Suatu Pendekatan Ekonometri Terhadap Ekonomi Makro Indonesia Tahun 1978.3-1994.4
SOELISTYO, ARIS (Adv.: Faried Widjaya Mansoer, Dr., M.A.), Faried Widjaya Mansoer, Dr., M.A.
Studi pendekatan ekonometri terhadap Ekonomi Makro Indonesia pada kurun waktu 1978.3-1994.4 dengan menekankan pada upaya pembenaran perlakuan sintesa antara pendekatan Monetarist-keynes terhadap ketidakseimbangan eksternal suatu perekonomian dan melalui bentuk persamaan Reduced Form mencoba untuk mengungkap pengaruh variabel pengeluaran pemerintah, indeks kurs tukar riil dan perubahan kredit domestik terhadap Pendapatan, harga dan Neraca Pembayaran. Koefisien reduced form disebut dengan koefisien impak multiplier yang mengukur besarnya respons variabel endogen terhadap perubahan variabel predetermined. Data yang digunakan adalah data quartalan time series dari tahun 1978.3 sampai 1994.4 dengan pendekatan simultan, dimana kondisi overidentifikasi beserta test uji overidentifikasi sebagai prasyarat penggunaan pendekatan Two Stage Least square sebagai metode estimasi, yang melibatkan 8 variabel endogen (LYPR,LCER,LINVR,LVEXPR,LVIMPR,LBMR,LP dan LRSV) dan 9 variabel eksogen (LGER,LERPX,LERPM,LDC,LR dan LVKF,LINF serta LVYW). Uji stabilitas (Chow-Test) dilakukan terhadap persamaan struktural untuk dapat digunakan sebagai dasar estimasi model Ekonomi Makro Indonesia. Kesimpulan studi empiris dengan menggunakan tingkat kesalahan 5 persen mengungkapkan hasil sebagai berikut; Melalui pendekatan Sintesa Monetaris-Keynes terhadap Neraca Pembayaran ditunjukan bahwa elastisitas impak multiplier pengeluaran pemerintah adalah inelastis positip dan bermakna secara statistik terhadap Konsumsi, Investasi, tingkat harga dan GDP riil, dimana elastisitasnya masing -masing sebesar 0.175 untuk Konsumsi, 0.216 untuk Investasi, dan 0.065 terhadap tingkat Harga serta sebesar 0.193 terhadap GDP riil. Ini berarti bila pengeluaran pemerintah dinaikkan sebesar 10 persen, maka Pengeluaran Konsumsi akan meningkat sebesar 1.75 persen, pengeluaran Investasi meningkat sebesar 2.16 persen, tingkat harga domestic meningkat sebesar 0.65 persen dan GDP riil meningkat sebesar 1.93 persen. Adapun impak multliplier pengeluaran pemerintah terhadap Impor, Saldo riil Cash Balance dan Cadangan Devisa adalah tidak bermakna secara statistik. Kesimpulan berikutnya mengungkapkan bahwa besarnya elastisitas impak multiplier indeks kurs tukar riil ekspor terhadap tingkat harga adalah inelastis positip sebesar 0.133 dan signifikan, ini berarti kenaikan indeks kurs tukar riil ekspor sebesar 10 persen berakibat kenaikan tingkat harga sebesar 1.33 persen, Sementara itu pengaruh indeks kurs tukar riil terhadap varibel lainnya dalam persamaan bentuk reduced menunjukan nilai yang tidak bermakna secara statistik. Namun dalam Persamaan Struktural Permintaan Ekspor ditunjukan bahwa pengaruh indeks kurs tukar riil ekspor terhadap permintaan ekspor adalah inelastis positip sebesar 0.161, hal ini merupakan pengaruh langsung dari perubahan indek kurs tukar riil ekspor terhadap permintaan Ekspor, dimana kenaikan indeks kurs tukar riil ekspor sebesar 10 persen akan berpengaruh langsung terhadap kenaikan permintaan ekspor sebesar 1.61 persen. Pada sisi yang lain didapatkan elastisitas impak multiplier indeks kurs tukar riil Impor yang bermakna secara statistik dan inelastis negatif terhadap Permintaan Impor (-0.333), Saldo riil Kas Balance (-0.139) dan tingkat harga (-0.122) serta elastis negatif terhadap cadangan devisa sebesar -3.53, ini berarti kenaikan indeks kurs tukar riil impor sebesar 10 persen berakibat pada penurunan impor sebesar 3.3 persen, penurunan saldo riil kas balance sebesar 1.39 persen dan variabel endogen lainnya menunjukan pola pengaruh yang tidak signifikan.menurunkan cadangan devisa sebesar 35.3 persen. Adapun besarnya elastisitas impak multiplier Kredit Domestik adalah inelastis positip sebesar 0.011 terhadap Konsumsi dan inelastis positip sebesar 0.398 terhadap cadangan Devisa, artinya kenaikan Kredit domestik sebesar 10 persen akan berakibat kenaikan konsumsi 0.1 persen dan kenaikan cadangan Devisa sebesar 3.98 persen. Namun melalui hasil regresi antara variabel Cadangan Devisa (LRSV) sebagai variabel tergantung dengan variabel Kredit Domestik (LDC) dan variabel hasil prediksi permintaan uang serta Money Multiplier (mm) didapatkan nilai elastisitas yang inelastic negatif sebesar -0.4884 terhadap Kredit domestik dan inelastis positip sebesar 0.44925 terhadap permintaan uang. Dan dari pendekatan Keynes dapat ditemukan pengaruh ekspor terhadap Neraca Pembayaran adalah positip sebesar 1.034 (tidak signifikan) dan pengaruh impor juga inelastis negative sebesar 0.25 (tidak signifikan). Sementara itu pengaruh Arus Net Kapital Inflow adalah inelastis positip sebesar 0.25 dan signifikan, ini berarti kenaikan kapital inflow sebesar 10 persen akan meningkatka besarnya cadangan internasional sebesar 2.5 persen dan berarti memperbaiki posisi Neraca Pembayaran.
