ANALISIS RESPON VARIABEL PASAR KEUANGAN INDONESIA TERHADAP SHOCK BI RATE DAN VARIABEL MAKROEKONOMI 2009:1-2013:12
| Main Authors: | , DITA PRATIWI, , Muhammad Edhie Purnawan, M.A.,Ph.D. |
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| Format: | Thesis NonPeerReviewed |
| Terbitan: |
[Yogyakarta] : Universitas Gadjah Mada
, 2014
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| Subjects: | |
| Online Access: |
https://repository.ugm.ac.id/130985/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=71420 |
Daftar Isi:
- This study purpose to analyze IHSG and Yiels SUN response to BI Rate, GDP, CPI and Riil Exchange Rate shock. In addition, this study also purpose to analyze IHSG and Yield SUN contribution to explaining variability of Bi Rate and analyze GDP, CPI Riil Exchange Rate contribution to explaining variability of IHSG and Yield SUN. This study using an analysis tool is VECM. The data used are monthly data with observational data 2009:1 to 2013:12. Results of Impulse response function indicates that the monetary contraction through increasing BI Rate will positive response by Yield SUN, while on stock market increasing BI Rate will negative response by IHSG. Shock occurs on GDP responded negative by IHSG and Yield SUN. Shock occurs on riil exchange rate will responded positive by Yield SUN and responded negative by IHSG. Shock of CPI equally positive response by IHSG and Yield SUN. Based on the analysis of variance decomposition BI Rate. In the first model, the contribution SUN yield the most in explaining the variation in the BI Rate. Model of the stock market, the BI rate variation is explained by owneffect. While the BI Rate respected contribution in explaining the variability of financial markets just happened in the stock market (IHSG) Based on the analysis of variance decomposition Yield SUN and IHSG. Variation of Yield SUN most explained by owneffect and CPI. While variation IHSG explained by BI Rate and own effect and macroeconomic variables do not giving contribution. Keyword: BI Rate, IHSDG, Yield SUN, Impulse Response Function, Forecast Error Variance Decomposition