DAFTAR PUSTAKA. Abimanyu, Y Using Indonesia s Real Exchange Rate to Test Ricardian Equivalence. International Economic Journal, 12 (3):

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Abimanyu, Y. 1998. Using Indonesia’s Real Exchange Rate to Test Ricardian Equivalence. International Economic Journal, 12 (3): 17-27. Arifin, S. 1998. Efektifitas Kebijakan Sukubunga Dalam Rangka Stabilitas Rupiah di Masa Krisis. Buletin Ekonomi Moneter dan Perbankan 3 (12): 1-26. Atmadja, A.S. 2001. Free Floating Exchange Rate System Dan Penerapannya Pada Kebijaksanaan Ekonomi di Negara Yang Berperekonomian Kecil dan Terbuka. Jurnal Akuntasi dan Keuangan, 3 (5): 18-29. Agung,Y. 1998. Financial Deregulation and The Bank Lending Channel in Developing Countries : The Case of Indonesia. Asian Economic Journal, 12 (13): 22-27. _______. 2002. Transmission Mechanisms of Monetary Policy in Indonesia. Bank Indonesia, Jakarta. Ascarya. 2002. Instrumen-instrumen Pengendalian Moneter. Pusat Pendidikan dan Studi Kebangsentralan. Seri Kebanksentralan, 1 (3) : 1-49. Baillie, R. and P. Mc Mahon. 1989. The Foreign Exchange Market Theory and Econometric Evidence. Cambridge University Press, London. Badan Pusat Statistik. 1999. Laporan Perekonomian Indonesia. Badan Pusat Statistik, Jakarta. __________________. 2002. Laporan Perekonomian Indonesia. Badan Pusat Statistik, Jakarta. __________________. 2007. Laporan Perekonomian Indonesia. Badan Statistik, Jakarta.

Pusat

Bank Indonesia. 1999. Laporan Tahunan. Bank Indonesia, Jakarta. _____________. 2002. Laporan Tahunan. Bank Indonesia, Jakarta. _____________. 2006. Laporan Tahunan. Bank Indonesia, Jakarta. Cagan, P. 1984. The Monetary Dynamics of Hyperinflation. ed. By Milton Friedman. In Studies in The Quantity Theory of Money, University of Chicago Press, Chicago. Cahyono, J.E. 2000. Menjadi Manajer Investasi Bagi Diri Sendiri. Penerbit Gramedia Pustaka Utama, Jakarta.

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Chowdhury, A. and H. Siregar. 2002. Indonesia’s Monetary Policy Dilemma: Constraints of Inflation Targetting. UNSFIR Working Paper, 2(11): 1-36. Dornbusch, R. 1973. Devaluation, Money and Non Traded Goods. American Economic Reviews, 63 (12): 871-880. ___________. 1976. Expectation And Exchange Rate Dynamic. Journal of Political Economy, 84 (6): 671-683. ___________. 2001. The Theory of Flexible Exchange Rate Regimes and Macroeconomics Policy. Addison Wesley Publishing Company, Manila.

Enders, W. 2004. Applied Econometric Time Series. Second Edition. Willey Series in Probablity and Statistics, New York. Frangkel, J.A. 1984. Test of Monetary and Portofolio Balance Models of Exchange Rate Determination : Exchange Rate Theory And Practice. ed Bilson and Richard, London. Frangkel, J.A. and H.G. Johnson. 1976. The Monetary Approach to The Balance of Payment. Allan & Unwin, London. Goeltom, M.S. dan D. Zulverdi. 1998. Manjemen Nilai Tukar di Indonesia dan Permasalahanya. Buletin Ekonomi Moneter dan Perbankan, 1 (2): 69-91. Gottschalk, J. 2001. An Introduction Into The SVAR Methodology : Identification Interpretation and Limitation of SVAR model. Institute Fur Welwirtscaft, Warsaw. Hanafi, I.D. 2005.Faktor Cina Dalam Struktur Ekonomi ASEAN-JEPANG [Pikiran Rakyat On-Line][7 Maret 2005]. Haryono, E., W.A. Nugroho dan W. Pratomo. 2000. Mekanisme Pengendalian Moneter dengan Inflasi Sebagai Sasaran Tunggal. Buletin Ekonomi Moneter dan Perbankan, 2 (4) : 168-122. Hascaryo, A.R. 2003. Mekanisme Transmisi Kebijakan Moneter dan Evaluasi Terhadap Berbagai Kebijakan Moneter di Indonesia. Analisis: Model Makro Ekonometrik Simultan. Skripsi. Fakultas Ekonomi Universitas Indonesia, Depok. Holod, D. 2000. The Relationship Between Price Level, Money Supply and Exchange Rate in Ukraine. National University of Kiev- Mohyla Academy, Warsaw. Ickes, B.W. 2004. Lecture Note on Exchange Rate Fluctuation. Pennyslvania State University, Fall.

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Kamin, et al., 1997. Capital Inflow, Financial Intermediation, and Aggregate Demand; Empirical Evidance from Mexico and Other Pasific Basin Country, Board of Governor of The Federal Reserve System. Mexico City. Krugman, P.R. and M. Obstfeld. 2003. International Economics: Theory and Policy. Sixth Edition. Addison Wesley, Boston. Mc Nown, R. and M.S. Wallace. 1994. Cointegration Test of The Monetary Exchange Rate Model for Three High – Inflation Economics. Journal of Money, Credit and Banking, 2 (6): 396-411. Mishkin, F.S. 2001. The Economics of Money, Banking, and Financial Markets. Sixth Edition. Columbia University, New York. Nugroho, A.E. 2002. Sektor Perbankan dan Keuangan di Indonesia. Penerbit Pamator, Jakarta. Nuryadin, D. dan B. Santoso. 2004. Analisis Aplikasi Model Neraca Pembayaran dan Model Moneter terhadap Nilai tukar Rp/$. Periode 1980.1 – 2000.4. Buletin Ekonomi Moneter dan Perbankan, 7 (2): 273-292. Rato, R. 2005. Integrasi Asia dan IMF. [Sarwono Net][21 September 2005]. http://aeansummit.bernama.com/newslistbm.php?cat=ase&page=14. Samiun, R. 1998. Evaluasi Program Intervensi di Pasar Valuta Asing Dalam Rangka Stabilitas Nilai Tukar. Buletin Ekonomi Moneter dan Perbankan, 1(3): 75-130. Santoso, W. dan Iskandar. 1999. Pengendalian Moneter Dalam System Nilai Tukar yang Fleksibel : Konsiderasi Kemungkinan Penerapan Inflation Targetting di Indonesia. Buletin Ekonomi Moneter dan Perbankan, 2 (2) : 1-30. Seddighi, H.R., K.A. Lawler and A.V. Katos. 2000. Econometrics: A Practical Approach. Rouledge, London and NewYork. Sloman, J. and M. Sutcliffe. 1998. Economics for Business. Prentice Hall, London. Siregar, H. and B.D. Ward. 2002. Can Monetary Policy/ Shocks Stabilize Indonesian Macroeconomic Fluctuations? Monetary and Financial Management in Asia in The 21 Century. Management University Research Center, Singapore. Siswanto, B., Y. Kurniati, G.B. Padoli dan S.H. Binhadi. 2001. Mekanisme Transmisi Kebijakan Moneter Melalui Jalur Nilai Tukar. Occassional Paper. Direktorat Riset Ekonomi dan Kebijakan Moneter. Bank Indonesia, Jakarta.

