DAFTAR ISI Halaman Pengesahan …………………………………………………………….i Halaman Persembahan……………………………………………………………iv KATA PENGANTAR………………………………………………………….vii DAFTAR ISI ......................................................................................................... viii DAFTAR GAMBAR .............................................................................................. x DAFTAR TABEL .................................................................................................. xi DAFTAR LAMPIRAN ......................................................................................... xii ABSTRAK ........................................................................................................... xiii BAB I PENDAHULUAN ....................................................................................... 1 1.1
Latar Belakang ...................................................................................... 1
1.2
Rumusan Masalah ................................................................................. 6
1.3
Pertanyaan Penelitian ............................................................................ 7
1.4
Tujuan Penelitian .................................................................................. 7
1.5
Manfaat Penelitian ................................................................................ 8
1.6
Pembatasan Penelitian .......................................................................... 8
1.7
Sistematika Penulisan ........................................................................... 8
BAB II TINJAUAN LITERATUR DAN METODOLOGI PENELITIAN ......... 10 2.1
Tinjauan Pustaka ................................................................................. 10
2.1.1
Landasan Teori ................................................................................... 10
2.1.2
Teori Permintaan dan Penawaran Obligasi ......................................... 12
2.1.3
Teori Arus Modal................................................................................ 13
2.1.4
Perbedaan Tingkat Suku Bunga .......................................................... 15
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2.1.5
Teori Total Lag ................................................................................... 17
2.2
Tinjauan Literatur ............................................................................... 19
2.3
Jenis dan Data ..................................................................................... 29
2.4
Model Penelitian ................................................................................. 29
2.5
Hipotesis Penelitian ............................................................................ 31
2.6
Alat Analisis ............................................……………………………32
BAB III Pembahasan dan Hasil ............................................................................ 36 3.1
Event Study Obligasi Indonesia .......................................................... 36
3.2
Pembahasan Hasil Regresi .................................................................. 42
3.2.1
Uji Stasioneritas dan Lag Optimum.................................................... 42
3.2.2
Uji Kointegrasi Johansen .................................................................... 46
3.2.3
Vector Error Correction Model (VECM) ........................................... 48
3.2.4
Uji Asumsi Klasik ............................................................................... 52
3.2.5
Impulse Response Function ................................................................ 53
3.2.6
Dekomposisi Varians .......................................................................... 60
BAB IV Penutup ................................................................................................... 62 4.1
Kesimpulan ......................................................................................... 62
4.2
Saran ................................................................................................... 63
4.3
Keterbatasan Penelitian....................................................................... 64
DAFTAR PUSTAKA ........................................................................................... 65
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DAFTAR GAMBAR Gambar 1.1 Defisit APBN Indonesia 2008 – 2013 (dalam Triliyun Rupiah) ......... 2 Gambar 1.2 Defisit dan Pembiayaan APBN 2008 - 2013 ....................................... 5 Gambar 2.1 Peta Aliran Uang Pada Pasar Asset ................................................... 11 Gambar 2.2 Kurva Permintaan dan Penawaran Obligasi ...................................... 13 Gambar 2.3 Kurva Aliran Modal Internasional .................................................... 16 Gambar 2.4 Total Lag.…………………………………………………………...18 Gambar 2.5Skema Pembentukan VECM.…………………………………….....33 Gambar 3.1 Perkembangan BI rate, Inflasi, dan Yield Sun .................................. 39 Gambar 3.2 Pergerakan IHSG dan Bond Index .................................................... 39 Gambar 3.3 Pergerakan Mata Uang Dunia ........................................................... 40 Gambar 3.4 Yield Curve SUN Domestik .............................................................. 41 Gambar 3.5 Perkembangan Kepemilikan SBN Tradeble ..................................... 41 Gambar 3.6 Grafik AR Root ................................................................................. 45 Gambar 3.7 Respon Outstanding Obligasi Terhadap Shock CPI ......................... 54 Gambar 3.8 Respon Outstanding Obligasi Terhadap Shock Nilai Tukar ............. 55 Gambar 3.9 Respon Outstanding Obligasi Terhadap Shock Suku Bunga BI ....... 56 Gambar 3.10 Respon Outstanding Obligasi Terhadap ShockUtang Pemerintah .. 57 Gambar 3.11 Respon Outstanding Obligasi Terhadap Shock GDP ...................... 58 Gambar 3.12 Respon Outstanding Obligasi Terhadap Shock IHSG .................... 59 Gambar 3.13 Respon Outstanding Obligasi Terhadap Shock Harga Minyak ...... 60
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DAFTAR TABEL Tabel 1.1 Rating Peringkat Obligasi Indonesia Dari Beberapa Lembaga .............. 3 Tabel 2.1 Tinjauan Literatur Terdahulu ................................................................ 21 Tabel 2.2. Variabel yang digunakan dalam penilitian........................................... 29 Tabel 3.1 Hasil Uji Stasioneritas ........................................................................... 43 Tabel 3.2 Uji Stasioneritas diferensi tingkat satu.................................................. 44 Tabel 3.3 Uji Lag Optimal Pada Model VAR....................................................... 45 Tabel 3.4 Hasil Uji Kointegrasi Johanssen ........................................................... 48 Tabel 3.5 Koefisien Jangka Panjang Model Outstanding Obligasi....................... 50 Tabel 3.6 Koefisien Penyesuaian Model Outstanding Obligasi............................ 50 Tabel 3.7 Koefisien Jangka Pendek Model Outstanding Obligasi ........................ 50 Tabel 3.8 Uji Asumsi Klasik ................................................................................ 52 Tabel 3.11 Dekomposisi Varians Dari Model Outstanding Obligasi ................... 61
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DAFTAR LAMPIRAN
1.....................................................................................................................L ampiran Penelitian ............................................................................................ xiv 1.1 Data..... ............................................................................................................. xv 1.2 Uji Stasioneritas data....................................................................................... xvi 1.3 Uji Stabilitas Model ........................................................................................ xxi 1.4 Uji Karakteristik Deterministikl ...................................................................... xxi 1.5 Uji Autokolerasi .............................................................................................xxiv 1.6 Uji Heterokedastisitas ....................................................................................xxiv
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ABSTRAK Penelitian ini bertujuan untuk menganalisis bagaimana dampak dan kontribusi shock perubahanvariabel makroekonomi Indonesia terhadapoutstanding obligasi Indonesia. Penelitian mempergunakanalat analisis yaitu VECM. Data yang digunakan adalah data bulanan dengan data observasi 2009:1 sampai dengan 2013:12. Bedasarkan hasil estimasi jangka panjang, variabel makroekonomi yang menjadi bahan penelitian yaitu, CPI, IHSG, harga minyak, suku bunga BI, nilai tukar, utang pemerintah, dan GDP Indonesia mempengaruhi hasil dari outstanding obligasi dari Pemerintah Indonesia. Hasil dari Impulse response function menunjukkan bahwa bahwa adanya shock dari variabel makroekonomi direspon positif oleh outstanding obligasi kecuali variabel PDB yang direspon negatif. Berdasarkan analisis dekomposisi varians outstanding obligasi,kontribusi outstanding obligasi yang paling besar oleh variasi variabel itu. Sementara itu urutan variabel makroekonomi yang menjadi variasi terbesari hingga terkecil dalam menjelaskan dekomposisi variasi dari outstanding obligasi yaitu CPI, IHSG, harga minyak, suku bunga BI, nilai tukar, utang pemerintah, dan GDP. Kata kunci: variabel makroekonomi, outstanding obligasi,VECM, Shock, Impulse Response Function, Dekomposisi Varians
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