Please use this identifier to cite or link to this item:
http://repository.ipb.ac.id/handle/123456789/110397
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Lesmana, Donny Citra | - |
dc.contributor.advisor | Budiarti, Retno | - |
dc.contributor.author | Clorenza, Anastasia | - |
dc.date.accessioned | 2021-12-31T00:06:04Z | - |
dc.date.available | 2021-12-31T00:06:04Z | - |
dc.date.issued | 2021-12 | - |
dc.identifier.uri | http://repository.ipb.ac.id/handle/123456789/110397 | - |
dc.description.abstract | Vector Error Correction Model (VECM) merupakan bentuk vector autoregressive yang terestriksi. Restriksi diberikan karena keberadaan data tidak stasioner namun terkointegrasi. Spesifikasi VECM merestriksi hubungan jangka panjang variabel-variabel tak bebas agar konvergen ke dalam hubungan kointegrasinya, namun tetap membiarkan dinamika jangka pendek. Penelitian ini bertujuan untuk menganalisis hubungan antara Indeks Harga Saham Gabungan (IHSG) dengan faktor makroekonomi, yaitu di antaranya nilai tukar Rupiah terhadap Dolar Amerika (USD), suku bunga Bank Indonesia, tingkat inflasi Indonesia, ekspor Indonesia, dan impor Indonesia dengan menggunakan model VECM. Data penelitian yang digunakan merupakan data bulanan periode Januari tahun 2015 hingga Januari tahun 2020. Model yang didapatkan adalah VECM dengan 3 rank kointegrasi. Selanjutnya, model tersebut diimplementasikan dalam Impulse Response Function (IRF) dan Forecast Error Variance Decomposition (FEVD) untuk melihat pengaruh jangka panjang seluruh faktor makroekonomi terhadap IHSG. Selain itu, seluruh faktor makroekonomi juga memiliki hubungan kausalitas Granger atau hubungan timbal balik dengan IHSG. | id |
dc.description.abstract | Vector Error Correction Model (VECM) is a restricted form of autoregressive vector. Restrictions are given because the data is not stationary but cointegrated. The VECM specification restricts the long-term relationship of the dependent variables to converge into the cointegration relationship, but still allows short-term dynamics. This research aims to analyze the relationship between the Jakarta Composite Index (JCI) and macroeconomic factors, namely the exchange rate Rupiah against the US Dollar, interest rate of Bank Indonesia, the inflation rate of Indonesia, Indonesia’s exports and imports using VECM. The research data used are monthly data for the period January 2015 to January 2020. The model obtained is VECM with 3 cointegration ranks. Furthermore, the model is implemented in the Impulse Response Function (IRF) and Forecast Error Variance Decomposition (FEVD) to see the long-term relationship of all macroeconomic factors on JCI. In addition, macroeconomic factors have a Granger causality or reciprocal relationship with the JCI. | id |
dc.language.iso | id | id |
dc.publisher | IPB University | id |
dc.title | Analisis Hubungan Indeks Harga Saham Gabungan dengan Faktor Makroekonomi Menggunakan Vector Error Correction Model | id |
dc.type | Undergraduate Thesis | id |
dc.subject.keyword | Vector Error Correction Model | id |
dc.subject.keyword | Impulse Response Function | id |
dc.subject.keyword | Forecast Error Variance Decomposition | id |
dc.subject.keyword | JCI | id |
Appears in Collections: | UT - Mathematics |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Cover, Lembar Pengesahan, Prakata, Daftar Isi.pdf Restricted Access | Cover | 2.48 MB | Adobe PDF | View/Open |
G54160027_Anastasia Clorenza.pdf Restricted Access | Fullteks | 9.33 MB | Adobe PDF | View/Open |
Lampiran.pdf Restricted Access | Lampiran | 1.85 MB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.