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Sudjijono, B. dan D. Rudianto. 2003. Perspektif Pembangunan Indonesia Dalam Kajian Pemulihan Ekonomi. PT. Citra Mandala Pratama, Jakarta. Thomas, R.L. 1997. Modern Econometrics. Addison-Wesley, Harlow. Tucker, A. L., J. Madura and T.C. Chiang. 1991. International Financial Markets. West Publishing Company, New York. Winata, C. 2006. Pentargetan Inflasi, Stabilitas Nilai Tukar Rupiah dan Fluktuasi Output di Indonesia : Pendekatan Model DSGE (Dynamic Stochastic General Equilibrium). Disertasi Doktor. Sekolah Pascasarjana, Institut Pertanian Bogor, Bogor. Warjiyo, P. dan D. Zulverdi. 1998. Penggunaan Sukubunga Sebagai Sasaran Operasional Kebijakan Moneter di Indonesia. Buletin Ekonomi Moneter dan Perbankan, 1(1): 25-58. Warjiyo, P. 2003. Kebijakan Moneter di Indonesia. Bank Indonesia, Jakarta.

121

Lampiran 1 . Data Asli obs 1999:01 1999:02 1999:03 1999:04 1999:05 1999:06 1999:07 1999:08 1999:09 1999:10 1999:11 1999:12 2000:01 2000:02 2000:03 2000:04 2000:05 2000:06 2000:07 2000:08 2000:09 2000:10 2000:11 2000:12 2001:01 2001:02 2001:03 2001:04 2001:05 2001:06 2001:07 2001:08 2001:09 2001:10 2001:11 2001:12 2002:01 2002:02 2002:03 2002:04 2002:05 2002:06 2002:07 2002:08 2002:09 2002:10 2002:11 2002:12 2003:01 2003:02 2003:03 2003:04 2003:05

ER 8950 8730 8685 8260 8105 6726 6875 7565 8386 6900 7425 7100 7425 7505 7590 7945 8620 8735 9003 8290 8780 9395 9530 9595 9450 9835 10400 11675 11058 11440 9525 8865 9675 10435 10430 10400 10320 10189 9655 9316 8785 8730 9108 8867 9015 9233 8976 8940 8876 8905 8908 8675 8279

CPI 80.28 80.36 81.38 81.24 80.68 80.45 80.18 79.34 78.6 78.06 78.11 78.19 79.55 80.6 80.66 80.29 80.74 81.42 81.82 82.87 83.3 83.22 84.19 85.3 86.93 87.21 87.97 88.76 89.16 90.15 91.6 93.53 92.6 93.19 93.82 95.42 96.95 98.11 98.39 98.18 98.96 99.26 99.96 100.32 100.88 101.36 103.22 104.44 105.37 105.57 105.44 105.66 106.04

M2 596541 602666 603325 613140 628260 615411 627207 636529 652289 628896 639347 646205 650597 653334 656451 665651 683477 684335 689935 685602 686453 707447 720261 742028 738731 755898 766812 792227 788320 796440 771135 774037 783104 808514 821621 844053 838022 837160 831411 828278 833084 838635 852718 856835 859706 863010 870046 883908 873683 881215 877776 882808 893029

IPI 76.93 94.63 107.46 105.35 106.72 104.28 110.66 109.08 112.19 114.02 114.74 109.23 71.08 91.8 98.59 92.93 102.78 102.33 107.3 110.4 109.4 111.12 109.04 93.24 95.6 97.53 102.47 101.62 108.33 109.14 110.53 112.14 109.58 112.87 109.18 82.27 99.66 91.58 101.75 108.76 110.24 109.99 116.81 116.43 114.77 118.46 116.25 87.42 107.27 105.82 114.52 107.8 110.66

SBI SBW 36.43 7.75 37.5 7.75 37.84 7.75 35.19 7.75 28.73 7.75 22.05 7.75 15.01 8 13.2 8.25 13.02 8.25 13.13 8.25 13.1 8.5 12.51 8.5 11.48 8.5 11.13 8.75 11.03 9 11 9 11.08 9.5 11.74 9.5 13.53 9.5 13.53 9.5 13.62 9.5 13.74 9.5 14.15 9.5 14.53 9.5 14.74 9 14.79 8.5 15.82 8 16.09 7.5 16.33 7 16.65 6.75 17.17 6.75 17.67 6.75 17.57 6 17.58 5.5 17.6 5 17.62 4.75 16.93 4.75 16.86 4.75 16.76 4.75 16.6 4.75 15.51 4.75 15.11 4.75 14.93 4.75 14.35 4.75 13.22 4.75 13.1 4.75 13.06 4.25 12.93 4.25 12.69 4.25 12.24 4.25 11.4 4.25 11.06 4.25 10.44 4.25

122

2003:06 2003:07 2003:08 2003:09 2003:10 2003:11 2003:12 2004:01 2004:02 2004:03 2004:04 2004:05 2004:06 2004:07 2004:08 2004:09 2004:10 2004:11 2004:12 2005:01 2005:02 2005:03 2005:04 2005:05 2005:06 2005:07 2005:08 2005:09 2005:10 2005:11 2005:12 2006:01 2006:02 2006:03 2006:04 2006:05 2006:06 2006:07 2006:08 2006:09 2006:10 2006:11 2006:12

8285 8505 8535 8416 8495 8537 8447 8441 8447 8587 8661 9210 9415 9168 9328 9710 9090 9018 9290 9165 9260 9480 9570 9495 9713 9819 10240 10310 10090 10035 9830 9395 9230 9075 8775 9220 9300 9070 9100 9235 9110 9165 9020

106.19 106.23 106.85 107.27 107.93 108.93 109.83 110.45 110.43 110.83 111.91 112.9 113.44 113.88 113.98 114 114.64 115.66 116.86 118.53 118.33 120.59 121 121.25 121.86 122.81 123.48 124.33 135.15 136.92 136.86 138.72 139.53 139.57 139.64 140.16 140.79 141.42 141.88 142.42 143.65 144.14 145.89

894554 901389 905498 911224 926325 944647 955692 947277 935745 935156 930831 952961 976166 975091 980223 986808 995935 1000338 1033527 1015874 1012144 1020693 1044253 1046192 1073746 1088376 1115874 1150451 1165741 1168267 1203215 1190834 1193864 1195067 1198013 1237504 1253757 1248236 1270378 1291396 1325658 1338555 1382073

116.38 120.46 119.59 121.55 121.33 100.4 116.92 115.27 105.63 113.67 110.86 114.12 116.26 122.57 123.66 127.27 131.89 106 120.81 117.58 116.86 121.85 114.75 119.5 119.99 121.58 125.72 125.82 124.75 106.16 111.64 109.89 108.75 110.19 110.37 114.73 119.12 122.03 122.09 127.95 131.69 136.92 137.81

