Muflikhah, Syarifatul (2025) Analisis Dampak Ketidakpastian Global Terhadap Ekonomi Indonesia Dengan Impulse Response Function Pada Model Quantile Structural Vector Autoregressive. Masters thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Ketidakpastian ekonomi global dapat memberikan dampak signifikan terhadap perekonomian negara berkembang, termasuk Indonesia. Penelitian ini mengkaji transmisi guncangan Global Economic Policy Uncertainty (GEPU) terhadap indikator makroekonomi Indonesia dengan menggunakan model Quantile Structural Vector Autoregressive (QSVAR). Berbeda dengan pendekatan rata-rata pada model konvensional, QSVAR memungkinkan identifikasi guncangan struktural dan analisis respons yang heterogen pada berbagai kondisi distribusi, seperti saat resesi, normal, dan ekspansi ekonomi. Penelitian ini menggunakan data bulanan dari Januari 2010 hingga Maret 2024 yang mencakup indeks produksi industri, inflasi, suku bunga, nilai tukar, dan indeks GEPU. Impulse Response Function (IRF) diterapkan untuk menelusuri dampak jangka pendek maupun jangka panjang dari guncangan GEPU pada tiap kuantil distribusi. Hasil penelitian menunjukkan bahwa dampak GEPU bersifat asimetris dan sangat tergantung pada kuantil. Respons cenderung stabil dalam kondisi normal, namun menjadi lebih volatil dan signifikan selama fase resesi dan ekspansi. Temuan ini menekankan perlunya kebijakan ekonomi yang adaptif dan berbasis distribusi untuk mengantisipasi guncangan eksternal. Penelitian ini memberikan kontribusi empiris terhadap pemahaman mekanisme transmisi ketidakpastian global serta menawarkan rekomendasi kebijakan bagi Bank Indonesia dan otoritas fiskal dalam merancang strategi mitigasi risiko dan penguatan ketahanan ekonomi nasional.
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Global economic uncertainty can significantly affect developing economies, including Indonesia. This study examines the transmission of Global Economic Policy Uncertainty (GEPU) shocks to Indonesia’s macroeconomic indicators using the Quantile Structural Vector Autoregressive (QSVAR) model. Unlike conventional models that focus on average responses, QSVAR allows for the identification of structural shocks and the analysis of heterogeneous responses across different quantiles of the distribution, reflecting varying economic conditions such as recession, normal, and expansion phases. The analysis utilizes monthly data from January 2010 to March 2024, covering industrial production, inflation, interest rates, exchange rates, and the GEPU index. The Impulse Response Function (IRF) is applied to trace the short-term and long-term effects of GEPU shocks across different quantiles. The results indicate that the impact of GEPU is asymmetric and highly quantile-dependent. Responses tend to remain stable under normal conditions, but become more volatile and significant during periods of recession and expansion. These findings highlight the need for adaptive, distribution-sensitive economic policies to anticipate external shocks. This study provides empirical insights into the transmission mechanism of global uncertainty and offers policy recommendations for Bank Indonesia and fiscal authorities in designing effective risk mitigation strategies and strengthening national economic resilience.
| Item Type: | Thesis (Masters) |
|---|---|
| Uncontrolled Keywords: | Global uncertainty, Indonesian macroeconomy, Impulse Response Function, QSVAR, Impulse Response Function, Ketidakpastian global, Makroekonomi Indonesia, QSVAR. |
| Subjects: | H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HC Economic History and Conditions > HC441 Macroeconomics. H Social Sciences > HG Finance > HG3881 Foreign exchange. |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Statistics > 49101-(S2) Master Thesis |
| Depositing User: | Syarifatul Muflikhah |
| Date Deposited: | 06 Aug 2025 09:30 |
| Last Modified: | 06 Aug 2025 09:30 |
| URI: | http://repository.its.ac.id/id/eprint/127768 |
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