: Summary Theoretical Framework ...................... 53 Figure 3: The Formation of VAR ...................................... 68 Figure 4: Simulation of Analysis ....................................... 76 Figure 5: IRF of M2 Conventional Model ......................... 89 Figure 6: FEVD of M2 Conventional Model..................... 92 Figure 7: IRF of M2 Islamic Model .................................. 96 Figure 8: FEVD of M2 Islamic Model .............................. 99
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