9.53 9.1 8.91 8.66 8.48 8.49 8.31 7.86 7.48 7.42 7.33 7.32 7.34 7.36 7.37 7.39 7.41 7.41 7.43 7.42 7.43 7.44 7.53 7.88 8.09 8.5 8.75 10 12.25 12.75 12.75 12.75 12.75 12.75 12.75 12.5 12.5 12.25 11.75 11.25 10.75 10.25 9.75

4.25 4 4 4 4 4 4 4 4 4 4 4 4.25 4.5 4.75 4.75 5 5.25 5.25 5.5 5.75 5.75 6 6.25 6.25 6.5 6.5 6.75 7 7.25 7.5 7.5 7.5 7.75 7.75 7.75 8.25 8.25 8.25 8.25 8.25 8.25 8.25

123

Lampiran 2. Data Asli yang telah di Logaritma OBS 1999:01 1999:02 1999:03 1999:04 1999:05 1999:06 1999:07 1999:08 1999:09 1999:10 1999:11 1999:12 2000:01 2000:02 2000:03 2000:04 2000:05 2000:06 2000:07 2000:08 2000:09 2000:10 2000:11 2000:12 2001:01 2001:02 2001:03 2001:04 2001:05 2001:06 2001:07 2001:08 2001:09 2001:10 2001:11 2001:12 2002:01 2002:02 2002:03 2002:04 2002:05 2002:06 2002:07 2002:08 2002:09 2002:10 2002:11 2002:12

LCPI 4.385521 4.386517 4.399130 4.397408 4.390491 4.387636 4.384274 4.373742 4.364372 4.357478 4.358118 4.359142 4.376386 4.389499 4.390243 4.385645 4.391234 4.399621 4.404522 4.417273 4.422449 4.421488 4.433076 4.446174 4.465103 4.468319 4.476996 4.485936 4.490433 4.501475 4.517431 4.538282 4.528289 4.534640 4.541378 4.558288 4.574195 4.586089 4.588939 4.586803 4.594716 4.597743 4.604770 4.608365 4.613932 4.618679 4.636863 4.648613

LER 9.099409 9.074521 9.069353 9.019180 9.000236 8.813736 8.835647 8.931288 9.034319 8.839277 8.912608 8.867850 8.912608 8.923325 8.934587 8.980298 9.061840 9.075093 9.105313 9.022805 9.080232 9.147933 9.162200 9.168997 9.153770 9.193703 9.249561 9.365205 9.310909 9.344871 9.161675 9.089866 9.177301 9.252921 9.252442 9.249561 9.241839 9.229064 9.175231 9.139489 9.080801 9.074521 9.116908 9.090092 9.106645 9.130539 9.102310 9.098291

LIPI 4.342896 4.549975 4.677119 4.657288 4.670209 4.647080 4.706462 4.692082 4.720194 4.736374 4.742669 4.693456 4.263806 4.519612 4.590970 4.531847 4.632591 4.628203 4.675629 4.704110 4.695011 4.710611 4.691715 4.535177 4.560173 4.580160 4.629570 4.621240 4.685182 4.692631 4.705287 4.719748 4.696655 4.726237 4.692998 4.410007 4.601764 4.517213 4.622519 4.689144 4.702660 4.700389 4.760549 4.757290 4.742930 4.774575 4.755743 4.470724

LM2 13.2989 13.3091 13.3102 13.3263 13.3507 13.3300 13.3490 13.3638 13.3882 13.3517 13.3682 13.3789 13.3856 13.3898 13.3946 13.4085 13.4349 13.4362 13.4444 13.4381 13.4393 13.4694 13.4874 13.5171 13.5127 13.5357 13.5500 13.5826 13.5777 13.5879 13.5556 13.5594 13.5710 13.6030 13.6190 13.6460 13.6388 13.6378 13.6309 13.6271 13.6329 13.6395 13.6562 13.6610 13.6643 13.6682 13.6763 13.6921

SBI 36.43 37.50 37.84 35.19 28.73 22.05 15.01 13.20 13.02 13.13 13.10 12.51 11.48 11.13 11.03 11.00 11.08 11.74 13.53 13.53 13.62 13.74 14.15 14.53 14.74 14.79 15.82 16.09 16.33 16.65 17.17 17.67 17.57 17.58 17.60 17.62 16.93 16.86 16.76 16.60 15.51 15.11 14.93 14.35 13.22 13.10 13.06 12.93

SBW 7.75 7.75 7.75 7.75 7.75 7.75 8.00 8.25 8.25 8.25 8.50 8.50 8.50 8.75 9.00 9.00 9.50 9.50 9.50 9.50 9.50 9.50 9.50 9.50 9.00 8.50 8.00 7.50 7.00 6.75 6.75 6.75 6.00 5.50 5.00 4.75 4.75 4.75 4.75 4.75 4.75 4.75 4.75 4.75 4.75 4.75 4.25 4.25

124

2003:01 2003:02 2003:03 2003:04 2003:05 2003:06 2003:07 2003:08 2003:09 2003:10 2003:11 2003:12 2004:01 2004:02 2004:03 2004:04 2004:05 2004:06 2004:07 2004:08 2004:09 2004:10 2004:11 2004:12 2005:01 2005:02 2005:03 2005:04 2005:05 2005:06 2005:07 2005:08 2005:09 2005:10 2005:11 2005:12 2006:01 2006:02 2006:03 2006:04 2006:05 2006:06 2006:07 2006:08 2006:09 2006:10 2006:11 2006:12

4.657478 4.659374 4.658142 4.660226 4.663816 4.665230 4.665607 4.671426 4.675349 4.681483 4.690705 4.698934 4.704563 4.704382 4.707997 4.717695 4.726502 4.731274 4.735145 4.736023 4.736198 4.741797 4.750655 4.760977 4.775166 4.773477 4.792396 4.795791 4.797855 4.802873 4.810638 4.816079 4.822939 4.906385 4.919397 4.918959 4.932458 4.938280 4.938566 4.939068 4.942785 4.947269 4.951734 4.954982 4.958780 4.967380 4.970785 4.982853

9.091106 9.094368 9.094705 9.068201 9.021477 9.022202 9.048410 9.051931 9.037890 9.047233 9.052165 9.041567 9.040856 9.041567 9.058005 9.066585 9.128045 9.150059 9.123474 9.140776 9.180912 9.114930 9.106978 9.136694 9.123147 9.133459 9.156940 9.166388 9.158521 9.181220 9.192075 9.234057 9.240870 9.219300 9.213834 9.193194 9.147933 9.130214 9.113279 9.079662 9.129130 9.137770 9.112728 9.116030 9.130756 9.117128 9.123147 9.107200

4.675349 4.661740 4.740749 4.680278 4.706462 4.756861 4.791318 4.784069 4.800326 4.798514 4.609162 4.761490 4.747277 4.659942 4.733300 4.708268 4.737251 4.755829 4.808682 4.817536 4.846311 4.881968 4.663439 4.794219 4.767119 4.760977 4.802791 4.742756 4.783316 4.787408 4.800572 4.834057 4.834852 4.826312 4.664947 4.715279 4.699480 4.689052 4.702206 4.703838 4.742582 4.780131 4.804267 4.804758 4.851640 4.880451 4.919397 4.925876

