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______________. 2002. Statistik Perbankan Syariah 2002. Direktorat Perbankan Syariah, Bank Indonesia, Jakarta.
______________. 2003a. Statistik Perbankan Syariah 2003. Direktorat Perbankan Syariah, Bank Indonesia, Jakarta. ______________. 2003b. Penelitian Potensi, Preferensi dan Perilaku Masyarakat terhadap Bank Syariah di Wilayah Sumatera Utara. Biro Perbankan Syariah, Bank Indonesia, Jakarta. ______________. 2004. Statistik Perbankan Syariah 2004. Direktorat Perbankan Syariah, Bank Indonesia, Jakarta. ______________. 2005. Statistik Perbankan Syariah 2005. Direktorat Perbankan Syariah, Bank Indonesia, Jakarta. ______________. 2006. Statistik Perbankan Syariah 2006. Direktorat Perbankan Syariah, Bank Indonesia, Jakarta. ______________. 2007. Statistik Perbankan Syariah 2007. Direktorat Perbankan Syariah, Bank Indonesia, Jakarta. ______________. 2008a. Statistik Perbankan Syariah 2008. Direktorat Perbankan Syariah, Bank Indonesia, Jakarta. ______________. 2008b. Pelaksanaan Prinsip Syariah dalam Kegiatan Penghimpunan Dana dan Penyaluran Dana serta Pelayanan Jasa Bank Syariah. Surat Edaran No. 10/14/DPbS. Direktorat Perbankan Syariah, Bank Indonesia, Jakarta. ______________. 2008c. Statistik Ekonomi Moneter Indonesia. Edisi Agustus 2008. Bank Indonesia, Jakarta. Bank Indonesia Surabaya. 2002. Peluang, Hambatan dan Kinerja Bank Syariah sebagai Lembaga Intermediasi di Jawa Timur, Surabaya. Ben, S.C. and H.L. Ming. 2005. Islamic Banking: Interest-Free or Interest-Based. Auckland University Technology, Auckland. Bernanke, B.S. and M. Gertler. 1995. Inside the Black Box: the Credit Channel of Monetary Policy Transmission. National Bureau of Economic Research, Massachusetts. Dewan Syariah Nasional. 2006. Himpunan Fatwa Dewan Syariah Nasional. Gaung Press, Jakarta. Ebrahim, M.S. and K.J. Tan. 2001. Islamic Banking in Brunei Darussalam. International Journal of Social Economics, 28 (4): 314-337.
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Mengambang dan Mengambang Terkendali. Buletin Ekonomi Moneter dan Perbankan, 9 (2): 76-112. Kuttner, K. N. and P. C. Mosser. 2002. The Monetary Transmission Mechanism: Some Answers and Further Questions. Federal Reserve Bank of New York Economic Policy Review, 8 (1): 15–26. Levine, R. 1997. Financial Development and Economic Growth: Views and Agenda. Journal of Economic Literature, 35 (2): 688-726. Lindiawatie. 2007. Dampak Faktor Eksternal dan Internal Pebankan Syariah di Indonesia terhadap Pembiayaan Macet: Analisis Impulse Response Function dan Variance Decomposition. Tesis Magister Sains. Kajian Ekonomi Keuangan Syariah, Program Studi Kajian Timur Tengah dan Islam, Program Pascasarjana Universitas Indonesia, Jakarta. Maryanah. 2008. Faktor-faktor yang Mempengaruhi Pembiayaan Bagi Hasil di Bank Syariah Mandiri. Eksis, Jurnal Ekonomi Keuangan dan Bisnis Islami, 4 (1): 1-19. Meydianawathi, L.G. 2007. Analisis Perilaku Penawaran Kredit Perbankan kepada Sektor UMKM di Indonesia (2002-2006). Buletin Studi Ekonomi, 12 (2): 134-147. Mishkin, F.S. 2003. The Economics of Money, Banking and Financial Markets. Seventh Edition. Addison-Wesley, Boston. Nazir, M. 1988. Metode Penelitian. Cetakan Ketiga. Ghalia Indonesia, Jakarta. Neuman, W.L. 2003. Social Research Methods: Qualitative and Quantitative Approaches. Fifth Edition. Pearson Education Inc., Boston. Nuryakin C, dan P. Warjiyo. 2006. Perilaku Penawaran Kredit Bank di Indonesia Kasus Pasar Oligopoli Periode Januari 2001-Juli 2005. Buletin Ekonomi Moneter dan Perbankan, 9 (4): 21-55. Peek, J., E.S. Rosengren and G. Tootell. 2000. Identifying the Macroeconomic Effect of Loan Supply Shocks. http://www.papers.ssrn. com. Pohan, Aulia. 2008. Kerangka Kebijakan Moneter dan Implementasinya di Indonesia. PT RajaGrafindo Persada, Jakarta. Pusat Pengkajian dan Pengembangan Ekonomi Islam (P3EI). 2008. Ekonomi Islam. Raja Grafindo Persada, Jakarta. Reed, E.W. 1989. Commercial Banking. Prentice-Hall, New Jersey. Sakti, A. 2007. Ekonomi Islam: Jawaban atas Kekacauan Ekonomi Modern. Aqsa-Publishing, Jakarta.
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Sujatna, Y. 2007. Analisis Faktor Internal dan Eksternal yang Mempengaruhi Jumlah Pembiayaan Bagi Hasil (Studi Kasus: Bank Syariah Mandiri). Tesis Magister Sains. Kajian Ekonomi Keuangan Syariah, Program Studi Kajian Timur Tengah dan Islam, Program Pascasarjana Universitas Indonesia, Jakarta. Talavera, O., A. Tsapin and O. Zholud. 2006. Macroeconomic Uncertainity and Bank Lending: The Case of Ukraine. http://www.diw.de/. Thomas, R.L. 1997. Modern Econometrics: An Introduction. Addison-Wesley, Harlow. Wibowo, H.P. 2006. Pengaruh Variabel Ekonomi Makro terhadap Kinerja Perbankan Syariah: Analisis Persamaan Simultan. Tesis Magister Sains. Program Studi Perencanaan dan Kebijakan Publik, Program Pascasarjana Universitas Indonesia, Jakarta. Widarjono, A. 2007. Ekonometrika: Teori dan Aplikasi. Edisi Kedua. Ekonisia, Yogyakarta.
