PERILAKU HARGA OLEIN DAN CPO DI PASAR INDONESIA, MALAYSIA, DAN ROTTERDAM
Fajar Isminarni, Prof. Dr. Ir. Masyhuri
2012 | Tesis | S2 Magister Manj.AgribisnisPenelitian ini bertujuan untuk (1) Membuat model peramalan harga Olein dan CPO di pasar Indonesia, Malaysia, dan Rotterdam dengan mengikuti metode ARIMA; (2) mengetahui integrasi pasar Olein dan CPO di pasar Indonesia, Malaysia, dan Rotterdam; serta (3) mengetahui pasar yang dominan dalam penentuan harga Olein dan CPO. Data yang dianalisis dalam penelitian ini adalah data bulanan time series dari Januari 2007 hingga Desember 2011. Data kuatitatif yang digunakan meliputi data harga spot Olein di pasar Indonesia, harga ekspor Olain Malaysia, harga Olein di pasar Rotterdam, harga spot CPO di pasar Indonesia, harga ekspor CPO Malaysia, dan harga CPO di pasar Rotterdam. Untuk menentukan model peramalan terbaik dipergunakan metode ARIMA. Untuk mengatahui stasioneritas data time series digunakan uji akar unit (unit root test) dengan Augmented Dickey Fuller (ADF) Test. Analisis kointegrasi digunakan untuk mengetahui integrasi antar pasar, sedangkan uji Kausalitas Grangger (Granger Causality Test) digunakan untuk mengetahui hubungan kausalitas harga antar pasar. odel ARIMA yang tepat untuk peramalan harga Hasil analisis menunjukkan m Olein Indonesia adalah (3,1,1)(0,1,2) 12 , Olein Malaysia (4,1,4)(2,1,3) 12 , Olein Rotterdam (0,1,2)(3,1,4) 12 , CPO Indonesia (2,1,1)(3,1,4) 12 , CPO Malaysia (4,1,0)(3,1,4) 12 , dan CPO Rotterdam (2,1,4)(3,1,3) 12 . Peramalan harga Olein Indonesia selama satu tahun kedepan memiliki harga yang relatif stabil dibanding CPO Indonesia. Uji kointegrasi menunjukkan bahwa antar pasar Olein dan CPO Indonesia, Malaysia dan Rotterdam saling terintegrasi, kecuali pada pasar Olein Rotterdam dan pasar CPO Malaysia. Uji kausalitas granger menunjukkan (a) CPO Indonesia menjadi leader dalam pergerakan harga Olein Indonesia, (b) CPO Rotterdam menjadi leader dalam pergerakan harga Olein Malaysia, dan (c) CPO Indonesia dan CPO Rotterdam menjadi leader dalam pergerakan harga CPO Malaysia. Berdasarkan hasil analisis, disarankan untuk mengingkatkan mutu Olein agar posisi harga Olein Indonesia dapat mengingkat dan pemerintah memberlakukan kebikajakan ekspor yang lebih baik untuk lebih meningkatkan ekspor minyak sawit Indonesia dalam bentuk Olein.
This study aimed to (1) make a price forecasting model of Olein and CPO in the market of Indonesia, Malaysia, and Rotterdam using ARIMA method, (2) determine market integration of Olein and CPO in the market of Indonesia, Malaysia, and Rotterdam, and (3) find out dominant market in determining the price of Olein and CPO. The data analyzed in this study was monthly time series data from January 2007 to December 2011. The quantitative data used included data on spot price of Olein in the market of Indonesia, export price of Olein of Malaysia, the price of Olein in the market of Rotterdam, the spot price of CPO in Indonesia market, the export price of CPO of Malaysia and the price of CPO in Rotterdam market. To determine the best forecasting model, ARIMA method was used. To discover the stationarity of time series data, the unit root test was used with Augmented Dickey Fuller (ADF) Test. Cointegration analysis was used to determine the inter-market integration, while Granger Causality Test was used to determine the causal relationship of price between the markets. The analysis result showed that appropriate ARIMA model for forecasting the price of Indonesia Olein was (3,1,1) (0,1,2) 12 , Malaysia Olein (4,1,4)(2,1,3) 12 , Rotterdam Olein ( 0,1,2)(3,1,4) 12 , CPO of Indonesia (2,1,1)(3,1,4) 12 , CPO of Malaysia (4,1,0)(3,1,4) 12 and CPO of Rotterdam (2,1,4)(3,1,3) 12 . Indonesia Olein price forecasting for the coming year had a relatively stable price compared to CPO of Indonesia. Cointegration test showed that the inter-market Olein and CPO of Indonesia, Malaysia and Rotterdam were integrated each other, except in Rotterdam Olein market and Malaysia CPO market. Granger causality test showed that (a) Indonesia CPO became the leader in price movement of Indonesia Olein, (b) Rotterdam CPO became the leader in price movements of Malaysia Olein, and (c) Rotterdam and Indonesia CPO became the leader in the price movement of Malaysia CPO. Based on the result of the analysis, it was suggested to improve the quality of Olein in order that Indonesia Olein price position could rise and the government imposed the policy of a better export to improve Indonesia's palm oil exports in the form of Olein
Kata Kunci : Peramalan, Integrasi, Pasar, Kausalitas Harga, Olein, CPO.
