Lampiran 1. Jumlah Deposito, Suku Bunga Deposito, dan Inflasi di Indonesia Tahun

69 Lampiran 1. Jumlah Deposito, Suku Bunga Deposito, dan Inflasi di Indonesia Tahun 2004-2010 Periode sbdepo Inflasi depo Jan-04 6.27 0.57 426.424 Feb-04 5.99-0.02 409.204 Mar-04 5.86 0.36 401.686 Apr-04 5.86 0.97 404.474 Mei-04 6.16 0.88 404.702 Jun-04 6.23 0.48 408.047 Jul-04 6.26 0.39 403.844 Agust-04 6.28 0.09 407.518 Sep-04 6.31 0.02 410.933 Okt-04 6.33 0.56 408.356 Nop-04 6.36 0.89 404.422 Des-04 6.43 1.04 420.990 Jan-05 6.43 1.43 418.081 Feb-05 6.46-0.17 412.795 Mar-05 6.50 1.91 421.661 Apr-05 6.58 0.34 442.611 Mei-05 6.58 0.21 445.686 Jun-05 6.98 0.50 453.798 Jul-05 7.22 0.78 467.591 Agust-05 7.55 0.55 478.542 Sep-05 9.16 0.69 518.808 Okt-05 10.43 8.70 529.109 Nop-05 11.46 1.31 539.590 Des-05 11.98-0.04 565.033 Jan-06 12.01 1.36 563.081 Feb-06 11.85 0.58 572.068 Mar-06 11.77 0.03 577.540 Apr-06 11.70 0.05 585.355 Mei-06 11.63 0.37 587.987 Jun-06 11.55 0.45 591.642 Jul-06 11.09 0.45 582.875 Agust-06 10.80 0.33 588.041 Sep-06 10.47 0.38 600.316 Okt-06 10.01 0.86 608.703 Nop-06 9.50 0.34 617.959 Des-06 8.96 1.21 615.163 Jan-07 8.64 1.04 615.740 Feb-07 8.43 0.62 615.445 Mar-07 8.13 0.24 626.199 Apr-07 7.93-0.16 623.045 Mei-07 7.59 0.10 624.715

Jun-07 7.46 0.23 628.419 Jul-07 7.26 0.72 638.504 Agust-07 7.16 0.75 640.215 Sep-07 7.13 0.80 643.443 Okt-07 7.16 0.79 648.295 Nop-07 7.18 0.18 654.392 Des-07 7.19 1.10 666.708 Jan-08 7.07 1.77 662.906 Feb-08 6.95 0.65 670.817 Mar-08 6.88 0.95 658.537 Apr-08 6.86 0.57 669.778 Mei-08 6.98 1.41 672.747 Jun-08 7.19 2.46 687.118 Jul-08 7.51 1.37 676.388 Agust-08 8.04 0.51 691.928 Sep-08 9.26 0.97 747.664 Okt-08 10.14 0.45 777.772 Nop-08 10.40 0.12 796.218 Des-08 10.75-0.04 824.704 Jan-09 10.52-0.07 833.833 Feb-09 9.88 0.21 858.952 Mar-09 9.42 0.22 856.741 Apr-09 9.04-0.31 842.068 Mei-09 8.77 0.04 854.020 Jun-09 8.52 0.11 862.101 Jul-09 8.31 0.45 854.112 Agust-09 7.94 0.56 860.994 Sep-09 7.43 1.05 860.663 Okt-09 7.38 0.19 876.333 Nop-09 7.16-0.03 878.046 Des-09 6.87 0.33 899.783 Jan-10 7.09 0.84 898.781 Feb-10 6.93 0.30 906.446 Mar-10 6.77-0.14 934.929 Apr-10 6.89 0.15 937.837 Mei-10 6.76 0.29 950.703 Jun-10 6.79 0.97 963.069 Jul-10 6.79 1.57 956.185 Agust-10 6.75 0.76 963.176 Sep-10 6.72 0.44 986.243 Okt-10 6.81 0.06 1016.381 Nop-10 6.78 0.60 1026.006 Des-10 6.83 0.92 1069.811 70

