No Judul Penulis Periode Metodologi Variabel yang digunakan Hasil Penelitian. Least Square

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1 109 Lampiran 1. Ringkasan Hasil Studi Empiris No Judul Penulis Periode Metodologi Variabel yang digunakan Hasil Penelitian 1 Exchange rate Sweta Chaman Q structural Nilai tukar efektif riil Pengeluaran pemerintah (-) Dynamics in Indonesia: Saxena (2002) Q vector pengeluaran pemerintah terms of trade (-) di Indonesia autoregressi terms of trade keterbukaan (-) on (SVAR) keterbukaan (ekspor + produktivitas (-) impor/ PDB) capital controls (+) capital controls produktivitas 2 Analisa Pergerakan Adwin Surja Ordinary selisih tingkat inflasi hanya variabel selisih Nilai Tukar Rupiah Terhadap Dollar Atmadja (2002) di Least Square Indonesia dan Amerika Serikat jumlah uang beredar yang signifikan dengan hubungan Amerika setelah Indonesia (OLS) selisih tingkat suku positif terhadap depresiasi Diterapkannya Kebijakan Sistem Nilai bunga riil Indonesia dan Amerika Serikat nilai tukar rupiah.

2 110 Tukar Mengambang selisih jumlah uang (Lanjutan) Bebas di Indonesia beredar Indonesia dan Amerika Serikat selisih pendapatan nasional di Indonesia dan Amerika Serikat, surplus BOP Indonesia) 3 Filtering the BEER: A Peter B. Clark Vector nilai tukar efektif riil interest rate differential (-) permanent and dan Ronald Autoregress interest rate differential terms of trade (-) transitory decomposition MacDonald (2004) di Amerika Serikat, Kanada, dan Inggris ive (VAR) (r r*) tnt yaitu rasio harga nontraded (CPI domestik) dengan harga traded goods (WPI atau PPI domestik) net foreign asset (-) net foreign asset. 4 Estimasi Nilai Tukar Jardine Ariena M Error s (log dari nilai tukar i t i t * (+) Rupiah Paska Krisis: Husman M Correction nominal rupiah terhadap poil (+)

3 111 Pendekatan Model (2005) di Model dollar Amerika Serikat) risk (+) Komposit Indonesia (ECM) i t i t * (nominal interest nfa (-) rate differential tot (-) nfa (net foreign asset)] tot [term of trade (kenaikan harga ekspor relatif terhadap kenaikan harga impor)] poil (log dari harga minyak internasional) risk (log dari indeks risiko yang mencakup political risk, economic risk, dan financial risk) 5 Faktor-Faktor yang Tri Wibowo M Ordinary nilai tukar nominal LGY_INA-LGY_USA (-) Mempengaruhi Nilai dan Hidayat M Least rupiah terhadap dollar LGWPI_INA- Tukar Rupiah Amir (2005) di Square US (KURS) LGWPI_USA (+) Indonesia (OLS) selisih pendapatan riil di LGKURS(-1)) (+)

4 112 Indonesia dan Amerika (Lanjutan) (LGY_INA-LGY_USA) selisih inflasi kedua negara (LGWPI_INA- LGWPI_USA) nilai tukar rupiah terhadap dollar US satu bulan sebelumnya (LGKURS(-1)) 6 Explaining the Gilles ESTAR q t (nilai tukar riil efektif) Kasus Belanda, UK dan European Exchange Dufrenot, (Exponentia TOT (terms of trade Portugal, hasil tes untuk Rate Deviations: Long Sandrine l Smooth yaitu rasio indeks harga membandingkan prediksi Memory or Non-Linear Lardic, Transition ekspor terhadap indeks yang akurat tidak Adjustment? Laurent Autoregress harga impor) mendeteksi perbedaan Mathieu, Valerie Mignon, Anne Peguin- Feuissolle. ive Model) TNT (rasio harga nontraded goods terhadap harga traded-goods domestik) (difference) yang signifikan antara smooth transition non-linear process dan long memory process.