149
LAMPIRAN
150
Lampiran 1. Daftar Perbankan Syariah sampai Juni 2008 I. Bank Umum Syariah (3) 1. Bank Muamalat Indonesia (November 1991) 2. Bank Syariah Mandiri (November 1999) 3. Bank Syariah Mega Indonesia (Juli 2004) II. Unit Usaha Syariah Bank Umum (13) 1. Bank IFI Syariah (Juni1999) 2. Bank Negara Indonesia Syariah (April 2000) 3. Bank Bukopin Syariah (Juni 2002) 4. Bank Rakyat Indonesia Syariah (Juni 2002) 5. Bank Danamon Syariah (Juni 2002) 6. Bank Internasional Indonesia Syariah (Mei 2003) 7. HSBC Amanah Syariah (November 2003) 8. Bank Niaga Syariah (September 2004) 9. Bank Permata Syariah (November 2004) 10. Bank Tabungan Negara Syariah (Februari 2005) 11. Bank Ekspor Indonesia Syariah (Agustus 2007) 12. Bank Lippo Syariah (Desember 2007) 13. Bank Tabungan Pembangunan Nasional Syariah (Maret 2008) III. Unit Usaha Syariah Bank Pembangunan Daerah (15) 1. Bank Jabar Syariah (Mei 2000) 2. Bank DKI Syariah (Maret 2004) 3. Bank Riau Syariah (Juni 2004) 4. BPD Kalsel Syariah (Agustus 2004) 5. Bank Sumut Syariah (Oktober 2004) 6. BPD Aceh Syariah (Oktober 2004) 7. BPD NTB Syariah (Maret 2005) 8. Bank Sumsel Syariah (Desember 2005) 9. Bank Kalbar Syariah (Desember 2005) 10. BPD Kaltim Syariah (Desember 2006) 11. BPD DIY Syariah (Februari 2007) 12. Bank Nagari Syariah / BPD Sumbar (April 2007) 13. Bank Sulsel Syariah (April 2007) 14. Bank Jatim Syariah (Juli 2007) 15. Bank Jateng Syariah (Maret 2008) IV. Bank Pembiayaan Rakyat Syariah (109) - per Agustus 2007 1. Syariat Fajar Sejahtera Bali 2. Bangka 3. Harta Insan Karimah 4. Baitul Muawanah 5. Attaqwa Garuda Utama 6. Wakalumi 7. Risalah Ummat 8. Berkah Ramadhan 9. Cilegon Mandiri 10. Dana Mardhatilla 11. Musyarakah Ummat Indonesia 12. Dharma Amanah 13. Muamalat Harkat 14. Safir Bengkulu 15. Margirizki Bahagia 16. Mukarramah
151
Lampiran 1. Lanjutan 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. 51. 52. 53. 54. 55. 56. 57. 58. 59. 60. 61. 62. 63. 64. 65. 66. 67.
Bangun Drajat Warga Berkah Amal Salman Amanah Rabbaniah PNM Mentari Baitur Ridha Babusaalam Dana Tijarah PNM Al Ma'soem Harum Hikmah Nugraha Ishlalul Ummah Artha Fisabilillah HIK Parahyangan d/hTolong Menolong Bermanfaat (To'at) Baleendah Al Ihsan Syarif Hidayatullah Amanah Ummah Artha Karimah Irsyadi Bina Amwalul Hasanah Harta Insan Karimah Bekasi Saleh Artha Al Barokah Bina Rahmah Ariyah Jaya Amanah Insani Rif’atul Ummah Insan Cita Artha Jaya Al Wadi'ah Artha Madani Buana Mitra Perwira Suriyah Ben Salamah Abadi Ikhsanul Amal Asad Alif Artha Surya Barokah Bina Amanah Satria Khasanah Ummat Artha Sinar Mentari Situbondo Al Mabrur Babadan Bhakti Haji Malang Daya Artha Mentari Pasuruan Al Hidayah Untung Surapati Bumi Rinjani Malang Bumi Rinjani Batu Bakti Makmur Indah Sidoarjo Amanah Sejahtera Gresik Bhakti Sumekar Berkah Gemadana Ibadurrahman Sakai Sambayan Daya Murni Sejahtera
152
68. Tanggamus
Lampiran 1. Lanjutan 69. 70. 71. 72. 73. 74. 75. 76. 77. 78. 79. 80. 81. 82. 83. 84. 85. 86. 87. 88. 89. 90. 91. 92. 93. 94. 95. 96. 97. 98. 99. 100. 101. 102. 103. 104. 105. 106. 107. 108. 109.
