Utomo, Moch. Trianto (2019) Peramalan Inflasi, Kurs Jual, Indeks Harga Saham Gabungan, Dan Indeks Stabilitas Perbankan Dengan Pendekatan Vector Error Correction Model. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Indonesia merupakan salah satu negara berkembang yang sistem perekonomian masih sangat bergantung dengan negara maju lainnya. Ketergantungan tersebut seringkali menjadi salah satu penyebab terjadinya gejolak pada sektor ekonomi yang mengganggu stabilitas sistem keuangan di Indonesia. Oleh karena itu, peramalan indikator stabilitas sistem keuangan terutama variabel makroekonomi menjadi penting untuk dilakukan agar dapat memberikan nilai indeks yang akurat. Peramalan indikator stabilitas sistem keuangan di Indonesia menggunakan pendekatan Vector Error Correction Model (VECM) dengan indikator stabilitas sistem keuangan yang digunakan yaitu Indeks Stabilitas Perbankan, Indeks Harga Saham Gabungan, Inflasi, dan Kurs Jual. Peramalan dengan menggunakan metode VECM menghasilkan dua model deterministik yaitu model dengan menggunakan intercept dan model tanpa intercept. Model terbaik yang digunakan dalam peramalan ISP, IHSG, inflasi, dan kurs jual berdasarkan nilai RMSE dan sMAPE yaitu model deterministik dengan menggunakan intercept. Peramalan menggunakan model terbaik pada variabel ISP, Inflasi, IHSG, dan Kurs Jual masing-masing mampu digunakan untuk 12 periode, 12 periode, satu periode, dan 12 periode kedepan.
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Indonesia is one of the developing countries which their economy system is still very dependent with other developed countries. This reliance often becomes one of the causes that occurrence of economic turmoil sectors that are interfere financial system stability in Indonesia. Therefore, to forecast financial system stability indicators, primarily macroeconomic variables, become important to do in order to provide an accurate index value. Then, Forecasting indicators of stability of the financial system in Indonesia using Vector Error Correction models (VECM) approach with financial system stability indicators used are Banking Stability Index, Jakarta Stock Exchange Composite Index, Inflation, and Exchange Rate. Forecasting using the VECM method produces two models i.e. deterministic model using the intercept and deterministic model without intercept. The best model used to forecaste ISP, JCI, inflation rate, and exchange rate accordimg to RMSE value and sMAPE value i.e. deterministic models using intercept. Forecasting model using variable best ISP, JCI, Inflation Rate and Exhange Rate each capable of use for 12 periods, 12 periods, a period, and 12 periods forward.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | Forecasting, VECM, Stabilitas Sistem Keuangan |
| Subjects: | H Social Sciences > HA Statistics > HA30.3 Time-series analysis |
| Divisions: | Faculty of Mathematics, Computation, and Data Science > Statistics > 49201-(S1) Undergraduate Thesis |
| Depositing User: | Moch. Trianto Utomo |
| Date Deposited: | 17 Mar 2023 07:29 |
| Last Modified: | 17 Mar 2023 07:29 |
| URI: | http://repository.its.ac.id/id/eprint/63685 |
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