MODEL AUTOREGRESIF ANALISIS KAUSALITAS ANTARA JUMLAH UANG BEREDAR DAN TINGKAT PENDAPATAN NASIONAL: STUDI KASUS INDONESIA-THAILAND
Aliman Aliman(1*)
(1) Universitas Gadjah Mada
(*) Corresponding Author
Abstract
In his paper, Cheng Hsiao developed a statistical technique to developing Granger's testing of causality. A sequential method based Akaike's Final Prediction-Error criterion and Granger's concept of causality to multiple autoregressions is suggested. The method not only allows each variabel to enter the equation with a different time lag but also provides a reasonably powerful test of exogenety or causality. In latest development, the Hsiao method developed named Final Prediction-Error Criteria of Hsiao.
In this paper, the Hsiao method is applied to Indonesian dan Thailand Money (M0, MI and M2) and nominal GDP (national income) data. It is found bivariante feedback model between M0, Ml and M2 with national income. Moreover, testing of causality in Indonesian and Thailand between M0 (money based) and national income finds strongly and certainly unidirectional causality from national income to M0. Ml and national income, in Indonesian and Thailand made a different result. In Indonesian, between Ml with national income finds unidirectional causality from national income to Ml (narrow money), while in Thailand, create unidirectional causality from Ml to national income. Between M2 and national income, also in Indonesian and Thailand made a different result. In Indonesian, between M2 with national finds unidirectional causality from M2 (broad money) to national income, while in Thailand, create unidirectional causality from national income to M2.
Full Text:
PDFReferences
Aliman (1998), "Analisa Kausalitas Antara Jumlah Uang Beredar Dan Tingkat Pendapatan Nasional: Studi Kasus Indonesia-Thailand ", Skripsi S-l, Fakultas Ekonomi Universitas Gadjah Mada Yogyakarta, tidak dipublikasikan.
Arief, Sritua (1993), Metodologi Penelitian Ekonomi, Ul-Press, Jakarta.
Bahmani Oskooee, Mohsen dan Janardhanan Alse (1993), "Export Growth and Economic Growth: An Ap`plication of Cointe-gration and Error-Correction Modeling", Journal of Developing Areas, Vol. 30, No. 2, January, hal. 223230.
Bank Indonesia, Laporan Mingguan, Beberapa Edisi.
Bank Indonesia, Statistik Ekonomi dan Keuangan Indonesia, Beberapa Edisi.
Bar-Yosef, Sasson, et al. (1987)," Autoregressive Modeling of Earnings-Invest- ment", Journal of Finance, Vol. XLH, No. 1, March, hal. 11-28.
Basmann, R. L. (1988), "Causality Tests and Observationally Equivalent Representations of Econometric Models", Journal of Econometrics, Vol. 39, No. 1-2, September-October, hal. 69-104.
Biro Pusat Statiastik, Indikator Ekonomi, Beberapa Edisi.
Chen, Chien-hsun (1993), "Causality Between Defense Spending and Economic Growth : The Case of Mainland China", Journal of Economic Studies, Vol. 22, No. 6, hal. 37-43.
Doraisami, Anita (1996), "Export Growth and Economic Growth : A Reexamination of Some Time-Series Evidence of the Malaysian Experience", Journal of Developing Areas, Vol. 30, No. 2, January, hal. 223-230
Dumairy (1987), "Kausalitas Antara Uang Beredar dan Inflasi di Indonesia", Jurnal Ekonomi dan Bisnis Indonesia, No. 2, hal. 3-14.
Engle, Robert F. dan C. W. j. Granger (1987), "Co-Integration and Error Correction: Representation, Estimation and Testing", Econometrca, Vol. 55, No. 2, March, hal. 251-279.
Fiege, Edgar L. dan Douglas K. Pearce (1979), "The Casual Causal Relationship Between Money and Income: Some Caveats for Time Series Analysis", Review of Economics and Statistics, Vol. 61, November, hal. 521-533.
Granger, C. W. J. (1969), "Investigating Causal Relations By Econometric Models and Cross Spectral Methods", Econome-trica, Vol. 37, No. 3, July, hal. 424-438.
Granger, C. W. J. (1986), "Development in the Study of Cointegrated Economic Variables", Oxford Bulletin of Economics and Statistics, Vol. 48, No. 3, hal. 213-228.
Granger, C. W. J. (1988), "Some Recent Development Concept of Causality", Journal of Econometrics, No. 39, hal. 199-211.