Metro Madani Hareukat Baiturrahman Tengku Chiek Dipante Hikmah Wakilah Rahman Hijrah Agung Tulen Amanah Patuh Beramal Muamalat Yofeta Hasanah Berkah Dana Fadhilah Indo Timur (d/h Ikhwanul Ummah) Dana Moneter d/h Matahari Ufuk Timur Sinar Surya Sejati Palleko Niaga Madani Nurul Ikhwan Gowata Ittihad Mentari Pasaman Saiyo Carana Kiat Andalas Ampek Angkek Candung Al Falah Kafalatuh Ummah Al Washliyah Gebu Prima Puduarta Insani Amanah Bangsa Al Yaqin Lantabur Haji Miskin Artha Mas Abadi Al Salaam Amal Salman PNM-BINAMA Jabal Tsur Dinar Ashri Bumi Rinjani Probolinggo Bumi Rinjani Kepanjen Dana Hidayatullah Kota Bekasi Bumi Rinjani Arta Leksana
153
Lampiran 2. Grafik Tiap Peubah pada Level
LNPBS
LNDPK
10.5
10.5 10.0
10.0
9.5 9.5 9.0 9.0 8.5 8.5
8.0
8.0
7.5 2003
2004
2005
2006
2007
2008
2003
2004
LPA
2005
2006
2007
2008
2006
2007
2008
2006
2007
2008
2006
2007
2008
NPF
1.6
7
6
1.2
5 0.8 4 0.4
3
0.0
2 2003
2004
2005
2006
2007
2008
2003
2004
LNSWBI
2005
LNIPI
8.5
4.9
8.0
4.8
7.5 4.7 7.0 4.6 6.5 4.5
6.0 5.5
4.4 2003
2004
2005
2006
2007
2008
2003
2004
LNKBU
2005
LNJII
14.0
6.4
13.8
6.0
13.6
5.6
13.4 5.2 13.2 4.8
13.0
4.4
12.8 12.6
4.0 2003
2004
2005
2006
2007
2008
2003
2004
2005
154
Lampiran 3. Grafik Tiap Peubah pada Derajat Pertama DLNPBS
DLNDPK
.16
.25
.12
.20 .15
.08
.10 .04 .05 .00
.00
-.04
-.05
-.08
-.10 2003
2004
2005
2006
2007
2008
2003
2004
DLPA
2005
2006
2007
2008
2006
2007
2008
2006
2007
2008
2006
2007
2008
DNPF
0.4
1.0 0.5
0.0
0.0 -0.4 -0.5 -0.8 -1.0 -1.2
-1.5
-1.6
-2.0 2003
2004
2005
2006
2007
2008
2003
2004
DLNSWBI
2005
DLNIPI
2.0
.3
1.5
.2
1.0
.1
0.5
.0
0.0
-.1
-0.5
-.2
-1.0
-.3 2003
2004
2005
2006
2007
2008
2003
2004
DLNKBU
2005
DLNJII
.06
.20
.05
.15
.04 .10
.03
.05
.02 .01
.00
.00
-.05
-.01 -.10
-.02 -.03
-.15 2003
2004
2005
2006
2007
2008
2003
2004
2005
155
Lampiran 4. Uji Akar Unit Null Hypothesis: LNPBS has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Automatic based on SIC, MAXLAG=10)
Augmented Dickey-Fuller test statistic Test critical values:
t-Statistic
Prob.*
-0.964060
0.9417
1% level
-4.100935
5% level
-3.478305
10% level
-3.166788
Null Hypothesis: D(LNPBS) has a unit root Exogenous: Constant, Linear Trend Lag Length: 1 (Automatic based on SIC, MAXLAG=10)
Augmented Dickey-Fuller test statistic Test critical values:
t-Statistic
Prob.*
-4.491841
0.0032
1% level
-4.105534
5% level
-3.480463
10% level
-3.168039
Null Hypothesis: LNDPK has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Automatic based on SIC, MAXLAG=10)
Augmented Dickey-Fuller test statistic Test critical values:
t-Statistic
Prob.*
-1.475614
0.8283
1% level
-4.100935
5% level
-3.478305
10% level
-3.166788
Null Hypothesis: D(LNDPK) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=10) t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-9.862839
0.0000
Test critical values:
-3.533204
1% level 5% level
-2.906210
10% level
-2.590628
156
Lampiran 4. Lanjutan Null Hypothesis: LPA has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Automatic based on SIC, MAXLAG=10)
Augmented Dickey-Fuller test statistic Test critical values:
t-Statistic
Prob.*
-4.340584
0.0050
1% level
-4.100935
5% level
-3.478305
10% level
-3.166788
Null Hypothesis: D(LPA) has a unit root Exogenous: Constant Lag Length: 10 (Automatic based on SIC, MAXLAG=10)
Augmented Dickey-Fuller test statistic Test critical values:
t-Statistic
Prob.*
-10.09750
0.0000
1% level
-3.552666
5% level
-2.914517
10% level
-2.595033
Null Hypothesis: NPF has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Automatic based on SIC, MAXLAG=10)
Augmented Dickey-Fuller test statistic Test critical values:
t-Statistic
Prob.*
-1.986726
0.5977
1% level
-4.100935
5% level
-3.478305
10% level
-3.166788
Null Hypothesis: D(NPF) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=10) t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-8.149104
0.0000
Test critical values:
-3.533204
1% level 5% level
-2.906210
10% level
-2.590628
157
Lampiran 4. Lanjutan Null Hypothesis: LNSWBI has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Automatic based on SIC, MAXLAG=10)
Augmented Dickey-Fuller test statistic Test critical values:
t-Statistic
Prob.*
-2.631570
0.2682
1% level
-4.100935
5% level
-3.478305
10% level
-3.166788
Null Hypothesis: D(LNSWBI) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=10)
Augmented Dickey-Fuller test statistic Test critical values:
t-Statistic
Prob.*
-7.175081
0.0000
1% level
-3.533204
5% level
-2.906210
10% level
-2.590628
Null Hypothesis: LNIPI has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Automatic based on SIC, MAXLAG=10)
Augmented Dickey-Fuller test statistic Test critical values:
t-Statistic
Prob.*
-6.531264
0.0000
1% level
-4.100935
5% level
-3.478305
10% level
-3.166788
Null Hypothesis: D(LNIPI) has a unit root Exogenous: Constant Lag Length: 1 (Automatic based on SIC, MAXLAG=10) t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-8.540165
0.0000
Test critical values:
-3.534868
1% level 5% level
-2.906923
10% level
-2.591006
158
Lampiran 4. Lanjutan Null Hypothesis: LNKBU has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Automatic based on SIC, MAXLAG=10)
Augmented Dickey-Fuller test statistic Test critical values:
t-Statistic
Prob.*
-1.317010
0.8752
1% level
-4.100935
5% level
-3.478305
10% level
-3.166788
Null Hypothesis: D(LNKBU) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=10)
Augmented Dickey-Fuller test statistic Test critical values:
t-Statistic
Prob.*
-7.793568
0.0000
1% level
-3.533204
5% level
-2.906210
10% level
-2.590628
Null Hypothesis: LNJII has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Automatic based on SIC, MAXLAG=10) t-Statistic
Prob.*
Augmented Dickey-Fuller test statistic
-2.648214
0.2612
Test critical values:
-4.100935
1% level 5% level
-3.478305
10% level
-3.166788
Null Hypothesis: D(LNJII) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=10)
Augmented Dickey-Fuller test statistic Test critical values:
t-Statistic
Prob.*
-7.962883
0.0000
1% level
-3.533204
5% level
-2.906210
10% level
-2.590628
*MacKinnon (1996) one-sided p-values.