71 Lampiran 2. Uji Akar Unit pada Level Null Hypothesis: DEPO 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 -1.442937 0.8409 Test critical values: 1% level -4.072415 5% level -3.464865 10% level -3.158974 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(DEPO) Date: 11/08/11 Time: 15:29 Sample (adjusted): 2004M02 2010M12 Included observations: 83 after adjustments DEPO(-1) -0.057915 0.040137-1.442937 0.1529 C 21.31993 13.96278 1.526912 0.1307 @TREND(2004M01) 0.586264 0.308924 1.897761 0.0613 R-squared 0.103058 Mean dependent var 7.751651 Adjusted R-squared 0.080635 S.D. dependent var 12.61242 S.E. of regression 12.09324 Akaike info criterion 7.858645 Sum squared resid 11699.71 Schwarz criterion 7.946073 Log likelihood -323.1338 Hannan-Quinn criter. 7.893769 F-statistic 4.595984 Durbin-Watson stat 1.546953 Prob(F-statistic) 0.012899

72 Null Hypothesis: INFLASI has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic -7.775854 0.0000 Test critical values: 1% level -3.511262 5% level -2.896779 10% level -2.585626 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(INFLASI) Date: 11/11/11 Time: 00:10 Sample (adjusted): 2004M02 2010M12 Included observations: 83 after adjustments INFLASI(-1) -0.855151 0.109975-7.775854 0.0000 C 0.571296 0.134275 4.254665 0.0001 R-squared 0.427416 Mean dependent var 0.004217 Adjusted R-squared 0.420347 S.D. dependent var 1.349117 S.E. of regression 1.027150 Akaike info criterion 2.915254 Sum squared resid 85.45798 Schwarz criterion 2.973539 Log likelihood -118.9830 Hannan-Quinn criter. 2.938670 F-statistic 60.46390 Durbin-Watson stat 1.978853 Prob(F-statistic) 0.000000

73 Null Hypothesis: SBDEPO 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 -3.030197 0.1305 Test critical values: 1% level -4.073859 5% level -3.465548 10% level -3.159372 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(SBDEPO) Date: 11/08/11 Time: 15:37 Sample (adjusted): 2004M03 2010M12 Included observations: 82 after adjustments SBDEPO(-1) -0.044797 0.014784-3.030197 0.0033 D(SBDEPO(-1)) 0.778430 0.069130 11.26040 0.0000 C 0.403732 0.130965 3.082752 0.0028 @TREND(2004M01) -0.000858 0.001128-0.760829 0.4491 R-squared 0.638715 Mean dependent var 0.010244 Adjusted R-squared 0.624819 S.D. dependent var 0.389146 S.E. of regression 0.238360 Akaike info criterion 0.017478 Sum squared resid 4.431593 Schwarz criterion 0.134879 Log likelihood 3.283409 Hannan-Quinn criter. 0.064613 F-statistic 45.96534 Durbin-Watson stat 2.031718 Prob(F-statistic) 0.000000

74 Lampiran 3. Uji Akar Unit pada Pembeda ke-1 (1 st Difference) Null Hypothesis: D(DEPO) 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 -7.352281 0.0000 Test critical values: 1% level -4.073859 5% level -3.465548 10% level -3.159372 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(DEPO,2) Date: 11/08/11 Time: 15:38 Sample (adjusted): 2004M03 2010M12 Included observations: 82 after adjustments D(DEPO(-1)) -0.837485 0.113908-7.352281 0.0000 C 2.148593 2.730202 0.786972 0.4337 @TREND(2004M01) 0.111042 0.057554 1.929357 0.0573 R-squared 0.406408 Mean dependent var 0.744207 Adjusted R-squared 0.391381 S.D. dependent var 15.35517 S.E. of regression 11.97919 Akaike info criterion 7.840118 Sum squared resid 11336.57 Schwarz criterion 7.928169 Log likelihood -318.4448 Hannan-Quinn criter. 7.875469 F-statistic 27.04406 Durbin-Watson stat 1.971244 Prob(F-statistic) 0.000000

75 Null Hypothesis: D(INFLASI) 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 -11.13578 0.0000 Test critical values: 1% level -4.075340 5% level -3.466248 10% level -3.159780 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(INFLASI,2) Date: 11/11/11 Time: 00:12 Sample (adjusted): 2004M04 2010M12 Included observations: 81 after adjustments D(INFLASI(-1)) -1.949582 0.175074-11.13578 0.0000 D(INFLASI(-1),2) 0.397027 0.104713 3.791565 0.0003 C 0.038987 0.272722 0.142955 0.8867 @TREND(2004M01) -0.000706 0.005572-0.126642 0.8996 R-squared 0.745024 Mean dependent var -0.000741 Adjusted R-squared 0.735089 S.D. dependent var 2.277616 S.E. of regression 1.172277 Akaike info criterion 3.203895 Sum squared resid 105.8159 Schwarz criterion 3.322139 Log likelihood -125.7577 Hannan-Quinn criter. 3.251336 F-statistic 74.99621 Durbin-Watson stat 2.132722 Prob(F-statistic) 0.000000