5 113 (2006) di NFA (net foreign assets Kasus Jerman: hasil uji Perancis, dengan menggunakan untuk membandingkan Jerman, UK, data net income dari luar prediksi akurat Belanda, dan negeri sebagai proksi) menunjukkan bahwa model Portugal λ (rasio defisit anggaran memori jangka panjang pemerintah terhadap lebih baik daripada model GDP) ESTAR, bakan hasil uji FISCAL, yaitu ukuran untuk memori jangka selisih upah riil dan panjang tidak mendeteksi pendapatan yang fenomena persistensi yang dibayarkan oleh orang signifikan. yang mempekerjakan serta upah riil dan pendapatan yang dihasilkan oleh pekerja) r t r* t (interest rate differential) 7 Behavioral Equilibrium MacDonald Q the nilai tukar efektif riil tb (+) untuk Kanada, Cina,

6 114 Exchange Rate dan Dias Q multivariate (REER) Jerman, Jepang, Norwegia, Estimates and Implied (2007) di cointegratio trade balance; yaitu Singapura, Swedia, Exchange Rate Kanada, Cina, n estimation proporsi net ekspor Switzerland. Adjustment for Ten Jerman, of Johansen terhadap PDB (tb) tot (-) untuk Kanada, Cina, Countries Jepang, (1995) dan terms of trade (tot) Jepang, Switzerland, dan Norwegia, Singapura, Swedia, Switzerland, Panel DOLS estimator produktivitas, yaitu PDB/perkapita (prod t ) suku bunga riil (r t ) Amerika Serikat. produktivitas (-) untuk Cina, Norwegia, Singapura, Switzerland, UK, dan United Amerika Serikat. Kingdom (UK), dan Amerika Serikat r (-) untuk Kanada, Jepang, Norwegia, Singapura, Swedia, dan UK. 8 Equilibrium Real Zulfiqar Hyder Ordinary Nilai tukar efektif riil Trop (+) Effective Exchange dan Adil Least (REER) Govc (+) Rate and Exchange Rate Misalignment in Pakistan Mahboob (2006) di Pakistan Square (OLS) dan Error terms of trade (tot) trade openness (trop) Capinf (+) Rigdp (-)

7 115 Correction net capital inflows Remg (-) Model (capinf) Tot (-) (ECM) total factor productivity Tfpd (-) differentials (tfpd) koefisien error correction real investment terhadap term mengindikasikan rasio GDP (rigdp) konvergensi nilai tukar ke pengeluaran pemerintah keseimbangan jangka sebagai persen terhadap panjang. Hal ini GDP (govc) menunjukkan bahwa ada workers remittances kecenderungan REER sebagai persen dari GDP menuju ke EREER. (remg). 9 Estimating Renminbi Wang Yajie, Vector nilai tukar efektif riil Res (-) (RMB) Equilibrium Hui Xiaofeng, Autoregress (REER)] Tot (-) Exchange Rate dan Abdol S. Soofi (2007) di Cina ive (VAR) res (cadangan devisa) mon (jumlah uang beredar sebagai ukuran Tnt (-) Mon (+) kebijakan moneter)

8 116 tot (terms of trade,) tnt (rasio harga nontradable dan tradable goods). 10 Monetary Shocks and John H. Structural nilai tukar riil (q t ) gt (-) Real Exchange Rates Rogers (1998) Vector pengeluaran pemerintah y t (-) Autoregress ive (SVAR) relatif (g t ) output relatif (y t ) mm t (+) h t (+) money multiplier (mm t ), Keterangan: (+) = Depresiasi (-) = Apresiasi

9 117 Lampiran 2. Grafik Garis Data RER SBI PDB_NOM WPI_USA

10 118 Lampiran 3. Uji Stasioneritas Data 1. Pada Tingkat Level RER Null Hypothesis: LNRER has a unit root Exogenous: Constant, Linear Trend Bandwidth: 2 (Newey-West using Bartlett kernel) Adj. t-stat Prob.* Phillips-Perron test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. SBI Null Hypothesis: SBI has a unit root Exogenous: Constant Bandwidth: 3 (Newey-West using Bartlett kernel) Adj. t-stat Prob.* Phillips-Perron test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. PDB Nominal Null Hypothesis: LNPDB_NOM has a unit root Exogenous: Constant, Linear Trend Lag Length: 2 (Automatic based on SIC, MAXLAG=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values.

11 119 (Lanjutan) WPI_USA Null Hypothesis: LNWPI_USA has a unit root Exogenous: Constant, Linear Trend Lag Length: 1 (Automatic based on SIC, MAXLAG=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. 2. Pada Tingkat Turunan Pertama [First Difference (1 st diff)] RER Null Hypothesis: D(LNRER) has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. SBI Null Hypothesis: D(SBI) has a unit root Exogenous: Constant Bandwidth: 1 (Newey-West using Bartlett kernel) Adj. t-stat Prob.* Phillips-Perron test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values.

