DAMPAK KETIDAKSTABILAN NILAI TUKAR RUPIAH TERHADAP PERMINTAAN UANG M2 DI INDONESIA
ABSTRACT: This article
attempts to estimate demand for M2 money in Indonesia using time series
non-stationary technique in 1997.1 - 2006.4. There are four methods are used in
research, first, VAR estimation used to forecast model which have interaction
of data time series. Second, function impulse response to see response from
every variable to structural innovation of the other variables at the same
time. Third, variance decomposition to know dissociating variation change of
shock from each variable to other variables in model. Fourth method, ADL ECM to
see long-range adjustment in variable, before and after addition of variable.
The result, there are non-stationary condition in the time series data in the
research. Result of VAR estimation show that there is no causality relation two
ways among fifth of variable. From impulse, response known that response of M2
variable to other variable very fluctuative but finally the condition will
return to stabilize.
Keywords: instability of exchange rate, M2 money,
vector autoregression
Penulis: Etty Puji Lestari
Kode Jurnal: jpmanajemendd080044
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