159
Lampiran 5. Uji Stabilitas Kelambanan Maksimal Roots of Characteristic Polynomial Endogenous variables: LNPBS LNDPK LNKBU LPA NPF LNIPI LNJII LNSWBI Exogenous variables: C Lag specification: 1 4 Root
Modulus
0.994968
0.994968
0.951427 + 0.167149i
0.965998
0.031402 + 0.290434i
0.292127
0.031402 - 0.290434i
0.292127
No root lies outside the unit circle. VAR satisfies the stability condition.
160
Lampiran 6. Kandidat Kelambanan Optimal VAR Lag Order Selection Criteria Endogenous variables: LNPBS LNDPK LNKBU LPA NPF LNIPI LNJII LNSWBI Exogenous variables: C Sample: 2002:11 2008:06 Included observations: 64 Lag
LogL
LR
FPE
AIC
SC
HQ
0
172.3566
NA
8.12e-13
-5.136145
-4.866284
-5.029833
1
690.3520
890.3046
5.68e-19
-19.32350
-16.89476*
-18.36670*
2
756.2942
96.85249
5.85e-19
-19.38419
-14.79657
-17.57689
3
830.0861
89.93390*
5.51e-19
-19.69019
-12.94368
-17.03240
4
914.9286
82.19121
4.86e-19*
-20.34152*
-11.43613
-16.83324
* 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
161
Lampiran 7. Uji Kointegrasi Sample: 2002:11 2008:06 Included observations: 66 Series: LNPBS LNDPK LNKBU LPA NPF LNIPI LNJII LNSWBI Lags interval: 1 to 1 Selected (0.05 level*) Number of Cointegrating Relations by Model Data Trend:
None
Test Type
No Intercept No Trend
None
Linear
Linear
Quadratic
Intercept
Intercept
Intercept
Intercept
No Trend
No Trend
Trend
Trend
Trace
4
3
1
2
2
Max-Eig
2
2
1
1
0
Linear
Linear
Quadratic
*Critical values based on Osterwald-Lenum (1992) Information Criteria by Rank and Model Data Trend:
None
None
Rank or
No Intercept
Intercept
Intercept
Intercept
Intercept
No. of CEs
No Trend
No Trend
No Trend
Trend
Trend
Log Likelihood by Rank (rows) and Model (columns) 0
661.2668
661.2668
680.1090
680.1090
688.9975
1
692.5482
693.6926
709.4525
711.4369
714.5084
2
715.2013
718.7781
730.5071
734.9625
737.4473
3
732.8250
736.4328
744.4327
750.4327
752.7932
4
745.3248
749.2282
756.7998
764.3574
766.1701
5
753.5451
757.6916
761.5107
774.8952
776.3948
6
757.9738
762.3966
765.7374
779.6016
780.8164
7
761.5466
766.3911
769.2158
783.2857
783.8589
8
763.6134
769.8628
769.8628
785.3032
785.3032
Akaike Information Criteria by Rank (rows) and Model (columns) 0
-18.09899
-18.09899
-18.42755
-18.42755
-18.45447
1
-18.56207
-18.56644
-18.83189
-18.86172
-18.74268
2
-18.76368
-18.81146
-18.98506
-19.05947* -18.95295
3
-18.81288
-18.83130
-18.92220
-19.01311
-18.93313
4
-18.70681
-18.70389
-18.81212
-18.91992
-18.85364
5
-18.47106
-18.44520
-18.47002
-18.72410
-18.67863
6
-18.12042
-18.07262
-18.11325
-18.35156
-18.32777
7
-17.74384
-17.67852
-17.73381
-17.94805
-17.93512
8
-17.32162
-17.26857
-17.26857
-17.49404
-17.49404
Schwarz Criteria by Rank (rows) and Model (columns) 0
-15.97569
-15.97569 -16.03883*
-16.03883*
-15.80034
1
-15.90794
-15.87914
-15.91235
-15.90901
-15.55773
2
-15.57872
-15.56015
-15.53470
-15.54275
-15.23717
3
-15.09710
-15.01599
-14.94101
-14.93239
-14.68652
4
-14.46021
-14.32458
-14.30010
-14.27520
-14.07621
5
-13.69364
-13.50189
-13.42718
-13.51537
-13.37038
6
-12.81216
-12.56531
-12.53959
-12.57884
-12.48869
7
-11.90476
-11.60720
-11.62932
-11.61132
-11.56521
8
-10.95171
-10.63325
-10.63325
-10.59331
-10.59331
162
Lampiran 7. Lanjutan Sample (adjusted): 2003:01 2008:06 Included observations: 66 after adjustments Trend assumption: Linear deterministic trend (restricted) Series: LNPBS LNDPK LNKBU LPA NPF LNIPI LNJII LNSWBI Lags interval (in first differences): 1 to 1 Hypothesized
Trace
No. of CE(s)
Eigenvalue
Statistic
5 Percent
1 Percent
Critical Value Critical Value
None **
0.612999
210.3884
182.82
196.08
At most 1 *
0.509778
147.7327
146.76
158.49
At most 2
0.374244
100.6815
114.90
124.75
At most 3
0.344241
69.74108
87.31
96.58
At most 4