12 120 (Lanjutan) PDB Nominal Null Hypothesis: D(LNPDB_NOM) has a unit root Exogenous: Constant, Linear Trend Lag Length: 2 (Automatic based on SIC, MAXLAG=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. WPI_USA Null Hypothesis: D(LNM2RIIL) has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values.

13 121 Lampiran 4. Uji Kointegrasi Johansen Co integration Test Summary Date: 07/07/09 Time: 11:49 Sample: 1990:1 2007:4 Included observations: 69 Series: D(LOG(RER)) D(SBI) D(LOG(PDB)) D(LOG(WPI_USA)) Lags interval: 1 to 1 Data Trend: None None Linear Linear Quadratic Rank or No Intercept Intercept Intercept Intercept Intercept No. of CEs No Trend No Trend No Trend Trend Trend Selected (5% level) Number of Cointegratin g Relations by Model (columns) Trace Max-Eig Log Likelihood by Rank (rows) and Model (columns) Akaike Information Criteria by Rank (rows) and Model (columns) * Schwarz Criteria by Rank (rows) and Model (columns) *

14 122 (Lanjutan) Johansen s Cointegration Test Asumsi 2 Date: 07/07/09 Time: 11:50 Sample(adjusted): 1990:4 2007:4 Included observations: 69 after adjusting endpoints Trend assumption: No deterministic trend (restricted constant) Series: D(LOG(RER)) D(SBI) D(LOG(PDB)) D(LOG(WPI_USA)) Lags interval (in first differences): 1 to 1 Unrestricted Cointegration Rank Test Hypothesized Trace 5 Percent 1 Percent No. of CE(s) Eigenvalue Statistic Critical Value Critical Value None ** At most 1 ** At most 2 ** At most 3 ** *(**) denotes rejection of the hypothesis at the 5%(1%) level Trace test indicates 4 cointegrating equation(s) at both 5% and 1% levels Hypothesized Max-Eigen 5 Percent 1 Percent No. of CE(s) Eigenvalue Statistic Critical Value Critical Value None ** At most 1 ** At most 2 ** At most 3 ** *(**) denotes rejection of the hypothesis at the 5%(1%) level Max-eigenvalue test indicates 4 cointegrating equation(s) at both 5% and 1% levels Unrestricted Cointegrating Coefficients (normalized by b'*s11*b=i): D(LOG(RER)) D(SBI) D(LOG(PDB)) D(LOG(WPI_U SA)) C Unrestricted Adjustment Coefficients (alpha): D(LOG(RER),2) D(SBI,2) D(LOG(PDB),2) D(LOG(WPI_US A),2)

15 123 1 Cointegrating Equation(s): Log likelihood Normalized cointegrating coefficients (std.err. in parentheses) D(LOG(RER)) D(SBI) D(LOG(PDB)) D(LOG(WPI_USA)) C ( ) ( ) ( ) ( ) Adjustment coefficients (std.err. in parentheses) D(LOG(RER),2) ( ) D(SBI,2) ( ) D(LOG(PDB),2) ( ) D(LOG(WPI_USA), ) ( ) 2 Cointegrating Equation(s): Log likelihood Normalized cointegrating coefficients (std.err. in parentheses) D(LOG(RER)) D(SBI) D(LOG(PDB)) D(LOG(WPI_USA)) C ( ) ( ) ( ) ( ) ( ) ( ) Adjustment coefficients (std.err. in parentheses) D(LOG(RER),2) ( ) ( ) D(SBI,2) ( ) ( ) D(LOG(PDB),2) ( ) ( ) D(LOG(WPI_USA), ) ( ) ( ) 3 Cointegrating Equation(s): Log likelihood Normalized cointegrating coefficients (std.err. in parentheses) D(LOG(RER)) D(SBI) D(LOG(PDB)) D(LOG(WPI_USA)) C ( ) ( ) ( ) ( ) ( ) ( ) Adjustment coefficients (std.err. in parentheses) D(LOG(RER),

16 124 2) ( ) ( ) ( ) D(SBI,2) ( ) ( ) ( ) D(LOG(PDB), ) ( ) ( ) ( ) D(LOG(WPI_ USA),2) ( ) ( ) ( )

17 125 Lampiran 5. Data Variabel Penelitian Period RER SBI PDB Nominal WPI_USA CRISIS Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q

18 126 Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q