13.6805 13.6891 13.6851 13.6909 13.7024 13.7041 13.7117 13.7162 13.7225 13.7390 13.7586 13.7702 13.7613 13.7491 13.7485 13.7438 13.7673 13.7914 13.7903 13.7955 13.8022 13.8114 13.8158 13.8485 13.8313 13.8276 13.8360 13.8588 13.8607 13.8867 13.9002 13.9251 13.9557 13.9689 13.9710 14.0005 13.9902 13.9927 13.9937 13.9962 14.0286 14.0417 14.0372 14.0548 14.0712 14.0974 14.1071 14.1391

12.69 12.24 11.40 11.06 10.44 9.53 9.10 8.91 8.66 8.48 8.49 8.31 7.86 7.48 7.42 7.33 7.32 7.34 7.36 7.37 7.39 7.41 7.41 7.43 7.42 7.43 7.44 7.53 7.88 8.09 8.50 8.75 10.00 12.25 12.75 12.75 12.75 12.75 12.75 12.75 12.50 12.50 12.25 11.75 11.25 10.75 10.25 9.75

4.25 4.25 4.25 4.25 4.25 4.25 4.00 4.00 4.00 4.00 4.00 4.00 4.00 4.00 4.00 4.00 4.00 4.25 4.50 4.75 4.75 5.00 5.25 5.25 5.50 5.75 5.75 6.00 6.25 6.25 6.50 6.50 6.75 7.00 7.25 7.50 7.50 7.50 7.75 7.75 7.75 8.25 8.25 8.25 8.25 8.25 8.25 8.25

125

Lampiran 3. Data First Difference obs 1999:01 1999:02 1999:03 1999:04 1999:05 1999:06 1999:07 1999:08 1999:09 1999:10 1999:11 1999:12 2000:01 2000:02 2000:03 2000:04 2000:05 2000:06 2000:07 2000:08 2000:09 2000:10 2000:11 2000:12 2001:01 2001:02 2001:03 2001:04 2001:05 2001:06 2001:07 2001:08 2001:09 2001:10 2001:11 2001:12 2002:01 2002:02 2002:03 2002:04 2002:05 2002:06 2002:07 2002:08 2002:09 2002:10 2002:11 2002:12 2003:01 2003:02 2003:03 2003:04 2003:05

DSBW NA 0.000000 0.000000 0.000000 0.000000 0.000000 0.250000 0.250000 0.000000 0.000000 0.250000 0.000000 0.000000 0.250000 0.250000 0.000000 0.500000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 -0.500000 -0.500000 -0.500000 -0.500000 -0.500000 -0.250000 0.000000 0.000000 -0.750000 -0.500000 -0.500000 -0.250000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 -0.500000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000

DLIPI NA 0.207079 0.127144 -0.019831 0.012920 -0.023129 0.059383 -0.014381 0.028112 0.016180 0.006295 -0.049213 -0.429650 0.255806 0.071358 -0.059123 0.100744 -0.004388 0.047426 0.028481 -0.009099 0.015600 -0.018896 -0.156538 0.024996 0.019987 0.049410 -0.008330 0.063942 0.007449 0.012656 0.014461 -0.023093 0.029582 -0.033239 -0.282991 0.191758 -0.084551 0.105306 0.066625 0.013516 -0.002270 0.060159 -0.003258 -0.014360 0.031645 -0.018832 -0.285019 0.204625 -0.013609 0.079010 -0.060472 0.026185

DLCPI NA 0.000996 0.012613 -0.001722 -0.006917 -0.002855 -0.003362 -0.010532 -0.009371 -0.006894 0.000640 0.001024 0.017244 0.013113 0.000744 -0.004598 0.005589 0.008387 0.004901 0.012751 0.005175 -0.000961 0.011588 0.013098 0.018929 0.003216 0.008677 0.008940 0.004496 0.011042 0.015956 0.020851 -0.009993 0.006351 0.006738 0.016910 0.015907 0.011894 0.002850 -0.002137 0.007913 0.003027 0.007027 0.003595 0.005567 0.004747 0.018184 0.011750 0.008865 0.001896 -0.001232 0.002084 0.003590

DLER NA -0.024888 -0.005168 -0.050173 -0.018943 -0.186501 0.021911 0.095641 0.103031 -0.195042 0.073331 -0.044758 0.044758 0.010717 0.011262 0.045711 0.081542 0.013253 0.030220 -0.082508 0.057426 0.067701 0.014267 0.006797 -0.015227 0.039933 0.055858 0.115644 -0.054296 0.033962 -0.183196 -0.071809 0.087434 0.075620 -0.000479 -0.002880 -0.007722 -0.012775 -0.053833 -0.035743 -0.058688 -0.006280 0.042388 -0.026817 0.016553 0.023894 -0.028230 -0.004019 -0.007185 0.003262 0.000337 -0.026504 -0.046723

DLM2 NA 0.010215 0.001093 0.016137 0.024361 -0.020664 0.018986 0.014753 0.024458 -0.036522 0.016481 0.010669 0.006774 0.004198 0.004760 0.013917 0.026427 0.001255 0.008150 -0.006300 0.001240 0.030125 0.017951 0.029773 -0.004453 0.022973 0.014335 0.032606 -0.004944 0.010248 -0.032288 0.003756 0.011646 0.031932 0.016081 0.026936 -0.007171 -0.001029 -0.006891 -0.003775 0.005786 0.006641 0.016653 0.004816 0.003345 0.003836 0.008120 0.015807 -0.011635 0.008584 -0.003910 0.005716 0.011511

DSBI NA 1.070000 0.340000 -2.650000 -6.460000 -6.680000 -7.040000 -1.810000 -0.180000 0.110000 -0.030000 -0.590000 -1.030000 -0.350000 -0.100000 -0.030000 0.080000 0.660000 1.790000 0.000000 0.090000 0.120000 0.410000 0.380000 0.210000 0.050000 1.030000 0.270000 0.240000 0.320000 0.520000 0.500000 -0.100000 0.010000 0.020000 0.020000 -0.690000 -0.070000 -0.100000 -0.160000 -1.090000 -0.400000 -0.180000 -0.580000 -1.130000 -0.120000 -0.040000 -0.130000 -0.240000 -0.450000 -0.840000 -0.340000 -0.620000

126

2003:06 2003:07 2003:08 2003:09 2003:10 2003:11 2003:12 2004:01 2004:02 2004:03 2004:04 2004:05 2004:06 2004:07 2004:08 2004:09 2004:10 2004:11 2004:12 2005:01 2005:02 2005:03 2005:04 2005:05 2005:06 2005:07 2005:08 2005:09 2005:10 2005:11 2005:12 2006:01 2006:02 2006:03 2006:04 2006:05 2006:06 2006:07 2006:08 2006:09 2006:10 2006:11 2006:12

0.000000 -0.250000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.250000 0.250000 0.250000 0.000000 0.250000 0.250000 0.000000 0.250000 0.250000 0.000000 0.250000 0.250000 0.000000 0.250000 0.000000 0.250000 0.250000 0.250000 0.250000 0.000000 0.000000 0.250000 0.000000 0.000000 0.500000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000

