Penerapan Model Vector Autoregressive Integrated With Exogenous Variable (Varix) (Studi Kasus Pada Nilai Tukar Rupiah Dan Suku Bunga)

Aziza, Istin Fitriana (2018) Penerapan Model Vector Autoregressive Integrated With Exogenous Variable (Varix) (Studi Kasus Pada Nilai Tukar Rupiah Dan Suku Bunga). Sarjana thesis, Universitas Brawijaya.

Abstract

Model Vector Autoregressive (VAR) adalah salah satu model deret waktu multivariat yang dapat menangkap hubungan dinamis antar variabel. Model VAR dapat dikembangkan menjadi model Vector Autoregressive Integrated with Exogenous Variable (VARIX), di mana pada model VARIX (p,d)(b,s), terdapat penambahan variabel eksogen di dalam sistem persamaannya. Pada model VARIX (p,d)(b,s), variabel endogen serta variabel eksogen terintegrasi pada orde d. Pada penelitian ini bertujuan untuk memodelkan hubungan antara indek Dow Jones Industrial Average (DJIA), nilai tukar rupiah, dan suku bunga menggunakan model VARIX. Selain itu, ingin diketahui efek dari terjadinya guncangan atau shock yang terjadi pada indeks DJIA terhadap nilai tukar rupiah dan suku bunga. Berdasarkan hasil pengujian, diperoleh model VARIX (3,1)(8,0). Analisis shock memperlihatkan bahwa shock pada indeks DJIA pada periode delapan bulan sebelumnya memberikan pengaruh yang signifikan pada nilai tukar rupiah pada periode bulan ke-t dan shock pada indeks DJIA pada periode delapan bulan sebelumnya tidak memberikan pengaruh yang signifikan pada nilai suku bunga pada periode bulan ke-t.

English Abstract

The Vector Autoregressive (VAR) model is one of the multivariate time series models that can capture dynamic relationships between variables. The VAR model can be developed into a Vector Autoregressive Integrated with Exogenous Variable (VARIX) model, where in the VARIX model (p, d) (b, s), there is an addition of exogenous variables within the system of equations. In the VARIX model (p, d) (b, s), endogenous variables and exogenous variables are integrated in order d. This study aims to model the relationship between Dow Jones Industrial Average (DJIA) index, rupiah exchange rate, and interest rate using VARIX model. In addition, want to know the effect of shock that occurred on the DJIA index against the rupiah exchange rate and interest rate. Based on the test results, we get the VARIX (3.1) (8,0) model with the conclusion that there is a two-way relationship between rupiah exchange rate and interest rate and one-way relationship between DJIA index with rupiah exchange rate and DJIA index with interest rate. The shock analysis shows that the shock on the DJIA index in previous eight months gave a significant influence on the rupiah exchange rate on month period - t and the shock on the DJIA index in previous eight months did not have a significant effect on the interest rate on month period - t.

Item Type: Thesis (Sarjana)
Identification Number: SKR/FMIPA/2018/16/051800529
Uncontrolled Keywords: Nilai Tukar Rupiah, Suku Bunga, DJIA,VARIX, Rupiah Exchange Rate, Interest Rate, DJIA, VARIX.
Subjects: 500 Natural sciences and mathematics > 519 Probabilities and applied mathematics > 519.5 Statistical mathematics > 519.53 Descriptive statistics, multivariate analysis, analysis of variance and covariance > 519.535 Multivariate analysis
Divisions: Fakultas Matematika dan Ilmu Pengetahuan Alam > Statistika
Depositing User: Nur Cholis
Date Deposited: 08 Feb 2018 02:25
Last Modified: 22 Oct 2021 05:57
URI: http://repository.ub.ac.id/id/eprint/8796
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