Artikel 2009WP07DampakGejolakExternalTerhadapPerekonomianI

8/14/2019 Artikel 2009WP07DampakGejolakExternalTerhadapPerekonomianI

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http://www1.worldbank.org/economicpolicy/managing


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=0 +11 +22 + + +

E = 0 E =

=


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= 1 = 1

= + + 1 1 +

= 1 +

1 = ( )1 +

= 1 +


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=


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4


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01020304050607080

90100

0100200300400500600700800

9001000

Jan-06

Apr-06

Jul-06

Oct-06

Jan-07

Apr-07

Jul-07

Oct-07

Jan-08

Apr-08

Jul-08

Oct-08

Jan-09

Apr-09

EMBI Indonesia

LHS)VIX (RHS)

basis points


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50

60

70

80

90

100

110

120

130

140

Jan-07

Apr-07

Jul-07

Oct-07

Jan-08

Apr-08

Jul-08

Oct-08

Jan-09

Apr-09

Australia China India

Japan Korea New Zealand

50

6070

80

90

100

110

120

130

140

Jan-07

Apr-07

Jul-07

Oct-07

Jan-08

Apr-08

Jul-08

Oct-08

Jan-09

Apr-09

Indonesia Malaysia Philippine

Singapore Thailand New Zealand

-45

-40

-35

-30

-25

-20

-15

-10

-5

0

AUCNHKNZTHMYKRIDINSGPHJP


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-15

-10

-5

0

5

10

15

2006 2007 2008 2009

CN ID

IN PH-15

-10

-5

0

5

10

15

2006 2007 2008 2009

KR HK

MY TH

-15

-10

-5

0

5

10

15

2006 2007 2008 2009

AU JP

NZ SG

US


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LGDPUS LVIX LXGS LGDP LCPI R LCFLOW LREER

LGDPUS 1 0 0 0 0 0 0 0

LVIX C(1) 1 0 0 0 0 0 0LXGS C(2) 0 1 0 0 0 0 0

LGDP C(3) 0 C(9) 1 0 0 0 0

LCPI 0 0 0 C(11) 1 0 0 0

R 0 C(6) 0 0 C(14) 1 0 0

LCFLOW C(4) C(7) 0 C(12) 0 C(16) 1 0

LREER C(5) C(8) C(10) C(13) C(15) C(17) C(18) 1


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Period GDP_US VIX XGS GDP_IND CPI R CFLOW REER

GDP_IND 1 1.358 0.000 0.000 98.642 0.000 0.000 0.000 0.000

2 1.144 0.949 0.000 83.772 0.252 1.499 9.684 2.700

4 7.396 0.993 0.626 61.740 3.641 0.974 20.310 4.320

8 10.139 1.962 0.837 51.380 5.421 0.724 25.406 4.132

12 11.487 3.803 1.165 43.443 7.336 0.711 28.438 3.617

16 12.171 5.487 1.653 38.504 8.451 0.815 29.746 3.172

20 12.171 5.487 1.653 38.504 8.451 0.815 29.746 3.172

XGS 1 4.415 0.000 95.585 0.000 0.000 0.000 0.000 0.000

2 3.811 6.822 84.238 0.420 2.820 0.049 1.811 0.030

4 13.275 8.392 62.075 5.879 3.723 1.074 1.888 3.695

8 28.006 16.229 35.149 4.902 5.243 0.896 4.220 5.355

12 27.486 20.440 28.773 3.850 7.650 0.823 6.243 4.735

16 26.916 22.238 26.344 3.636 7.934 0.914 6.922 5.096

20 27.261 23.312 25.196 3.503 7.880 0.900 6.891 5.058

CPI 1 0.123 0.000 0.000 8.952 90.925 0.000 0.000 0.000

2 0.513 0.119 0.510 16.663 69.726 0.070 4.771 7.628

4 3.305 1.698 12.225 18.214 34.257 3.367 7.883 19.051

8 4.195 3.109 16.535 17.418 22.865 4.085 12.981 18.813

12 14.609 2.992 14.959 13.508 19.355 3.044 16.406 15.128

16 23.508 4.743 15.828 9.683 16.871 2.104 14.214 13.049

20 28.390 6.809 16.415 7.386 14.772 1.537 11.981 12.709

R 1 0.116 1.043 0.000 0.000 15.425 83.416 0.000 0.000

2 0.336 3.079 3.117 14.296 25.411 44.077 0.121 9.564

4 4.091 3.929 5.849 7.207 17.957 21.835 15.751 23.382

8 7.742 3.999 10.196 7.781 21.721 16.534 12.678 19.350

12 12.366 4.083 19.830 7.475 16.938 13.524 10.292 15.493

16 12.759 4.510 21.714 7.122 16.234 12.798 9.722 15.14120 12.739 4.601 21.916 7.049 16.083 12.668 9.630 15.314