0.050398 0.001414 0.000724 0.001706 -0.910000 0.034457 0.000377 0.026208 0.007612 -0.430000 -0.007249 0.005819 0.003521 0.004548 -0.190000 0.016256 0.003923 -0.014041 0.006304 -0.250000 -0.001812 0.006134 0.009343 0.016436 -0.180000 -0.189352 0.009223 0.004932 0.019586 0.010000 0.152328 0.008228 -0.010598 0.011624 -0.180000 -0.014213 0.005629 -0.000711 -0.008844 -0.450000 -0.087335 -0.000181 0.000711 -0.012249 -0.380000 0.073357 0.003616 0.016438 -0.000630 -0.060000 -0.025031 0.009697 0.008581 -0.004636 -0.090000 0.028982 0.008807 0.061460 0.023496 -0.010000 0.018579 0.004772 0.022014 0.024059 0.020000 0.052853 0.003871 -0.026585 -0.001102 0.020000 0.008854 0.000878 0.017301 0.005249 0.010000 0.028775 0.000175 0.040136 0.006695 0.020000 0.035657 0.005598 -0.065981 0.009207 0.020000 -0.218529 0.008858 -0.007952 0.004411 0.000000 0.130780 0.010322 0.029716 0.032639 0.020000 -0.027100 0.014189 -0.013547 -0.017228 -0.010000 -0.006142 -0.001689 0.010312 -0.003678 0.010000 0.041814 0.018919 0.023480 0.008411 0.010000 -0.060035 0.003394 0.009449 0.022820 0.090000 0.040561 0.002064 -0.007868 0.001855 0.350000 0.004092 0.005018 0.022700 0.025997 0.210000 0.013164 0.007766 0.010854 0.013533 0.410000 0.033485 0.005441 0.041982 0.024951 0.250000 0.000795 0.006860 0.006813 0.030516 1.250000 -0.008541 0.083446 -0.021569 0.013203 2.250000 -0.161364 0.013012 -0.005466 0.002165 0.500000 0.050332 -0.000438 -0.020640 0.029476 0.000000 -0.015800 0.013499 -0.045261 -0.010343 0.000000 -0.010428 0.005822 -0.017719 0.002541 0.000000 0.013154 0.000287 -0.016936 0.001007 0.000000 0.001632 0.000501 -0.033617 0.002462 0.000000 0.038743 0.003717 0.049468 0.032432 -0.250000 0.037550 0.004485 0.008639 0.013048 0.000000 0.024136 0.004465 -0.025042 -0.004413 -0.250000 0.000492 0.003247 0.003302 0.017583 -0.500000 0.046881 0.003799 0.014726 0.016409 -0.500000 0.028811 0.008599 -0.013628 0.026185 -0.500000 0.038946 0.003405 0.006019 0.009682 -0.500000 0.006479 0.012068 -0.015948 0.031994 -0.500000

127

Lampiran 4. Uji Stasioneritas Pada Level 1. Suku bunga Dunia (SBW) Null Hypothesis: SBW has a unit root Exogenous: None Lag Length: 1 (Automatic based on SIC, MAXLAG=11) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level

t-Statistic

Prob.*

-0.144197 -2.589795 -1.944286 -1.614487

0.6314

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

2. Industrial Index And Production (LIPI) Null Hypothesis: LIPI has a unit root Exogenous: None Lag Length: 11 (Automatic based on SIC, MAXLAG=11) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level

t-Statistic

Prob.*

1.767682 -2.592782 -1.944713 -1.614233

0.9808

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

3. Consumer Price Index (LCPI) Null Hypothesis: LCPI has a unit root Exogenous: None Lag Length: 0 (Automatic based on SIC, MAXLAG=11) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level

t-Statistic

Prob.*

6.027303 -2.589531 -1.944248 -1.614510

1.0000

*MacKinnon (1996) one-sided p-values

4. Nilai Tukar (LER) Null Hypothesis: LER has a unit root Exogenous: None Lag Length: 0 (Automatic based on SIC, MAXLAG=11) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level

t-Statistic

Prob.*

-0.011482 -2.589531 -1.944248 -1.614510

0.6764

*MacKinnon (1996) one-sided p-value

5. Permintaan Uang (LM2) Null Hypothesis: LM2 has a unit root Exogenous: None Lag Length: 0 (Automatic based on SIC, MAXLAG=11) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level

t-Statistic

Prob.*

6.234378 -2.589531 -1.944248

1.0000

128

10% level

-1.614510

*MacKinnon (1996) one-sided p-values

Lampiran 4. Lanjutan 6. Sertifikat Bank Indonesia (SBI) Null Hypothesis: SBI has a unit root Exogenous: None Lag Length: 1 (Automatic based on SIC, MAXLAG=11) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values.

t-Statistic

Prob.*

-3.122383 -2.589795 -1.944286 -1.614487

0.0021

129

Lampiran 4. Lanjutan Uji Stasioneritas pada First Difference 1. Sukubunga Dunia (DSBW) Null Hypothesis: D(SBW) has a unit root Exogenous: None Lag Length: 0 (Automatic based on SIC, MAXLAG=11) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level

t-Statistic

Prob.*

-5.154748 -2.589795 -1.944286 -1.614487

0.0000

t-Statistic

Prob.*

-3.929527 -2.593121 -1.944762 -1.614204

0.0001

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

2. Industrial Index and Production (DLIPI) Null Hypothesis: D(LIPI) has a unit root Exogenous: None Lag Length: 11 (Automatic based on SIC, MAXLAG=11) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values.

3. Consumer Price Index (DLCPI) Null Hypothesis: D(LCPI) has a unit root Exogenous: None Lag Length: 0 (Automatic based on SIC, MAXLAG=11) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level

t-Statistic

Prob.*

-6.253612 -2.589795 -1.944286 -1.614487

0.0000

*MacKinnon (1996) one-sided p-values

4. Nilai Tukar (DLER) Null Hypothesis: D(LER) has a unit root Exogenous: None Lag Length: 0 (Automatic based on SIC, MAXLAG=11) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level

t-Statistic

Prob.*

-10.08014 -2.589795 -1.944286 -1.614487

0.0000

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

5. Permintaan Uang (DLM2) Null Hypothesis: D(LM2) has a unit root Exogenous: None Lag Length: 1 (Automatic based on SIC, MAXLAG=11) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values.

t-Statistic

Prob.*

-4.134600 -2.590065 -1.944324 -1.614464

0.0001

130

Lampiran 4. Lanjutan 6. Sertifikat Bank Indonesia (DSBI) Null Hypothesis: D(SBI) has a unit root Exogenous: None Lag Length: 0 (Automatic based on SIC, MAXLAG=11) Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values.

t-Statistic

Prob.*

-3.390187 -2.589795 -1.944286 -1.614487

0.0009

131

Lampiran 5. Hasil VAR Pada Tingkat Lag Optimal Vector Autoregression Estimates Date: 05/29/07 Time: 23:50 Sample(adjusted): 1999:03 2006:12 Included observations: 94 after adjusting endpoints Standard errors in ( ) & t-statistics in [ ] DSBW

DLIPI

DLCPI

DLER

DLM2

DSBI

DSBW(-1)

