Pranata, Maharani Rosehana Amanda (2018) Penerapan Structural Seasonal Vector Autoregressive (Ssvar) Pada Inflow-Outflow Uang Kartal (Studi Kasus Di Kantor Perwakilan Bank Indonesia Jawa Timur). Sarjana thesis, Universitas Brawijaya.
Abstract
Data deret waktu merupakan rangkaian data yang disusun berurutan dari waktu ke waktu. Pada data deret waktu terkadang memiliki pola musiman. Dalam praktiknya, nilai pengamatan pada suatu waktu yang berkorelasi dengan waktu sebelumnya secara dinamis. Variabel ekonomi terkadang memiliki hubungan kausailtas bilateral. Analisis Seasonal Vector Autoregressive (Seasonal VAR) merupakan metode yang sesuai untuk memodelkan variabel-variabel yang memiliki pola musiman dan hubungan kausalitas bilateral. Efek dari shock pada variabel terhadap dirinya dan variabel lain dapat dianalisis menggunakan Impulse Response Function (IRF). Penelitian ini bertujuan untuk memodelkan data inflow dan outflow uang kartal di Kantor Perwakilan Bank Indonesia Jawa Timur tahun 2011- 2017 menggunakan Seasonal VAR. Berdasarkan identifikasi plot data deret waktu menunjukkan masing-masing variabel memiliki pola musiman. Hasil analisis menunjukkan kedua variabel memiliki hubungan kausalitas bilateral. Sisaan model Seasonal VAR belum bersifat white noise dan tidak berdistribusi normal multivariat sehingga dimodelkan menggunakan Structural Seasonal VAR (SSVAR). Model Seasonal VAR yang terbentuk menunjukkan inflow dan outflow uang kartal memberikan pengaruh signifikan satu sama lain. Respon pengaruh variabel inflow dan outflow terhadap shock inflow dapat hilang (mencapai garis keseimbangan). Hal serupa terjadi pada respon pengaruh outflow akibat shock outflow. Namun, efek shock outflow terhadap inflow tidak dapat dihilangkan hingga akhir pengamatan.
English Abstract
Time series data is a set of data arranged based on a time set. In time series data, seasonal pattern often present. In practice, an observation value of a single time is correlated to previous time dinamically. Economic variables often have bilateral causality. Seasonal Vector Autoregressive Analysis (Seasonal VAR) is the most suitable method to build model from variable with seasonality and bilateral causality. The shock effect of a variable to itself or other variable can be analyzed using Impulse Response Function (IRF). This research purpose is to build the model the real money inflow and outflow in Representative Office Bank Indonesia of East Java at 2011 to 2017 using Structural Seasonal VAR. According to data plot identification, the series showed that each variable had seasonal pattern. Analysis result showed both variables had bilateral causality. The residual of the Seasonal VAR model not white noise and not multivariate normally distributed, thus Structural Seasonal VAR is used. The model showed that the real money inflow and outflow gave significant influence to each other. The response of both variables to inflow shock could disappear (reaching equilibrium line). That situation also occured to outflow response influence caused by outflow shock. But, outflow shock effect to inflow couldn't have vanished until the observation ended.
Other obstract
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| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | SKR/MIPA/2018/322/051807375 |
| Uncontrolled Keywords: | Inflow, IRF, Outflow¸ Structural Seasonal VAR, Inflow, IRF, Outflow¸ Structural Seasonal VAR |
| Subjects: | 300 Social sciences > 332 Financial economics > 332.4 Money |
| Divisions: | Fakultas Matematika dan Ilmu Pengetahuan Alam > Statistika |
| Depositing User: | Nur Cholis |
| Date Deposited: | 09 Jun 2020 04:43 |
| Last Modified: | 22 Oct 2021 13:18 |
| URI: | http://repository.ub.ac.id/id/eprint/168511 |
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