Analisis Harga Cryptocurrency dan Indikator Makroekonomi dengan Model Structural Vector Autoregression
Putu Indra Wibisana, Prof. Dr.rer.nat. Dedi Rosadi, S.Si., M.Sc.
2024 | Skripsi | STATISTIKA
Kehadiran teknologi blockchain mendasari terbentuknya mata uang
kripto (cryptocurrency) yang menjadi mata uang yang dianggap relevan
sebagai mata uang digital dan aset investasi. Ketertarikan masyarakat dunia
terhadap cryptocurrency mengakibatkan banyak peneliti berusaha
memprediksi dengan akurat harga dari barang ini. Telah banyak peneliti yang
berusaha meneliti efisiensi pasar dan volatilitas dari cryptocurrency yang
dianggap sebagai tempat investasi terlindungi. Hal ini bukan tanpa sebab, cryptocurrency
telah diteliti dapat menjadi alternatif tempat berinvestasi di saat aset
lainnya mengalami fluktuasi harga. Kebijakan makroekonomi yang ketat
meningkatkan fluktuasi harga aset investasi. Memahami dampak dari kebijakan makroekonomi
merupakan hal yang penting dalam mengembangkan model peramalan harga cryptocurrency.
Vector Autoregression yang umumnya digunakan sebagai model peramalan
multivariat memiliki kekurangan karena tidak dimungkinkan untuk memberi dasaran
teoritis untuk memahami dinamika hubungan antar variabel dalam model. Maka dari
itu, menggunakan plot Impulse
Response Function dan Forecast Error Variance Decomposition
berdasarkan model Structural Vector Autoregression menjadi hal yang penulis
kenalkan untuk meneliti dinamika hubungan antara kebijakan makroekonomi
terhadap harga cryptocurrency dalam periode penelitian pra-pasca
COVID-19. Penelitian menggunakan periode pra-pasca COVID-19 Serikat dikarenakan
pemerintahan Amerika Serikat melancarkan kebijakan ekonominya yang ketat dalam periode
tersebut. Pada penelitian ini, ditemukan hasil bahwa guncangan akibat kebijakan
makroekonomi tidak signifikan memengaruhi harga cryptocurrency.
The
presence of blockchain technology underlies the formation of cryptocurrencies,
which are considered relevant as digital currencies and investment assets.
Global interest in cryptocurrencies has led many researchers to seek accurate
predictions of the prices of these commodities. Numerous researchers have
investigated the market efficiency and volatility of cryptocurrencies,
considering them as a relatively protected investment haven. This is not
without reason, as cryptocurrencies have been explored as an alternative
investment during periods of price fluctuations in other assets. Strict
macroeconomic policies contribute to the fluctuation in the prices of
investment assets. Understanding the impact of macroeconomic policies is
crucial in developing forecasting models of cryptocurrency price. Vector Autoregression,
commonly used as a multivariate forecasting model, has limitations as it does
not provide a theoretical basis to understand the dynamic relationships between
variables in the model. Therefore, introducing the use of Impulse Response
Function and Forecast Error Variance Decomposition based on the Structural
Vector Autoregression model becomes essential for investigating the dynamics of
the relationship between macroeconomic policies and cryptocurrency prices
during the pre-post COVID-19 study period. The study focuses on the pre-post COVID-19 period in the
United States due to the strictly economic policies implemented by the U.S. government during
the period.
The findings of this research indicate that shocks resulting from macroeconomic
policies do not significantly affect cryptocurrency prices.
Kata Kunci : Structural Vector Autoregression, cryptocurrency, indikator makroekonomi, Impulse Response Function, Forecast Error Variance Decomposition.