Granger, C. W. J. (1995), "Causality in the Long Run", Econometric Theory, Vol. 11, No. 3, August, hal. 530-536.
Guilkey, David K. dan Michael K. Salemi (1982), "Small Sample Properties of Three Test for Granger-Causal Ordering in a Bivariate Stochastic", Review of Economics and Statistics, Vol. 64, hal. 668-680.
Gujarati, D.N. (1995), Basic Econometrics, 3rd Edition, McGraw-Hill International Edition.
Hall, Thomas E. dan Nicholas R. Nable (1987)," Velocity and the Variability of Money Growth : Evidence from Granger-Causality Test", Journal of Money, Credit and Banking, Vol. 19. No. 1, February, hal. 112-116.
Hsiao, Cheng (1979), "Autoregressive Modeling of Canadian Money and Income Data", Journal of the American Statistical Assosiation, Vol. 74, No. 367, September, hal. 553-560.
Insukindro (1993), Ekonomi Uang dan Bank: Teori dan Pengalaman di Indonesia, Edisi Kedua, BPFE, Yogyakarta. International Monetary Fund, International Financial Statistics, Beberapa Edisi.
Judd, John P. and Brian Motley (1992), "Controlling Inflation With an. Interest Rate Instrument", Economic Review, Federal Reserve Bank of San Francisco, No. 3, hal. 3-22.
Kamas, Linda (1995), "Monetary Policy and Inflation Under the Crawling Peg: Some Evidence from VARs for Colombia", Journal of Development Economics, Vol. 46, No. 1, February, hal. 145-161.
Katsimbris, George M. dan Stephen M. Miller (1995), "Monetary Policies of Developed Countries: Co-ordination, Coercion or Independence?", Journal of Economic Studies, Vol. 22, No. 2, hal. 44-58.
Kim, Yoon Chul (1995), "The Relationship Between the Exchange Rate and Domestic Prices in Korea", Quarterly Economic Review, Bank of Korea, March, hal. 19-45.
Kwon, Oh Chul (1979), "Money, Income and Causality", Asian Economies, No. 29, June, hal, 17-35.
Mahdavi, Saeid, et. al. (1994), "Cointegration and Error Correction Models : the Temporal Causality Between Investment and Corporate Cash Flow", Journal of Post Keynesian Economics, Vol. 16, No. 3, Spring, hal. 478-498.
Ramanathan, Ranu (1992), Introductory Econometrics With Applications, 2nd Edition, The Dryden Press.
Rosser, J. Barkley dan Richard G. Sheehan (1995), "A Vector Autoregressive Model of the Saudi Arabian Economy", Journal of Economics and Business, Vol. 47, No. 1, February, hal. 79-90.
Shin, Hyunchul (1978), "Money, Income and Causality", Asian Economies, No. 26, September, hal. 13-28.
Sims, Christopher A. (1972), "Money, Income, and Causality", American Economic Review, Vol. 62, September, hal. 540-552.
Sims, Christopher A. (1980), "Macroeconomics and Reality", Econometrica, Vol. 48, No. 1, January, hal. 1-48.
Thomas, R. Leighton (1997), Modern Econometrics: An Introduction, AddisonWesley.
Thornton, Daniel L. and Dallas S. Batten (1985), "Lag-Length Selection dan Test of Granger Causality Between Money and Income", Journal of Money, Credit and Banking, Vol. XVII, No. 2, May, hal. 164-178.
Toda, Hiro Y. dan Peter C. B. Philips (1993), "Vector Autoregressions and Causality", Econometrica, Vol. 61, No. 6, November, hal. 1367-1393.
Wantara, Agus (1996), "Hubungan Kausalitas Antara Jumlah Uang Beredar Dengan Pendapatan Nasional di Indonesia: 1972.1-1992.2", Karya Penelitian Universitas Atmajaya Yogyakarta, Tahun VI, Edisi 6, September, hal. 1-14.
Article Metrics
Abstract views : 2592
| 
views : 1713
Refbacks
- There are currently no refbacks.
Copyright (c) 2018 Journal of Indonesian Economy and Business
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
| Journal of Indonesian Economy and Business |
| The Journal of Indonesian Economy and Business (print ISSN 2085-8272; online ISSN 2338-5847) is published by the Faculty of Economics and Business Universitas Gadjah Mada, Indonesia. The content of this website is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License |
| © 2019 Journal of Indonesian Economy and Business | Visitor Statistics |