0.545840 (0.08885) [ 6.14322]

0.050695 -0.001676 -0.010910 -0.007459 (0.04149) (0.00443) (0.02488) (0.00675) [ 1.22200] [-0.37815] [-0.43843] [-1.10472]

0.357881 (0.38512) [ 0.92927]

DLIPI(-1)

-0.096008 -0.357522 -0.009657 -0.028226 -0.008746 (0.20682) (0.09657) (0.01032) (0.05792) (0.01572) [-0.46420] [-3.70234] [-0.93583] [-0.48731] [-0.55652]

-0.117449 (0.89645) [-0.13102]

DLCPI(-1)

0.634547 -1.580475 -0.017083 -0.060166 -0.105350 (2.09858) (0.97983) (0.10471) (0.58771) (0.15947) [ 0.30237] [-1.61301] [-0.16315] [-0.10237] [-0.66063]

-5.087342 (9.09602) [-0.55929]

DLER(-1)

-0.266702 (0.52408) [-0.50890]

0.351962 -0.067082 0.075378 (0.24469) (0.02615) (0.14677) [ 1.43838] [-2.56535] [ 0.51358]

0.011404 (0.03982) [ 0.28635]

6.405843 (2.27154) [ 2.82004]

DLM2(-1)

0.344375 -1.103764 (1.89730) (0.88585) [ 0.18151] [-1.24599]

0.301035 -0.742479 -0.094746 (0.09467) (0.53134) (0.14417) [ 3.17990] [-1.39737] [-0.65717]

-8.875733 (8.22358) [-1.07930]

DSBI(-1)

-0.016681 (0.01655) [-1.00789]

0.000918 (0.00773) [ 0.11878]

0.003219 0.000690 (0.00083) (0.00463) [ 3.89866] [ 0.14896]

0.000477 (0.00126) [ 0.37892]

0.745796 (0.07173) [ 10.3966]

C

-0.008486 (0.02859) [-0.29685]

0.025419 (0.01335) [ 1.90454]

0.004844 0.007510 (0.00143) (0.00801) [ 3.39611] [ 0.93817]

0.010523 (0.00217) [ 4.84455]

0.017685 (0.12390) [ 0.14274]

0.324374 0.175818 0.236682 0.029288 0.028603 0.277779 0.118978 0.184039 -0.037658 -0.038390 3.038521 0.662390 0.007565 0.238307 0.017546 0.186884 0.087256 0.009325 0.052337 0.014201 6.961569 3.093196 4.496009 0.437484 0.426952 27.92020 99.51398 309.7145 147.5619 270.1736 -0.445111 -1.968382 -6.440735 -2.990679 -5.599438 -0.255716 -1.778988 -6.251340 -2.801285 -5.410044 0.005319 0.003999 0.006344 0.000348 0.008830 0.219906 0.092962 0.010323 0.051378 0.013936

0.644957 0.620472 57.08379 0.810022 26.34018 -109.9378 2.488039 2.677433 -0.295213 1.314846

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

Determinant Residual Covariance Log Likelihood (d.f. adjusted) Akaike Information Criteria Schwarz Criteria

3.48E-15 764.4187 -15.37061 -14.23424

132

Lampiran 5. Lanjutan VAR Lag Order Selection Criteria Endogenous variables: DSBW DLIPI DLCPI DLER DLM2 DSBI Exogenous variables: C Date: 05/29/07 Time: 23:52 Sample: 1999:01 2006:12 Included observations: 88 Lag

LogL

LR

FPE

AIC

SC

HQ

0 1 2 3 4 5 6 7

738.6510 799.1764 825.8144 860.1311 889.2988 917.1936 965.6559 993.5264

NA 111.4218 45.40553 53.81492 41.76277 36.13645 56.17230* 28.50388

2.36E-15 1.36E-15* 1.70E-15 1.81E-15 2.24E-15 2.95E-15 2.57E-15 3.83E-15

-16.65116 -17.20856* -16.99578 -16.95753 -16.80224 -16.61804 -16.90127 -16.71651

-16.48225* -16.02619 -14.79996 -13.74825 -12.57951 -11.38185 -10.65163 -9.453408

-16.58311 -16.73221* -16.11114 -15.66459 -15.10101 -14.50851 -14.38345 -13.79039

* 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

Note: Untuk mengetahui jumlah lag optimal yang akan digunakan dalam variabel yang akan dianalisis. Jumlah lagnya yang optimal dalam penelitian ini didasarkan pada nilai akaike information criteria (AIC) yang terkecil atau minimum yaitu di lag 1. Roots of Characteristic Polynomial Endogenous variables: DSBW DLIPI DLCPI DLER DLM2 DSBI Exogenous variables: C Lag specification: 1 1 Date: 05/29/07 Time: 23:44 Root 0.693249 0.565470 -0.383370 0.058882 - 0.179546i 0.058882 + 0.179546i -0.095451 No root lies outside the unit circle. VAR satisfies the stability condition.

Modulus 0.693249 0.565470 0.383370 0.188955 0.188955 0.095451

133

Lampiran 5. Lanjutan Inverse Roots of AR Characteristic Polynomial 1.5 1.0 0.5 0.0 -0.5 -1.0 -1.5 -1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

Var Estimasi Estimation Proc: =============================== LS 1 1 DSBW DLIPI DLCPI DLER DLM2 DSBI @ C VAR Model: =============================== DSBW = C(1,1)*DSBW(-1) + C(1,2)*DLIPI(-1) + C(1,3)*DLCPI(-1) + C(1,4)*DLER(-1) + C(1,5)*DLM2(-1) + C(1,6)*DSBI(-1) + C(1,7) DLIPI = C(2,1)*DSBW(-1) + C(2,2)*DLIPI(-1) + C(2,3)*DLCPI(-1) + C(2,4)*DLER(-1) + C(2,5)*DLM2(-1) + C(2,6)*DSBI(-1) + C(2,7) DLCPI = C(3,1)*DSBW(-1) + C(3,2)*DLIPI(-1) + C(3,3)*DLCPI(-1) + C(3,4)*DLER(-1) + C(3,5)*DLM2(-1) + C(3,6)*DSBI(-1) + C(3,7) DLER = C(4,1)*DSBW(-1) + C(4,2)*DLIPI(-1) + C(4,3)*DLCPI(-1) + C(4,4)*DLER(-1) + C(4,5)*DLM2(-1) + C(4,6)*DSBI(-1) + C(4,7) DLM2 = C(5,1)*DSBW(-1) + C(5,2)*DLIPI(-1) + C(5,3)*DLCPI(-1) + C(5,4)*DLER(-1) + C(5,5)*DLM2(-1) + C(5,6)*DSBI(-1) + C(5,7) DSBI = C(6,1)*DSBW(-1) + C(6,2)*DLIPI(-1) + C(6,3)*DLCPI(-1) + C(6,4)*DLER(-1) + C(6,5)*DLM2(-1) + C(6,6)*DSBI(-1) + C(6,7) VAR Model - Substituted Coefficients: =============================== DSBW = 0.5458404389*DSBW(-1) - 0.0960078236*DLIPI(-1) + 0.6345469242*DLCPI(-1) - 0.266702008*DLER(-1) + 0.3443751545*DLM2(-1) - 0.01668083278*DSBI(-1) 0.008485594345 DLIPI = 0.05069504303*DSBW(-1) - 0.3575220271*DLIPI(-1) - 1.580474719*DLCPI(-1) + 0.3519618322*DLER(-1) - 1.103764184*DLM2(-1) + 0.0009178608073*DSBI(-1) + 0.02541910633 DLCPI = - 0.001676490641*DSBW(-1) - 0.00965747398*DLIPI(-1) 0.01708330569*DLCPI(-1) - 0.06708248089*DLER(-1) + 0.3010345905*DLM2(-1) + 0.003219482276*DSBI(-1) + 0.004843865311 DLER = - 0.01090951011*DSBW(-1) - 0.02822582572*DLIPI(-1) 0.06016645022*DLCPI(-1) + 0.075377901*DLER(-1) - 0.7424785323*DLM2(-1) + 0.0006904155729*DSBI(-1) + 0.007510368132

