Putranto, Nurvandi Eko (2018) Analisis Kausalitas Antara IHSG, Nilai Tukar, Jumlah Uang Beredar Dan Produk Domestik Bruto Di Indonesia. Sarjana thesis, Universitas Brawijaya.
Abstract
Penelitian ini bertujuan untuk mengetahui hubungan kausalitas antara IHSG (indeks harga saham gabungan), nilai tukar, jumlah uang beredar, dan produk domestik bruto di Indonesia pada tahun 2009-2017. Metode yang digunakan adalah VAR (vector auto regression) dan kausalitas Toda-Yamamoto. Dari hasil analisis kausalitas Toda-Yamamoto menunjukkan bahwa adanya hubungan satu arah antara variabel nilai tukar terhadap IHSG dan IHSG terhadap GDP. Sementara itu, variabel IHSG dan jumlah uang beredar memiliki hubungan dua arah.
English Abstract
This study aims to determine the causality relationship between the IHSG (Jakarta Composite Index), exchange rate, money supply, and gross domestic product in Indonesia in 2009-2017. The method used is VAR (vector auto regression) and Toda-Yamamoto causality test. From the results of the Toda- Yamamoto causality test, it shows that there is a one-way relationship between the exchange rate variables on the IHSG and IHSG against GDP. Meanwhile, the IHSG variable and the money supply have a two-way relationship.
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | SKR/FE/2018/812/051904203 |
| Uncontrolled Keywords: | IHSG, nilai tukar, jumlah uang beredar, GDP, VAR, kausalitas Toda- Yamamoto / IHSG, Exchange Rate, Money Supply, GDP, VAR, Toda-Yamamoto Causality |
| Subjects: | 300 Social sciences > 332 Financial economics |
| Divisions: | Fakultas Ekonomi dan Bisnis > Ilmu Ekonomi |
| Depositing User: | Endang Susworini |
| Date Deposited: | 08 Oct 2020 14:54 |
| Last Modified: | 08 Oct 2020 14:55 |
| URI: | http://repository.ub.ac.id/id/eprint/170434 |
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