Analyzing The Effect of BI 7-Days Repo Rate on The Jakarta Composite Index Using Nonparametric Regression Approaches Based on Least Square Spline Estimator
| Main Authors: | Andreas, Christopher, Harianto, Feevrinna Yohannes , Safitri, Elfhira Juli , Chamidah, Nur |
|---|---|
| Format: | Article info application/pdf eJournal |
| Bahasa: | eng |
| Terbitan: |
Department of Mathematics, Hasanuddin University
, 2021
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| Subjects: | |
| Online Access: |
https://journal.unhas.ac.id/index.php/jmsk/article/view/13101 https://journal.unhas.ac.id/index.php/jmsk/article/view/13101/6716 |
Daftar Isi:
- During the Covid-19 pandemic, the Indonesia stock market was under great pressure, so that the value of the Jakarta Composite Index (JCI) fluctuated greatly. To maintain economic stability, Bank Indonesia has regulated monetary policy such as setting the BI 7-Days Repo Rate. Analysis of this effect is important to formulate the right policy. This study aims to design the best model in describing the relationship between JCI value and BI 7-Days Repo Rate. The analysis was carried out by using parametric regression approach based on the ordinary least square method and nonparametric regression approach based on least square spline estimator. The results showed that the parametric regression models failed to meet the classical assumptions. Meanwhile, nonparametric regression can produce an optimal model with high accurate prediction, with an overall mean absolute percentage error value of 3.16%. Furthermore, mean square error, coefficient of determination, and mean absolute deviation also show good results. Thus, the effect of the BI 7-Days Repo Rate on the JCI value forms a quadratic pattern, in which a positive relationship is formed when the BI 7-Days Repo Rate is set at more than 4.25% and vice versa for a negative relationship.
- Selama pandemi Covid-19, pasar saham Indonesia mengalami berbagai tekanan besar yang menyebabkan nilai Indeks Harga Saham Gabungan (IHSG) sangat berfluktuasi. Untuk menjaga stabilitas ekonomi, Bank Indonesia menerapkan kebijakan moneter seperti penetapan BI 7-Days Repo Rate. Analisis pengaruh dari BI 7-Days Repo Rate terhadap IHSG sangat penting guna merumuskan kebijakan yang tepat. Penelitian ini bertujuan untuk membentuk model terbaik dalam mendeskripsikan hubungan antara nilai IHSG dan BI 7-Days Repo Rate. Analisis dilakukan dengan pendekatan regresi parameterik menggunakan metode ordinay least square dan pendekatan regresi nonparametrik menggunakan estimator least square spline. Hasil penelitian menunjukkan bahwa model regresi parametrik gagal memenuhi asumsi klasik. Sedangkan, regresi nonparametrik berhasil mendapat model yang optimal dengan akurasi yang sangat tinggi, dengan nilai mean absolute percentage error keseluruhan sebesar 3.16%. Lebih lanjut, nilai mean square error, koefisien determinasi, dan mean absolute deviation juga menunjukkan hasil yang baik. Dengan demikian, pengaruh BI 7-Days Repo Rate dan nilai IHSG membentuk pola kuadratik dengan hubungan positif terjadi ketika BI 7-Days Repo Rate berada pada tingkat lebih dari 4.25% dan sebaliknya untuk hubungan negatif.