134

DLM2 = - 0.007458855833*DSBW(-1) - 0.008746425336*DLIPI(-1) 0.1053503952*DLCPI(-1) + 0.01140379705*DLER(-1) - 0.09474645256*DLM2(-1) + 0.000476546484*DSBI(-1) + 0.01052324946 DSBI = 0.3578805509*DSBW(-1) - 0.1174492431*DLIPI(-1) - 5.087342336*DLCPI(-1) + 6.405843103*DLER(-1) - 8.875732643*DLM2(-1) + 0.7457956794*DSBI(-1) + 0.01768538566

135

Lampiran 6 . Analisis Impulse Response Function (IRF) Estimasi SVAR Structural VAR Estimates Date: 05/31/07 Time: 10:59 Sample(adjusted): 1999:03 2006:12 Included observations: 94 after adjusting endpoints Estimation method: method of scoring (analytic derivatives) Convergence achieved after 10 iterations Structural VAR is just-identified Model: Ae = Bu where E[uu']=I Restriction Type: short-run text form @e1 = C(1)*@u1 @e2 = C(2)*@e1 + C(3)*@u2 @e3 = C(4)*@e1 + C(5)*@e2 + C(6)*@u3 @e4 = C(7)*@e1 + C(8)*@e2 + C(9)*@e3 + C(10)*@u4 @e5 = C(11)*@e1 + C(12)*@e2 + C(13)*@e3 + C(14)*@e4 + C(15)*@u5 @e6 = C(16)*@e1 + C(17)*@e2 + C(18)*@e3 + C(19)*@e4 + C(20)*@e5 + C(21)*@u6 where @e1 represents DSBW residuals @e2 represents DLIPI residuals @e3 represents DLCPI residuals @e4 represents DLER residuals @e5 represents DLM2 residuals @e6 represents DSBI residuals C(2) C(4) C(5) C(7) C(8) C(9) C(11) C(12) C(13) C(14) C(16) C(17) C(18) C(19) C(20) C(1) C(3) C(6) C(10) C(15) C(21) Log likelihood

Coefficient

Std. Error

z-Statistic

Prob.

0.004589 0.004627 -0.011979 -0.022024 -0.028763 -0.526179 0.006153 -0.017518 0.062410 0.174309 0.413279 -0.250155 26.17507 8.630346 -19.54840 0.186884 0.087252 0.009227 0.051872 0.010768 0.702084

0.048155 0.005092 0.010907 0.028755 0.061711 0.579866 0.005988 0.012825 0.120900 0.021411 0.392599 0.844475 7.893956 1.822906 6.724936 0.013630 0.006364 0.000673 0.003783 0.000785 0.051205

0.095298 0.908549 -1.098279 -0.765927 -0.466097 -0.907414 1.027552 -1.365921 0.516207 8.140994 1.052673 -0.296226 3.315837 4.734388 -2.906853 13.71131 13.71131 13.71131 13.71131 13.71131 13.71131

0.9241 0.3636 0.2721 0.4437 0.6411 0.3642 0.3042 0.1720 0.6057 0.0000 0.2925 0.7671 0.0009 0.0000 0.0037 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

764.4187

Estimated A matrix: 1.000000 0.000000 -0.004589 1.000000 -0.004627 0.011979 0.022024 0.028763 -0.006153 0.017518 -0.413279 0.250155 Estimated B matrix: 0.186884 0.000000 0.000000 0.087252 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000

0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.526179 1.000000 -0.062410 -0.174309 -26.17507 -8.630346

0.000000 0.000000 0.000000 0.000000 1.000000 19.54840

0.000000 0.000000 0.000000 0.000000 0.000000 1.000000

0.000000 0.000000 0.009227 0.000000 0.000000 0.000000

0.000000 0.000000 0.000000 0.000000 0.010768 0.000000

0.000000 0.000000 0.000000 0.000000 0.000000 0.702084

0.000000 0.000000 0.000000 0.051872 0.000000 0.000000

136

Lampiran 6. Lanjutan Effect of cholesky (d.f. adjust) one S.D. DLER innovation Period 1 2 3 4 5 6 7 8 9 10 11 12

DSBW 0.000000 -0.015240 -0.015988 -0.012563 -0.009717 -0.007287 -0.005392 -0.003920 -0.002824 -0.002016 -0.001432 -0.001011

DLIPI 0.000000 0.008526 -0.004355 -0.001596 -0.001678 -0.000963 -0.000795 -0.000536 -0.000396 -0.000275 -0.000196 -0.000137

DLCPI 0.000000 0.000114 0.001538 0.001119 0.000751 0.000534 0.000377 0.000267 0.000187 0.000131 9.17E-05 6.41E-05

DLER 0.051872 -0.002616 0.000136 0.000265 0.000194 0.000166 0.000106 8.00E-05 5.51E-05 3.96E-05 2.76E-05 1.95E-05

DLM2 0.009042 -0.000136 0.000226 0.000126 8.64E-05 7.63E-05 5.34E-05 4.02E-05 2.86E-05 2.06E-05 1.46E-05 1.04E-05

DSBI 0.270919 0.454081 0.316062 0.221546 0.155805 0.109575 0.076895 0.053799 0.037581 0.026212 0.018262 0.012711

Cholesky Ordering: DSBW DLIPI DLCPI DLER DLM2 DSBI

Effect of cholesky (d.f. adjust) one S.D. DLCPI innovation Period 1 2 3 4 5 6 7 8 9 10 11 12

DSBW 0.000000 0.003639 0.002533 -0.000301 -0.000732 -0.000965 -0.000851 -0.000723 -0.000566 -0.000433 -0.000321 -0.000235

DLIPI 0.000000 -0.015804 0.005520 -0.001821 0.000503 -0.000457 -4.19E-05 -0.000153 -6.99E-05 -6.89E-05 -4.37E-05 -3.40E-05

