Zubaidi, Faisal (2024) Pemodelan Inflasi Bulanan Provinsi Jawa Timur Menggunakan Autoregressive Distributed Lag (ARDL). Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Inflasi merupakan indikator penting dalam ekonomi yang mempengaruhi stabilitas dan
pertumbuhan ekonomi suatu negara. Untuk mengelola inflasi dengan efektif, diperlukan pemahaman
mendalam tentang faktor-faktor yang memengaruhinya, seperti jumlah uang beredar, BI rate, dan
nilai tukar rupiah terhadap USD. Di Jawa Timur, penelitian mengenai hubungan antara inflasi dan
variabel-variabel tersebut sangat relevan untuk pembuatan kebijakan ekonomi. Penelitian ini
bertujuan untuk menganalisis hubungan jangka pendek dan jangka panjang antara inflasi dengan
jumlah uang beredar, BI rate, dan nilai tukar rupiah terhadap USD di Jawa Timur menggunakan
pendekatan Autoregressive Distributed Lag (ARDL). Data bulanan dari Januari 2015 hingga
Desember 2023 digunakan dalam analisis ini. Hasil pengujian kointegrasi menunjukkan adanya
hubungan jangka panjang antara variabel-variabel tersebut. Model ARDL(1,2,1,2) terpilih
berdasarkan nilai Akaike Information Criterion (AIC), menunjukkan kemampuan yang baik dalam
memodelkan dinamika hubungan antara variabel-variabel tersebut. Pengujian signifikansi parameter
simultan menunjukkan bahwa semua variabel berpengaruh secara serentak, dengan variabel inflasi
periode sebelumnya, perubahan relatif jumlah uang beredar saat ini dan dua periode sebelumnya,
perubahan relatif BI rate periode saat ini dan periode sebelumnya, dan perubahan relatif nilai tukar
periode sebelumnya berpengaruh secara parsial terhadap inflasi. Dari analisis uji autokorelasi, dan uji
heteroskedastisitas menunjukkan bahwa model regresi yang digunakan tidak memiliki masalah
autokorelasi dan heteroskedastisitas yang signifikan.
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Inflation is a crucial economic indicator that affects the stability and growth of a country's
economy. Effectively managing inflation requires a deep understanding of the factors that influence
it, such as the money supply, BI rate, and the exchange rate of the rupiah against the USD. In East
Java, research on the relationship between inflation and these variables is highly relevant for
economic policymaking. This study aims to analyze the short-term and long-term relationships
between inflation, money supply, BI rate, and the exchange rate of the rupiah against the USD in
East Java using the Autoregressive Distributed Lag (ARDL) approach. Monthly data from January
2015 to December 2023 are used in this analysis. The cointegration test results indicate a long-term
relationship between these variables. The ARDL(1,2,1,2) model was selected based on the Akaike
Information Criterion (AIC), demonstrating a good capability in modeling the dynamics of the
relationships between these variables. The simultaneous parameter significance test shows that all
variables simultaneously influence inflation, with the previous period's inflation, the current and two
previous periods' relative changes in the money supply, the current and previous period's relative
changes in the BI rate, and the previous period's relative changes in the exchange rate partially
affecting inflation. Analysis of the autocorrelation and heteroskedasticity tests indicates that the
regression model used does not have significant autocorrelation and heteroskedasticity issues.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | ARDL, BI rate, Inflasi, Jumlah Uang Beredar, Nilai Tukar Rupiah. ARDL, BI Rate, Broad Money Supply, Inflation, Rupiah Exchange Rate. |
| Subjects: | H Social Sciences > HC Economic History and Conditions > HC441 Macroeconomics. |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Statistics > 49201-(S1) Undergraduate Thesis |
| Depositing User: | Faisal Zubaidi |
| Date Deposited: | 08 Aug 2024 11:56 |
| Last Modified: | 08 Aug 2024 11:56 |
| URI: | http://repository.its.ac.id/id/eprint/114899 |
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