An emperical study to Macroeconomic of Indonesia 1978.3-1994.4 with econometric approach, and be emphasized on its short run behaviour is directed to seek for the approval of treatment for sintesa Monetarist-Keynes in order to analysis Macroeconomic of Indonesia by ekonometric method and though reduced form equation will try to express the impact of goverment expenditure, the riil exchange rate index, and the domestic credit changes to Income, price and Balance of Payment. The reduced form coefficient are called impact multiplier, since they measure the immediate response of the endogenous variables to changes in the predetermined variable. Data that is used for estimation is quartely time series 1978.3-1994.4 with simultaneous approach in which overidentification condition and test of overidentification must be done in order to use Two Stage Least Square method to estimates the structural equation. The variables entering a simultaneous equation are of two types: Endogenous variabel, that is, those (who values are) determined within the model(ie.LYPR, LCER, LINVR, LVEXPR, LVIMPR, LBMR, LP, LRSV);and Predetermined variables, that is, those (who values are)determined outside the model (ie.LGER,LERPX,LERPM,LDC,LVYW,LVKF,LINF,LR,LR(-1),LYPR(-1),LCER(-1),LCER(-2),LINVR(-1),and LVEXPR(-1), LVIMPR(-1), LBMR(-1), LBMR(-2). Test of stability with Chow-test is done to both the reduced form and the structural equation, in order to basically estimates the Macroeconomic Model of Indonesia. Conclusion of this empirical study with use of the level of significant 5 percent is as followed; With though sintesis monetarist-Keynes approach to balance of payment from the reduced form equation are indicated that the elasticity of impact multiplier of Consumption, Investment, Price and GDP riil, with respect to Government Expenditure are inelastis positip as large as 0.715 for Consumption, 0.216 for Investment, 0.065 for The Price level, and 0.193 for GDP riil. These means that The increased of Government expenditure as large as 10 persen will increases the consumption expenditure( as large as 1.75 persen), The Investment Expenditure (as large as 2.16 persen), The price level ( increase as 0.65 persen) and GDP riil (increase as large as 1.93 persen); The influence of government expenditure are insignificant to Impor, Riil Cash Balances and Reserve. The next conclusion is to expouse that The elasticity of impact multiplier of The Price Level , with respect to The riil Exchange rate of Export is inelastis positip as large as 0.133 (significant 5 % ), its means that The xv increased of The riil Exchange rate of Export as large as 10 persen will increases the Price level as large as 1.33 persen. While the influence of the riil exchange rate indeks changes to other endogenous variables are insignificant. Although, in the structural of export equation is indicated that The influence of riil exchange rate of export is inelastis positip as large as 0.61, this is the directly influenced of the riil exchange rate of export changes. The other side is shown that The elasticity of impact multiplier of Impor, Riil Cash Balance, The Price Level ,on with respect to The riil Exchange rate of Import are inelastis negatip as large as -0.333( to Import ), as -0.139 (to Riil Cash Balance) and as -0.122 to The Price level.its means that The increased of The riil Exchange rate of import as large as 10 persen will decreases the Price level as large as 1.22 persen, decreases on import as 3.33 percent and decreases on riil cash balance as 1.39 percent other endogenous variables are insignificant. The last conclusion is to expouse that the elasticity of impact multiplier of The Consumption and Reserve changes ,with respect to The Domestic Credit changes are inelastic positip as large as 0.011 on Consumption(significant 5 % ), and 0.398 on Reserve. These means that The increased of The Domestic Credit as large as 10 persen will increases the Consumption as large as 0.011 persen and will increases 3.98 persen on Reserve. Although, is based on the result of the balance of payment regression , in which Reserve variabel as dependent variable and two variable as independent variabel ( money multiplier variable and The result of prediction from the demand for money equation) and conclusion of the resulted of regression is shown that the elasticity of demand for money to balance of payment is inelastis positip as large as 0.44 and the elasticity of Domestic Credit to balance of payment as 0.48 ( both of them are significant 5 % ). And from Keynesian approach can be found the influence of Ekspor to balance of payment is inelastis positip as 1.034 ( insignificant) and the influence of Import to balance of payment is inelastic negatif as 0.25 (insignificant). While the influence of capital inflow to balance of payment is inelastis positip as 0.25 (significant), its means the rises of capital inflow as 10 persen will causes the rises of reserve as 2.5 persen and so the improvement of balance of payment can do.
Kata Kunci : Pendekatan ekonometrika, ekonomi makro indonesia, the improvement of balance of payment, Macroeconomic of Indonesia, Endogenous variable, pendekatan Monetarist-keynes, pengaruh variabel pengeluaran pemerintah, indeks kurs tukar riil dan perubahan kredit d