DLCPI 0.009227 0.000746 0.000149 0.000112 0.000174 0.000114 8.93E-05 6.21E-05 4.57E-05 3.22E-05 2.30E-05 1.62E-05

DLER -0.004855 -0.000579 0.001042 -0.000182 0.000111 -8.15E-06 3.56E-05 1.19E-05 1.45E-05 8.44E-06 6.92E-06 4.64E-06

DLM2 -0.000270 -0.000904 0.000148 -5.58E-05 3.37E-05 -1.81E-06 1.19E-05 5.56E-06 6.18E-06 4.11E-06 3.32E-06 2.35E-06

Cholesky Ordering: DSBW DLIPI DLCPI DLER DLM2 DSBI

DSBI 0.204892 0.077170 0.061232 0.050528 0.036553 0.026463 0.018829 0.013411 0.009472 0.006676 0.004686 0.003282

137

Lampiran 7. Forecast Error Decomposition Variance Variance Decomposition of DLER Period 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50

S.E. 0.186884 0.214560 0.222854 0.225536 0.226511 0.226925 0.227123 0.227223 0.227276 0.227304 0.227318 0.227326 0.227329 0.227331 0.227332 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333

DSBW 0.769217 1.007551 1.009851 1.010226 1.010517 1.010496 1.010485 1.010493 1.010504 1.010515 1.010522 1.010526 1.010529 1.010530 1.010531 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532 1.010532

DLIPI 0.140204 0.181384 0.236213 0.248476 0.250157 0.250395 0.250424 0.250430 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429 0.250429

DLCPI 0.860455 0.847226 0.884866 0.885842 0.886218 0.886195 0.886228 0.886227 0.886231 0.886232 0.886233 0.886233 0.886233 0.886233 0.886233 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234 0.886234

DLER 98.23012 95.60688 95.51309 95.49485 95.49005 95.48820 95.48735 95.48692 95.48669 95.48657 95.48651 95.48648 95.48646 95.48646 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645 95.48645

DLM2 0.000000 2.348628 2.347125 2.346624 2.347339 2.347758 2.347990 2.348093 2.348146 2.348172 2.348185 2.348191 2.348194 2.348195 2.348196 2.348196 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197 2.348197

Cholesky Ordering: DSBW DLIPI DLCPI DLER DLM2 DSBI

DSBI 0.000000 0.008328 0.008857 0.013987 0.015717 0.016955 0.017522 0.017842 0.018000 0.018081 0.018122 0.018142 0.018152 0.018156 0.018159 0.018160 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161 0.018161

138

Lampiran 7. Lanjutan Variance Decomposition of DLCPI Period 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50

S.E. 0.186884 0.214560 0.222854 0.225536 0.226511 0.226925 0.227123 0.227223 0.227276 0.227304 0.227318 0.227326 0.227329 0.227331 0.227332 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333 0.227333

DSBW 0.839518 0.786837 0.827867 0.802633 0.803427 0.822984 0.842646 0.857421 0.866947 0.872619 0.875809 0.877537 0.878449 0.878920 0.879159 0.879280 0.879340 0.879369 0.879384 0.879391 0.879395 0.879396 0.879397 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398 0.879398

DLIPI 1.256315 2.927524 2.794332 2.710260 2.668462 2.648343 2.637662 2.632368 2.629667 2.628330 2.627664 2.627335 2.627174 2.627095 2.627057 2.627038 2.627029 2.627024 2.627022 2.627021 2.627021 2.627021 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020 2.627020

DLCPI 97.90417 84.72166 80.15686 77.54545 76.36319 75.76719 75.46496 75.31032 75.23241 75.19331 75.17386 75.16423 75.15949 75.15717 75.15604 75.15548 75.15521 75.15508 75.15502 75.15499 75.15498 75.15497 75.15497 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496 75.15496

DLER 0.000000 0.012941 2.223666 3.284077 3.734821 3.957285 4.066181 4.120159 4.146514 4.159410 4.165684 4.168734 4.170212 4.170928 4.171274 4.171441 4.171522 4.171561 4.171579 4.171588 4.171593 4.171595 4.171596 4.171596 4.171596 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597 4.171597

DLM2 0.000000 6.499345 6.423964 6.913867 7.122279 7.205738 7.245488 7.264455 7.273570 7.277905 7.279976 7.280964 7.281437 7.281663 7.281771 7.281822 7.281847 7.281859 7.281865 7.281867 7.281869 7.281869 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870 7.281870

Cholesky Ordering: DSBW DLIPI DLCPI DLER DLM2 DSBI

DSBI 0.000000 5.051691 7.573307 8.743711 9.307817 9.598456 9.743063 9.815279 9.850891 9.868427 9.877009 9.881198 9.883236 9.884225 9.884704 9.884936 9.885048 9.885102 9.885128 9.885141 9.885147 9.885150 9.885151 9.885152 9.885152 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153 9.885153

139

Lampiran 8. Granger Causality Test Pairwise Granger Causality Test Sample: 1999:01 2006:12 Lags: 1 Null Hypothesis: DLIPI does not Granger Cause DSBW DSBW does not Granger Cause DLIPI

Obs 94

F-Statistic 0.30811 1.10658

Probability 0.58020 0.29561

DLCPI does not Granger Cause DSBW DSBW does not Granger Cause DLCPI

94

0.00169 0.30681

0.96733 0.58100

DLER does not Granger Cause DSBW DSBW does not Granger Cause DLER

94

0.62621 0.25679

0.43081 0.61356

DLM2 does not Granger Cause DSBW DSBW does not Granger Cause DLM2

94

0.04762 1.50322

0.82775 0.22334

DSBI does not Granger Cause DSBW DSBW does not Granger Cause DSBI

94

1.34678 0.37368

0.24888 0.54253

DLCPI does not Granger Cause DLIPI DLIPI does not Granger Cause DLCPI

94

3.56852 0.79454

0.06207 0.37508

DLER does not Granger Cause DLIPI DLIPI does not Granger Cause DLER

94

0.99791 0.12590

0.32047 0.72354

DLM2 does not Granger Cause DLIPI DLIPI does not Granger Cause DLM2

94

0.12756 0.26262

0.72180 0.60957

DSBI does not Granger Cause DLIPI DLIPI does not Granger Cause DSBI

94

0.09375 0.00149

0.76016 0.96928

DLER does not Granger Cause DLCPI DLCPI does not Granger Cause DLER

94

0.08533 0.00807

0.77086 0.92861

DLM2 does not Granger Cause DLCPI DLCPI does not Granger Cause DLM2

94

4.38839 0.32326

0.03896 0.57105

DSBI does not Granger Cause DLCPI DLCPI does not Granger Cause DSBI

94

10.4872 1.39924

0.00168 0.23993

DLM2 does not Granger Cause DLER DLER does not Granger Cause DLM2

94

2.05679 0.31329

0.15496 0.57704

DSBI does not Granger Cause DLER DLER does not Granger Cause DSBI

94

0.08558 8.74505

0.77054 0.00395

DSBI does not Granger Cause DLM2 DLM2 does not Granger Cause DSBI

94

0.07619 1.07056

0.78316 0.30356

Keterangan : Hipotesis nol pada kedua baris tidak memiliki pengaruh antar variabel, maka gunakan Probability value < alpha (10%) = gunakan restriksi terketat 10% untuk menolak hipotesis nol sehingga memiliki hubungan kausalitas searah antar variabel. dimana pergerakan variabel satu secara signifikan memiliki pengaruh pada pergerakan variabel lain