0.273362
41.89161
62.99
70.05
At most 5
0.132915
20.81606
42.44
48.45
At most 6
0.105633
11.40328
25.32
30.45
At most 7
0.059307
4.035113
12.25
16.26
Trace test indicates 2 cointegrating equation(s) at the 5% level Trace test indicates 1 cointegrating equation(s) at the 1% level *(**) denotes rejection of the hypothesis at the 5%(1%) level
163
Lampiran 8. Estimasi Output Model Vector Error Correction Vector Error Correction Estimates Sample (adjusted): 2003:01 2008:06 Included observations: 66 after adjustments Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq:
CointEq1
CointEq2
LNPBS(-1)
1.000000
0.000000
LNDPK(-1)
0.000000
1.000000
NPF(-1)
LNKBU(-1)
LPA(-1)
LNIPI(-1)
LNJII(-1)
LNSWBI(-1)
@TREND(02:11)
C
Error Correction:
CointEq1
CointEq2
D(LNPBS(-1))
D(LNDPK(-1))
D(NPF(-1))
0.425923
0.338193
(0.06432)
(0.05125)
[ 6.62151]
[ 6.59907]
7.362829
3.850769
(1.91127)
(1.52276)
[ 3.85232]
[ 2.52881]
-0.055478
-0.499084
(0.19393)
(0.15451)
[-0.28608]
[-3.23021]
0.289373
2.692673
(0.94007)
(0.74898)
[ 0.30782]
[ 3.59513]
0.599937
-0.449242
(0.57016)
(0.45426)
[ 1.05222]
[-0.98895]
0.070917
-0.066402
(0.12648)
(0.10077)
[ 0.56071]
[-0.65896]
-0.177753
-0.087566
(0.04044)
(0.03222)
[-4.39583]
[-2.71802]
-108.2131
-68.74216
D(LNPBS) D(LNDPK)
-0.060284
0.019096
D(NPF)
D(LNKBU)
D(LPA)
D(LNIPI)
D(LNJII)
D(LNSWBI)
-0.862127
-9.88E-05
-0.460930
0.090183
-0.026635
0.383978
(0.02011)
(0.02796)
(0.32218)
(0.01026)
(0.15130)
(0.03919)
(0.05001)
(0.25761)
[-2.99718]
[ 0.68303]
[-2.67596]
[-0.00962]
[-3.04646]
[ 2.30111]
[-0.53256]
[ 1.49052]
0.004337
-0.059381
0.890604
0.005675
0.725986
-0.186560
0.071450
-0.272436
(0.02457)
(0.03415)
(0.39353)
(0.01254)
(0.18481)
(0.04787)
(0.06109)
(0.31467)
[ 0.17652]
[-1.73883]
[ 2.26314]
[ 0.45269]
[ 3.92832]
[-3.89715]
[ 1.16961]
[-0.86579]
-0.401060
0.640476
-1.496124
0.099385
1.359930
-0.167072
0.675865
-0.499276
(0.12384)
(0.17214)
(1.98366)
(0.06320)
(0.93157)
(0.24130)
(0.30793)
(1.58615)
[-3.23849]
[ 3.72067]
[-0.75423]
[ 1.57265]
[ 1.45983]
[-0.69238]
[ 2.19483]
[-0.31477]
-0.160552
-0.365268
-0.883366
-0.001657
-0.838029
-0.071537
-0.078844
0.703221
(0.09094)
(0.12641)
(1.45665)
(0.04641)
(0.68407)
(0.17719)
(0.22612)
(1.16474)
[-1.76547]
[-2.88964]
[-0.60644]
[-0.03570]
[-1.22506]
[-0.40372]
[-0.34868]
[ 0.60376]
0.018428
0.002487
-0.194234
0.013995
0.217124
0.081300
-0.016947
-0.212270
164
Lampiran 8. Lanjutan
D(LNKBU(-1))
D(LPA(-1))
D(LNIPI(-1))
D(LNJII(-1))
D(LNSWBI(-1))
C
(0.01128)
(0.01568)
(0.18069)
(0.00576)
(0.08486)
(0.02198)
(0.02805)
(0.14448)
[ 1.63361]
[ 0.15858]
[-1.07494]
[ 2.43112]
[ 2.55871]
[ 3.69875]
[-0.60416]
[-1.46917]
0.655438
-0.576329
2.200083
-0.031429
-5.632876
0.883142
-0.280258
-7.946961
(0.34986)
(0.48630)
(5.60394)
(0.17853)
(2.63173)
(0.68169)
(0.86993)
(4.48095)
[ 1.87343]
[-1.18512]
[ 0.39260]
[-0.17604]
[-2.14037]
[ 1.29551]
[-0.32216]
[-1.77350]
0.018680
0.018112
0.014169
0.005112
0.170387
0.018704
-0.009016
0.141024
(0.01481)
(0.02058)
(0.23721)
(0.00756)
(0.11140)
(0.02886)
(0.03682)
(0.18967)
[ 1.26136]
[ 0.87986]
[ 0.05973]
[ 0.67647]
[ 1.52954]
[ 0.64819]
[-0.24485]
[ 0.74351]
0.085003
-0.014280
0.199965
0.005638
-0.386347
-0.078650
-0.133086
-1.186302
(0.06419)
(0.08923)
(1.02824)
(0.03276)
(0.48288)
(0.12508)
(0.15962)
(0.82218)
[ 1.32416]
[-0.16004]
[ 0.19447]
[ 0.17211]
[-0.80009]
[-0.62879]
[-0.83377]
[-1.44287]
0.034706
0.129080
0.099271
-0.004357
0.293037
-0.135787
0.067427
-0.695282
(0.05916)
(0.08223)
(0.94756)
(0.03019)
(0.44499)
(0.11527)
(0.14710)
(0.75768)
[ 0.58667]
[ 1.56977]
[ 0.10477]
[-0.14432]
[ 0.65852]
[-1.17803]
[ 0.45839]
[-0.91765]
-0.015919
0.014095
0.174293
-0.004253
-0.161106
0.005957
0.041409
-0.058894
(0.01219)
(0.01694)
(0.19518)
(0.00622)
