Faktor-faktor yang Mempengaruhi Non-Interest Bearing Money di Indonesia Periode 1995.3-2006.3: Seleksi Model OLS-ARCH/GARCH, ECM, dan ECM-ARCH/GARCH

Hardianto, Florentinus Nugro, Dra. Endang Sih Prapti, M.A.

2008 | Tesis | S2 Economics

Penelitian ini mempunyai tujuan utama untuk menganalisis pengaruh suku bunga deposito rupiah 3 bulan, suku bunga SIBOR 3 bulan, indeks harga saham gabungan, dan kurs rupiah per dolar AS terhadap non-interest bearing money di Indonesia periode 1995.3-2006.3. Tiga model regresi digunakan untuk dilakukan proses seleksi model, yakni model OLS-ARCH/GARCH, ECM, dan ECM-ARCH/GARCH karena pertimbangan data-data penelitian yang tidak stasioner. Hasil penelitian memilih model OLS-ARCH/GARCH khususnya bentuk OLS-GARCH (2,2) sebagai model empiris terbaik diantara model lainnya. Berdasarkan model terbaik, yakni model OLS-GARCH (2,2), semua variabel independen mempunyai pengaruh signifikan terhadap variabel dependennya dan memiliki tanda koefisien sesuai dengan hipotesis. Implikasi dari hasil penelitian ini adalah seperti berikut ini. Pertama, pelaku pasar aset portofolio di Indonesia responsif terhadap perubahan yield (hasil) aset-aset finansial. Kedua, otoritas moneter dapat memanfaatkan kondisi responsif demikian untuk pengendalian pasar aset portofolio. Ketiga, investor finansial di Indonesia cenderung risk averter karena lebih berminat terhadap aset deposito yang relatif lebih aman daripada aset lain seperti diindikasikan oleh paling besarnya pengaruh suku bunga SIBOR 3 bulan dan suku bunga deposito rupiah 3 bulan terhadap non-interest bearing money. Kata-Kata Kunci: non-interest bearing money, seleksi model, ECM, ARCH/GARCH

The main purpose of this research is to analyze the impact of 3 month rupiah deposit interest rate, 3 month SIBOR interest rate, composite index and rupiah rate in US dollar on non-interest bearing money in Indonesia during the period of 1995.3-2006.3. Three regression models which are OLS-ARCH/GARCH, ECM, and ECM-ARCH/GARCH have been applied for model selection process because of non-stationary research data consideration. The result of the research choosing OLS-ARCH/GARCH, in particular OLS GARCH (2,2) as the best empirical model among others. Based on the best model, OLS GARCH (2,2), all independent variables have significant impact on dependent variables and have coefficient mark in line with the hypothesis. The implications of the result of the research as followed: Firstly, portfolio assets market in Indonesia is responsive to changes of the yield of financial assets. Secondly, monetary authority could use such responsive condition for controlling portfolio asset market. Thirdly, financial investors in Indonesia tends to be risk averter because they prefer deposit asset which is relatively saver than others as indicated by the biggest influence of three month SIBOR interest rate and three month rupiah interest rate on non-interest bearing money. Key words: non-interest bearing money, selection model, ECM, ARCH/GARCH.

Kata Kunci : Non-Interest Bearing Money; Moneter; Indonesia; Seleksi Model; OLS-ARCH; ECM; GARCH