76 Null Hypothesis: D(SBDEPO) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=11) t-statistic Prob.* Augmented Dickey-Fuller test statistic -3.268472 0.0196 Test critical values: 1% level -3.512290 5% level -2.897223 10% level -2.585861 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(SBDEPO,2) Date: 11/08/11 Time: 15:41 Sample (adjusted): 2004M03 2010M12 Included observations: 82 after adjustments D(SBDEPO(-1)) -0.232269 0.071064-3.268472 0.0016 C 0.005469 0.027579 0.198299 0.8433 R-squared 0.117805 Mean dependent var 0.004024 Adjusted R-squared 0.106778 S.D. dependent var 0.264215 S.E. of regression 0.249711 Akaike info criterion 0.087060 Sum squared resid 4.988434 Schwarz criterion 0.145761 Log likelihood -1.569478 Hannan-Quinn criter. 0.110628 F-statistic 10.68291 Durbin-Watson stat 1.869884 Prob(F-statistic) 0.001595

77 Lampiran 4. Pengujian OLS dan Heteroskedastisitas Dependent Variable: D(DEPO) Date: 11/23/11 Time: 14:06 Sample (adjusted): 2004M02 2010M12 Included observations: 83 after adjustments C 7.649817 1.235561 6.191373 0.0000 D(INFLASI) -0.390901 0.921778-0.424073 0.6727 D(SBDEPO) 15.33747 3.204495 4.786234 0.0000 R-squared 0.223128 Mean dependent var 7.751651 Adjusted R-squared 0.203706 S.D. dependent var 12.61242 S.E. of regression 11.25474 Akaike info criterion 7.714930 Sum squared resid 10133.53 Schwarz criterion 7.802358 Log likelihood -317.1696 Hannan-Quinn criter. 7.750054 F-statistic 11.48851 Durbin-Watson stat 1.704304 Prob(F-statistic) 0.000041 Dari tampilan tersebut terlihat bahwa koefisien INFLASI tidak signifikan (probabilitasnya > 0,05). Maka dilakukan uji Homoskedastisitas residunya. H 0 Ha : Residu bersifat homoskedastis : Residu tidak bersifat homoskedastis Heteroskedasticity Test: White F-statistic 9.054622 Prob. F(5,78) 0.0000 Obs*R-squared 30.84972 Prob. Chi-Square(5) 0.0000 Scaled explained SS 14.86725 Prob. Chi-Square(5) 0.0109 Karena probabilitas Obs*R-squared = 0,000 (lebih kecil dari α = 0,05), maka H 0 ditolak, maka dapat disimpulkan bahwa data bersifat heteroskedastis. Karena pada teknik OLS belum dapat dipakai sebagai model yang baik untuk memprediksi Jumlah Deposito (DEPO), maka akan dipergunakan GARCH (1,1).

78 Pengujian ARCH Effect Lampiran 5. Pengujian ARCH Effect Heteroskedasticity Test: ARCH F-statistic 73.93918 Prob. F(1,81) 0.0000 Obs*R-squared 39.60878 Prob. Chi-Square(1) 0.0000 Test Equation: Dependent Variable: RESID^2 Date: 11/08/11 Time: 22:33 Sample (adjusted): 2004M02 2010M12 Included observations: 83 after adjustments C 693.0690 333.0592 2.080918 0.0406 RESID^2(-1) 0.690822 0.080339 8.598790 0.0000 R-squared 0.477214 Mean dependent var 2327.330 Adjusted R-squared 0.470760 S.D. dependent var 3425.178 S.E. of regression 2491.778 Akaike info criterion 18.50318 Sum squared resid 5.03E+08 Schwarz criterion 18.56147 Log likelihood -765.8821 Hannan-Quinn criter. 18.52660 F-statistic 73.93918 Durbin-Watson stat 2.090181 Prob(F-statistic) 0.000000 H 0 : Tidak ada efek ARCH sampai ordo ke-q pada residual H 1 : Ada efek ARCH sampai ordo ke-q pada residual Jika Obs*R-squared Prob < 0,05, H0 ditolak Kesimpulan : H 0 ditolak, artinya ada efek ARCH pada α=5%