(0.09166)
(0.02374)
(0.03030)
(0.15607)
[-1.30636]
[ 0.83213]
[ 0.89296]
[-0.68393]
[-1.75759]
[ 0.25088]
[ 1.36665]
[-0.37735]
0.043139
0.033822
0.040912
0.014456
0.068315
0.002117
0.009776
0.179418
(0.00818)
(0.01137)
(0.13102)
(0.00417)
(0.06153)
(0.01594)
(0.02034)
(0.10477)
[ 5.27372]
[ 2.97467]
[ 0.31225]
[ 3.46319]
[ 1.11025]
[ 0.13282]
[ 0.48065]
[ 1.71254]
R-squared
0.457820
0.466629
0.206006
0.319770
0.708429
0.523507
0.118491
0.244856
Adj. R-squared
0.359242
0.369653
0.061643
0.196092
0.655416
0.436872
-0.041783
0.107557
Sum sq. resids
0.036448
0.070422
9.351441
0.009491
2.062403
0.138379
0.225352
5.979044
S.E. equation
0.025743
0.035783
0.412342
0.013137
0.193645
0.050160
0.064010
0.329712
F-statistic
4.644237
4.811779
1.427001
2.585504
13.36332
6.042677
0.739300
1.783378
153.8999
132.1659
-29.16384
198.3023
20.72089
109.8747
93.78162
-14.40394
Akaike AIC
-4.330301
-3.671695
1.217086
-5.675828
-0.294572
-2.996202
-2.508534
0.769816
Schwarz SC
Log likelihood
-3.965358
-3.306753
1.582029
-5.310885
0.070370
-2.631259
-2.143592
1.134759
Mean dependent
0.035606
0.036818
0.001667
0.017121
-0.005758
0.005758
0.028030
0.026212
S.D. dependent
0.032160
0.045069
0.425671
0.014651
0.329881
0.066842
0.062714
0.349015
D(LNPBS)
= A(1,1)*(B(1,1)*LNPBS(-1) + B(1,2)*LNDPK(-1) + B(1,3)*NPF(-1) + B(1,4)*LNKBU(-1) + B(1,5)*LPA(-1) + B(1,6)*LNIPI(-1) + B(1,7)*LNJII(-1) + B(1,8)*LNSWBI(-1) + B(1,9)*@TREND(02:11) + B(1,10)) + A(1,2)*(B(2,1)*LNPBS(-1) + B(2,2)*LNDPK(-1) + B(2,3)*NPF(-1) + B(2,4)*LNKBU(-1) + B(2,5)*LPA(-1) + B(2,6)*LNIPI(-1) + B(2,7)*LNJII(-1) + B(2,8)*LNSWBI(-1) + B(2,9)*@TREND(02:11) + B(2,10)) + C(1,1)*D(LNPBS(-1)) + C(1,2)*D(LNDPK(-1)) + C(1,3)*D(NPF(-1)) + C(1,4)*D(LNKBU(-1)) + C(1,5)*D(LPA(-1)) + C(1,6)*D(LNIPI(-1)) + C(1,7)*D(LNJII(-1)) + C(1,8)*D(LNSWBI(-1)) + C(1,9)
D(LNPBS) = - 0.06028436706*( LNPBS(-1) + 0.4259225411*NPF(-1) + 7.362829297*LNKBU(-1) - 0.05547796236*LPA(-1) + 0.2893733953*LNIPI(-1) + 0.5999366124*LNJII(-1) + 0.07091727922*LNSWBI(-1) - 0.1777526444*@TREND(02:11) - 108.2130553 ) + 0.004336812959*( LNDPK(-1) + 0.3381926678*NPF(-1) + 3.85076888*LNKBU(-1) - 0.4990841197*LPA(-1) + 2.692673111*LNIPI(-1) - 0.4492420364*LNJII(-1) - 0.06640191392*LNSWBI(-1) - 0.08756617321*@TREND(02:11) - 68.74216241 ) - 0.4010602757*D(LNPBS(-1)) - 0.1605515207*D(LNDPK(-1)) + 0.01842847806*D(NPF(-1)) + 0.6554382919*D(LNKBU(-1)) + 0.01867963687*D(LPA(-1)) + 0.08500256425*D(LNIPI(-1)) + 0.03470570807*D(LNJII(-1)) - 0.01591880899*D(LNSWBI(-1)) + 0.04313861047
165
Lampiran 9. Uji Stabilitas Roots of Characteristic Polynomial Endogenous variables: LNPBS LNDPK LNKBU LPA NPF LNIPI LNJII LNSWBI Exogenous variables: Lag specification: 1 1 Root
Modulus
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
1.000000
0.816567
0.816567
-0.454941 - 0.195538i
0.495183
-0.454941 + 0.195538i
0.495183
0.388656
0.388656
-0.093377 - 0.347016i
0.359360
-0.093377 + 0.347016i
0.359360
-0.247742
0.247742
0.235617
0.235617
0.015758 - 0.147447i
0.148287
0.015758 + 0.147447i
0.148287
VEC specification imposes 6 unit root(s).
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
166
Lampiran 10. Uji Residual VEC Residual Heteroskedasticity Tests: No Cross Terms (only levels and squares) Sample: 2002:11 2008:06 Included observations: 66 Joint test: Chi-sq
df
Prob.
760.3505 720
0.1442
VEC Residual Serial Correlation LM Tests H0: no serial correlation at lag order h Sample: 2002:11 2008:06 Included observations: 66 Lags
LM-Stat
Prob
1
72.91793
0.2082
Probs from chi-square with 64 df.
VEC Residual Normality Tests Orthogonalization: Residual Covariance (Urzua) H0: residuals are multivariate normal Sample: 2002:11 2008:06 Included observations: 66 Component Jarque-Bera
df
Prob.