CFLOW 1 0.687 6.196 0.000 0.000 0.724 3.913 88.480 0.000

2 2.584 5.055 0.144 5.322 4.204 3.933 74.794 3.964

4 2.017 5.767 5.347 6.192 11.333 2.661 66.003 4.681

8 4.066 15.458 4.226 4.261 9.505 3.127 56.090 3.268

12 4.190 21.403 3.488 4.120 7.844 2.795 52.069 4.091

16 3.933 22.575 3.217 4.255 7.284 2.600 50.976 5.161

20 3.865 3.052 23.547 4.154 7.034 2.527 50.402 5.420

REER 1 0.303 0.014 13.329 9.659 4.849 0.806 25.024 46.016

2 5.261 1.840 6.888 6.495 9.051 1.379 29.361 39.724

4 3.971 5.278 6.177 4.514 19.116 1.571 29.092 30.280

8 8.713 3.462 21.757 2.954 12.845 2.695 28.533 19.041

12 9.615 2.984 28.759 2.446 10.427 2.466 26.806 16.497

16 9.482 2.786 30.414 2.384 9.567 2.319 26.580 16.468

20 9.428 2.654 31.326 2.317 9.134 2.266 26.681 16.194

Factorization: Structural


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GDPUS

VIX

GDP_IND

XGS

CPI

R

CAPFLOW

REER

2.27

7.63

5.10

0.49

23.45

3.20

7.88

2.10


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-2.5

-2.0

-1.5

-1.0

-0.5

0.0

1 3 5 7 9 11 13 15 17 19 21 23

GDP(%)

-4

-3

-2

-1

0

1

2

3

4

1 3 5 7 9 11 13 15 17 19 21 23

CFLOW(%)

-6

-4

-2

0

2

4

6

1 3 5 7 9 11 13 15 17 19 21 23

REER(%)


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http://www1.worldbank.org/.../contagion/


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http://finance.yahoo.com/q/hp?s=%5eVIX


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Variables Level (P-value)

First Difference (P-

value)

Gross Domestic Product_US (GDPUS) 0.2245 0.0005

Global Risk Aversion (VIX) 0.2278 0.0000

Gross Domestic Product_Indonesia (GDP) 0.8374 0.0000

Exports (XGS) 0.5086 0.0000

Consumer Price Index (CPI) 0.9998 0.0034

Interest rate (R) 0.1772 0.0000

Capital Flows (CFLOW) 0.0887 0.0000

Real Effective Exchange Rate (REER) 0.201 0.0000

VAR Lag Order Selection Criteria

Endogenous variables: LGDPUS LVIX LGDP LXGS LCPI R LCFLOW LREER

Exogenous variables: C D97

Date: 08/09/09 Time: 13:40

Sample: 1993Q1 2009Q1

Included observations: 65

Lag LogL LR FPE AIC SC HQ

0 172.805 NA 0.000 -4.825 -4.290 -4.614

1 704.815 900.325 0.000 -19.225 -16.5489* -18.169

2 773.631 99.518 0.000 -19.373 -14.556 -17.473

3 842.940 83.172 0.000 -19.537 -12.579 -16.791

4 950.610 102.700 0.000 -20.880 -11.781 -17.290

5 1121.565 120.9839* 3.12e-20* -24.1712* -12.931 -19.7364*

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level)

FPE: Final prediction error

AIC: Akaike information criterion

SC: Schwarz information criterion

HQ: Hannan-Quinn information criterion


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Date: 08/07/09 Time: 04:37

Sample: 1993Q1 2009Q1

Included observations: 65

Trend assumption: Linear deterministic trendSeries: LGDP LXGS LCPI R LCFLOW LREER LVIX LGDPUS

Exogenous series: D97

Warning: Critical values assume no exogenous series

Lags interval (in first differences): 1 to 2

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.6885 206.5211 159.5297 0.0000

At most 1 * 0.5106 130.7054 125.6154 0.0236At most 2 0.4153 84.2530 95.7537 0.2370

