IMRAN HALIM, 049515126
(2001)
ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI JUMLAH VANG BEREDAR DI INDONESIA PERIODE JULI 1997-JULI 2000.
Skripsi thesis, Universitas Airlangga.
Abstract
This study is aimed to analyze the factors int1ui.!lli.;ed the quantity of money in Indonesia during the period of July 1997 until July 2000. The intention of this study is to identify the influence of each filctors during the economic crisis in lndonesia. In processing the data and information collected, the writer used the indirect counting method using the secondary data of July 1997 _. July 2000. After that, the writer examine the stationary and the integration degree of the result of tirst process using the Augmented Dickey-Fuller (ADF) and examine the cointegration using the Cointegration Regression Durbin-Watson (CROW). The next step is estimating the Error Correction Model (ECM) conforms tu the Granger Representation Theorem which stated that if the studied variables fonn a cointegrated association. then the correct dynamic model is the Error Correction Model (ECM).
After running the stationalY test, the writer I()ulld out that the Quantity of Money in its general term (M2), percentage of Reserve Requirement in Rupiah (GWM), percentage of Reserve Requirement in toreign currency (GWMVAL), interest rate of the one month time deposit commercial bank (DEP1). and the interest rate of one month money market among banks (PUA131) variables are stationer and integrated in one degree, except the interest rate of the one month of the Bank lndonesia's Certificate v·ariable (S8128). The result of the cointegration test of the 1\12, G\VM, GWMVAL, DEP1, and PUABI variables are variable association integrated in one degree, thus the variables t()rm a correct dynamic model.
After that, the model is estimated to identify its infl"ence in short and long term. In short term appeared some deviations on the independent variables showing the shock resulting from several internal influence in the form of the changing of the monetary policy and external influence resulting from the' instability of national political and social condition. Thus, in short term the influence of lhe independent variables is not appropriate and not significant. [n long term all of the independent variables are stable and significantly influence the quantity ofmoney.
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