79 Lampiran 6. Model Estimasi GARCH (1,1) Dependent Variable: D(DEPO) Method: ML - ARCH (Marquardt) - Normal distribution Date: 11/22/11 Time: 18:19 Sample (adjusted): 2004M02 2010M12 Included observations: 83 after adjustments Convergence achieved after 21 iterations Bollerslev-Wooldridge robust standard errors & covariance Presample variance: backcast (parameter = 0.7) GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*GARCH(-1) Variable Coefficient Std. Error z-statistic Prob. C 6.518249 0.932959 6.986638 0.0000 D(INFLASI) -0.341740 0.945467-1.361450 0.0178 D(SBDEPO) 13.79308 3.892986 3.543059 0.0004 Variance Equation C 6.829418 9.738990 0.701245 0.4832 RESID(-1)^2 0.224023 0.160016 1.400002 0.1615 GARCH(-1) 0.759790 0.152653 4.977251 0.0000 R-squared 0.312563 Mean dependent var 7.751651 Adjusted R-squared 0.261431 S.D. dependent var 12.61242 S.E. of regression 11.54963 Akaike info criterion 7.706436 Sum squared resid 10271.33 Schwarz criterion 7.881292 Log likelihood -313.8171 Hannan-Quinn criter. 7.776684 F-statistic 4.157131 Durbin-Watson stat 1.687408 Prob(F-statistic) 0.000140 Estimation Command: ========================= ARCH(H,Z,BACKCAST=0.7,DERIV=AA) D(DEPO) C D(INFLASI) D(SBDEPO) Estimation Equation: ========================= D(DEPO) = C(1) + C(2)*D(INFLASI) + C(3)*D(SBDEPO) GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*GARCH(-1) Substituted Coefficients: ========================= D(DEPO) = 6.51824881949-0.341739559907*D(INFLASI) + 13.7930808742*D(SBDEPO) GARCH = 6.82941797708 + 0.224023452596*RESID(-1)^2 + 0.759789929479*GARCH(-1) Dari tampilan diatas, terlihat bahwa seluruh variabel penjelas (independen) nilai probabilitasnya lebih kecil dari α 0,05. Artinya memiliki pengaruh yang signifikan terhadap jumlah deposito.

80 Lampiran 7. Korelogram Date: 11/08/11 Time: 21:46 Sample: 2004M02 2010M12 Included observations: 83 Korelogram menunjukan nilai probabilitas yang lebih besar dari 0,05, dan nilai statistik Q yang tidak signifikan pada α=5%. Berarti seluruh variabel sudah tidak mengandung autokorelasi.

81 Lampiran 8. Pengujian Normalitas dan Multikolinieritas Uji Normalitas 12 10 8 6 4 2 0-2 -1 0 1 2 Series: Standardized Residuals Sample 2004M02 2010M12 Observations 83 Mean 0.068401 Median -0.013004 Maximum 2.734114 Minimum -2.455945 Std. Dev. 1.001369 Skewness 0.241666 Kurtosis 3.383630 Jarque-Bera 1.316874 Probability 0.517660 Ho : Error term terdistribusi normal H1 : Error term tidak terdistribusi normal Jika p-value < α, H 0 ditolak. Oleh karena p-value = 0,51766 > 0,05, maka H 0 diterima Kesimpulannya adalah dengan tingkat kepercayaan 95%, dapat dikatakan bahwa error term terdistribusi normal. Uji Multikolinieritas CORRELATION INFLASI SBDEPO INFLASI 1.000000 0.041683 SBDEPO 0.041683 1.000000

82 Lampiran 9. Grafik Data Empiris dan Model Estimasi Grafik data empiris perkembangan D(DEPO) D(DEPO) dlm Triliun Rupiah 60.00 50.00 40.00 30.00 20.00 10.00 0.00-10.00-20.00-30.00 1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61 64 67 70 73 76 79 82 Data series ke-i Grafik estimator persamaan D(DEPO) = 6,5182-0,3417*D( INFLASI) + 13,7931*D(SBDEPO) D(DEPO) dlm Triliun Rupiah 35.00 30.00 25.00 20.00 15.00 10.00 5.00 0.00-5.00 1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61 64 67 70 73 76 79 82 Data series ke-i