1
13.21775
2
0.0013
2
3.660906
2
0.1603
3
3.975302
2
0.1370
4
2.468667
2
0.2910
5
0.957804
2
0.6195
6
3.646310
2
0.1615
7
51.24281
2
0.0000
8
0.285374
2
0.8670
Joint
401.5051
450
0.9511
167
Lampiran 11. Grafik Impulse Response Pembiayaan Perbankan Syariah Periode 40 bulan Response to Cholesky One S.D. Innovations Response of LNPBS to LNPB S
Response of LNPB S to LNDP K
.04
.04
.03
.03
.02
.02
.01
.01
.00
.00
-.01
-.01
-.02
-.02
-.03
-.03
-.04
-.04
-.05
-.05 5
10
15
20
25
30
35
40
5
Response of LNP BS to NP F
10
15
20
25
30
35
40
35
40
35
40
Response of LNPB S to LP A
.04
.04
.03
.03
.02
.02
.01
.01
.00
.00
-.01
-.01
-.02
-.02
-.03
-.03
-.04
-.04
-.05
-.05 5
10
15
20
25
30
35
40
5
Response of LNPBS to LNKB U
10
15
20
25
30
Response of LNP B S to LNJII
.04
.04
.03
.03
.02
.02
.01
.01
.00
.00
-.01
-.01
-.02
-.02
-.03
-.03
-.04
-.04
-.05
-.05 5
10
15
20
25
30
35
40
5
Response of LNPB S to LNIP I
10
15
20
25
30
Response of LNPBS to LNS WB I
.04
.04
.03
.03
.02
.02
.01
.01
.00
.00
-.01
-.01
-.02
-.02
-.03
-.03
-.04
-.04
-.05
-.05 5
10
15
20
25
30
35
40
5
10
15
20
25
30
35
40
168
Lampiran 12. Tabel Impulse Response Pembiayaan Perbankan Syariah Periode 40 Bulan Period
LNPBS
LNDPK
NPF
LPA
LNKBU
LNJII
LNIPI
LNSWBI
1
0.025743
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
2
0.018460 -0.007040 -0.001741
0.004695
0.003051 -0.001475
0.004565 -0.005138
3
0.019001 -0.005257 -0.000229
0.000644
0.000733 -0.004991
0.004478 -0.005689
4
0.020553 -0.004618 -0.007507
0.000845 -0.001293 -0.005287
0.003717 -0.005956
5
0.022842 -0.003550 -0.011744
0.000405 -0.004948 -0.006009
0.000375 -0.006835
6
0.025522 -0.003056 -0.017257
0.000375 -0.008615 -0.005343 -0.001717 -0.007509
7
0.027567 -0.002417 -0.021410
0.000402 -0.011530 -0.005028 -0.004074 -0.008136
8
0.029558 -0.001951 -0.025087
0.000400 -0.014184 -0.004539 -0.005915 -0.008615
9
0.031094 -0.001568 -0.028112
0.000460 -0.016295 -0.004158 -0.007487 -0.009041
10
0.032414 -0.001243 -0.030568
0.000476 -0.018076 -0.003830 -0.008781 -0.009380
11
0.033479 -0.000987 -0.032611
0.000510 -0.019517 -0.003551 -0.009832 -0.009660
12
0.034355 -0.000771 -0.034261
0.000530 -0.020702 -0.003329 -0.010702 -0.009889
13
0.035071 -0.000599 -0.035620
0.000549 -0.021670 -0.003141 -0.011407 -0.010075
14
0.035655 -0.000456 -0.036725
0.000565 -0.022460 -0.002991 -0.011986 -0.010228
15
0.036133 -0.000340 -0.037630
0.000577 -0.023105 -0.002867 -0.012457 -0.010353
16
0.036523 -0.000246 -0.038368
0.000587 -0.023632 -0.002766 -0.012843 -0.010454
17
0.036841 -0.000168 -0.038971
0.000596 -0.024063 -0.002683 -0.013158 -0.010537
18
0.037101 -0.000105 -0.039463
0.000603 -0.024414 -0.002616 -0.013415 -0.010605
19
0.037314 -5.37E-05 -0.039865
0.000608 -0.024701 -0.002561 -0.013625 -0.010661
20
0.037487 -1.16E-05 -0.040193
0.000613 -0.024935 -0.002516 -0.013796 -0.010706
21
0.037629
2.28E-05
-0.040461
0.000616 -0.025127 -0.002479 -0.013936 -0.010743
22
0.037744
5.09E-05
-0.040680
0.000619 -0.025283 -0.002449 -0.014050 -0.010773
23
0.037839
7.38E-05
-0.040859
0.000622 -0.025411 -0.002424 -0.014143 -0.010798
24
0.037916
9.25E-05
-0.041005
0.000624 -0.025515 -0.002404 -0.014220 -0.010818
25
0.037979
0.000108 -0.041124
0.000626 -0.025600 -0.002388 -0.014282 -0.010834
26
0.038030
0.000120 -0.041221
0.000627 -0.025669 -0.002375 -0.014333 -0.010848
27
0.038072
0.000130 -0.041301
0.000628 -0.025726 -0.002364 -0.014374 -0.010859
28
0.038106
0.000139 -0.041365
0.000629 -0.025772 -0.002355 -0.014408 -0.010868
29
0.038134
0.000146 -0.041418
0.000630 -0.025810 -0.002348 -0.014436 -0.010875
30
0.038157
0.000151 -0.041462
0.000630 -0.025841 -0.002342 -0.014458 -0.010881
31
0.038176
0.000156 -0.041497
0.000631 -0.025866 -0.002337 -0.014477 -0.010886
32
0.038191
0.000159 -0.041526
0.000631 -0.025887 -0.002333 -0.014492 -0.010890
33
0.038204
0.000162 -0.041549
0.000632 -0.025904 -0.002330 -0.014504 -0.010893
34
0.038214
0.000165 -0.041569
0.000632 -0.025917 -0.002327 -0.014514 -0.010896
35
0.038222
0.000167 -0.041584
0.000632 -0.025929 -0.002325 -0.014522 -0.010898
36
0.038229
0.000169 -0.041597
0.000632 -0.025938 -0.002323 -0.014529 -0.010900
37
0.038234
0.000170 -0.041608
0.000632 -0.025945 -0.002322 -0.014534 -0.010901
38
0.038239
0.000171 -0.041616
0.000632 -0.025951 -0.002321 -0.014539 -0.010902
39
0.038243
0.000172 -0.041623
0.000633 -0.025956 -0.002320 -0.014543 -0.010903
40
0.038246
0.000173 -0.041629
0.000633 -0.025960 -0.002319 -0.014545 -0.010904
LNPBS
LNDPK
NPF
LPA
LNKBU
LNJII
LNIPI
Cholesky Ordering: LNPBS LNDPK NPF LPA LNKBU LNJII LNIPI LNSWBI
LNSWBI
169
Lampiran 13. Tabel Variance Decomposition Pembiayaan Perbankan Syariah Periode 40 Bulan Period
S.E.