At most 3 0.3503 49.3684 69.8189 0.6650

At most 4 0.2057 21.3380 47.8561 0.9816

At most 5 0.0767 6.3712 29.7971 0.9997

At most 6 0.0165 1.1845 15.4947 0.9998

At most 7 0.0016 0.1014 3.8415 0.7502

Trace test indicates 1 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level

**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen 0.05

No. of CE(s) Eigenvalue Statistic Critical Value Prob.**

None * 0.6885 75.8156 52.3626 0.0001

At most 1 * 0.5106 46.4525 46.2314 0.0473

At most 2 0.4153 34.8846 40.0776 0.1714

At most 3 0.3503 28.0304 33.8769 0.2121

At most 4 0.2057 14.9668 27.5843 0.7509

At most 5 0.0767 5.1867 21.1316 0.9942

At most 6 0.0165 1.0831 14.2646 0.9998

At most 7 0.0016 0.1014 3.8415 0.7502

Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level

**MacKinnon-Haug-Michelis (1999) p-values


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Vector Error Correction Estimates

Date: 08/05/09 Time: 05:12

Sample: 1993Q1 2009Q1

Included observations: 65Standard errors in ( ) & t-statistics in [ ]

Cointegration Restrictions:

B(1,1)=1, B(1,3)=0, B(1,6)=0

Convergence achieved after 26 iterations.

Restrictions identify all cointegrating vectors

LR test for binding restrictions (rank = 1):

Chi-square(2) 2.826351

Probability 0.243369

Cointegrating Eq: CointEq1

LGDP(-1) 1.00000

LXGS(-1) -0.21478

-0.06427

[-3.34168]

LCPI(-1) 0.00000

R(-1) -0.01100

-0.00129

[-8.52744]

LCFLOW(-1) -0.36677

-0.05505

[-6.66192]

LREER(-1) 0.00000

LVIX(-1) -0.07611

-0.05203

[-1.462752]

LGDPUS(-1) -1.11610

-0.12828

[-8.70026]

C 3.62752


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-.020

-.016

-.012

-.008

-.004

.000

.004

.008

.012

2 4 6 8 10 12 14 16 18 20 22 24

Response of LGDPUS to Shock2

-.2

-.1

.0

.1

.2

.3

2 4 6 8 10 12 14 16 18 20 22 24

Response of LVIX to Shock2

-.04

-.03

-.02

-.01

.00

.01

.02

.03

2 4 6 8 10 12 14 16 18 20 22 24

Response of LGDP to Shock2

-.08

-.06

-.04

-.02

.00

.02

.04

.06

2 4 6 8 10 12 14 16 18 20 22 24

Response of LXGS to Shock2

-.06

-.04

-.02

.00

.02

.04

2 4 6 8 10 12 14 16 18 20 22 24

Response of LCPI to Shock2

-2

-1

0

1

2

2 4 6 8 10 12 14 16 18 20 22 24

Response of R to Sh ock2

-.08

-.04

.00

.04

.08

2 4 6 8 10 12 14 16 18 20 22 24

Response of LCFLOW to Shock2

-.06

-.04

-.02

.00

.02

.04

.06

.08

2 4 6 8 10 12 14 16 18 20 22 24

Response of LREER to Shock2

Response to Structural One S.D. Innovations 2 S.E.


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-.010

-.005

.000

.005

.010

.015

.020

.025

2 4 6 8 10 12 14 16 18 20 22 24

Response of LGDPUS to Sho ck1

-.3

-.2

-.1

.0

.1

.2

2 4 6 8 10 12 14 16 18 20 22 24

Response of LV IX to Shock1

-.03

-.02

-.01

.00

.01

.02

.03

.04

2 4 6 8 10 12 14 16 18 20 22 24

Response of LG DP to Shock1

-.06

-.04

-.02

.00

.02

.04

.06

.08

2 4 6 8 10 12 14 16 18 20 22 24

Response of LXG S to Shock1

-.04

-.02

.00

.02

.04

.06

.08

2 4 6 8 10 12 14 16 18 20 22 24

Response of L CPI to Shock1

-3

-2

-1

0

1

2

3

2 4 6 8 10 12 14 16 18 20 22 24

Response of R to Shock1

-.08

-.04

.00

.04

.08

2 4 6 8 10 12 14 16 18 20 22 24

Response of LCFLO W to S hock1

-.08

-.06

-.04

-.02

.00

.02

.04

.06

2 4 6 8 10 12 14 16 18 20 22 24

Response of LREE R to Shock1

Resp onse to Structural One S.D. Innovations 2 S.E.

Documents

Artikel 2009WP07DampakGejolakExternalTerhadapPerekonomianI