LNPBS
LNDPK
NPF
LPA
LNKBU
LNJII
LNIPI
LNSWBI
1
0.025743 100.0000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000
2
0.033717 88.26924 4.360108 0.266533 1.938745 0.818942 0.191299 1.833387 2.321750
3
0.040048 85.07766 4.813861 0.192200 1.400063 0.614011 1.688606 2.549636 3.663968
4
0.046729 81.83547 4.512273 2.721930 1.061080 0.527540 2.520290 2.505616 4.315797
5
0.054438 77.90464 3.750109 6.659945 0.787378 1.214994 3.075631 1.850951 4.756351
6
0.063908 72.47541 2.949793 12.12385 0.574758 2.698817 2.930549 1.415238 4.831581
7
0.074495 67.03239 2.276171 17.18231 0.425910 4.381668 2.612272 1.340668 4.748616
8
0.085951 62.18120 1.761366 21.42670 0.322111 6.014983 2.241190 1.480632 4.571819
9
0.097816 58.11592 1.385658 24.80341 0.250917 7.419571 1.911155 1.729058 4.384315
10
0.109824 54.81305 1.112022 27.42313 0.200923 8.594836 1.637693 2.010904 4.207446
11
0.121780 52.13636 0.910954 29.47364 0.165162 9.558627 1.416924 2.287299 4.051033
12
0.133556 49.96428 0.760727 31.08570 0.138893 10.35001 1.240186 2.543860 3.916350
13
0.145079 48.18682 0.646393 32.37214 0.119141 11.00232 1.097896 2.774039 3.801252
14
0.156301 46.71940 0.557756 33.41121 0.103951 11.54390 0.982516 2.978057 3.703205
15
0.167202 45.49627 0.487814 34.26164 0.092029 11.99734 0.887975 3.157507 3.619437
16
0.177773 44.46716 0.431715 34.96614 0.082502 12.38009 0.809713 3.315072 3.547612
17
0.188016 43.59366 0.386038 35.55627 0.074761 12.70586 0.744256 3.453454 3.485708
18
0.197938 42.84604 0.348334 36.05573 0.068380 12.98527 0.688972 3.575209 3.432073
19
0.207551 42.20123 0.316822 36.48240 0.063051 13.22667 0.641850 3.682624 3.385350
20
0.216868 41.64112 0.290185 36.85002 0.058548 13.43667 0.601341 3.777686 3.344429
21
0.225903 41.15135 0.267438 37.16925 0.054703 13.62051 0.566242 3.862105 3.308403
22
0.234671 40.72047 0.247830 37.44844 0.051388 13.78240 0.535606 3.937338 3.276529
23
0.243188 40.33923 0.230785 37.69422 0.048506 13.92576 0.508686 4.004626 3.248193
24
0.251467 40.00012 0.215852 37.91190 0.045980 14.05335 0.484884 4.065021 3.222889
25
0.259523 39.69700 0.202677 38.10577 0.043751 14.16748 0.463716 4.119420 3.200195
26
0.267368 39.42479 0.190978 38.27932 0.041772 14.27001 0.444791 4.168585 3.179759
27
0.275015 39.17929 0.180527 38.43543 0.040003 14.36252 0.427787 4.213168 3.161283
28
0.282476 38.95697 0.171142 38.57647 0.038413 14.44632 0.412440 4.253724 3.144519
29
0.289760 38.75489 0.162670 38.70443 0.036978 14.52252 0.398527 4.290732 3.129256
30
0.296879 38.57054 0.154988 38.82097 0.035677 14.59205 0.385866 4.324602 3.115311
31
0.303841 38.40180 0.147993 38.92749 0.034492 14.65570 0.374300 4.355690 3.102533
32
0.310656 38.24686 0.141598 39.02519 0.033408 14.71416 0.363699 4.384302 3.090787
33
0.317331 38.10416 0.135730 39.11508 0.032414 14.76800 0.353949 4.410705 3.079960
34
0.323873 37.97237 0.130327 39.19802 0.031498 14.81774 0.344956 4.435130 3.069954
35
0.330291 37.85033 0.125338 39.27478 0.030652 14.86380 0.336636 4.457781 3.060682
36
0.336589 37.73703 0.120716 39.34600 0.029868 14.90657 0.328919 4.478835 3.052069
37
0.342774 37.63159 0.116423 39.41224 0.029140 14.94637 0.321744 4.498447 3.044051
38
0.348852 37.53325 0.112426 39.47399 0.028463 14.98350 0.315055 4.516754 3.036569
39
0.354828 37.44132 0.108694 39.53169 0.027830 15.01820 0.308806 4.533879 3.029574
40
0.360706 37.35523 0.105204 39.58572 0.027238 15.05071 0.302957 4.549928 3.023021 S.E.
LNPBS
LNDPK
NPF
LPA
LNKBU
LNJII
LNIPI
Cholesky Ordering: LNPBS LNDPK LNKBU LPA NPF LNIPI LNJII LNSWBI
LNSWBI
