Abstract
The Phenomena and trends of level of inflation which seem to be high as caused by factors or government policies whilst the level of economic growth averagely shows high and sustainable growth drawing the unusual macroeconomic condition in Indonesia. This research is conducted to find Correlation and Short-run as well as Long-run relationship between inflation and economic in Indonesia during 1968-2012. Besides, it is to find Granger-Causality between the Consumer Price Index (CPI) and Gross Domestic Product (GDP). It first tests its Unit-Root by Augmented Dickey Fuller and Dickey Fuller test, then it tests its Cointegration by Johansen Cointegration test and its causal relationship by Granger-Causality test as well as it makes mechanism of Error Correction Model (ECM). It is found both inflation and economic growth have no Unit-Root. It is found both inflation and economic growth have Correlation. It is found significantly long-run relationship through the probability value of its residual and short-run relationship through the probability value of inflation and economic growth in its differentiation. It is then found significantly one-way Granger-causality GDP causes CPI but not found one-way Granger-causality CPI causes GDP.
Highlights
2012 mengalami inflasi yang tinggi dan berlangsung secara terus menerus dan telah berakar di sepanjang sejarah ekonomi Indonesia sementara pertumbuhan ekonomi mengalami pertumbuhan ekonomi yang cukup tinggi dan secara terus menerus/berkesinambungan
The Phenomena and trends of level of inflation which seem to be high as caused by factors or government policies whilst the level of economic growth averagely shows high and sustainable growth drawing the unusual macroeconomic condition in Indonesia
This research is conducted to find Correlation and Short-run as well as Long-run relationship between inflation and economic in Indonesia during 19682012. It is to find Granger-Causality between the Consumer Price Index (CPI) and Gross Domestic Product (GDP). It first tests its Unit-Root by Augmented Dickey Fuller and Dickey Fuller test, it tests its Cointegration by Johansen Cointegration test and its causal relationship by Granger-Causality test as well as it makes mechanism of Error Correction Model (ECM)
Summary
Penelitian ini menggunakan data tahun 1968 hingga tahun 2012. Data IHK berasal dari on-lineInternational Monetary Fund (IMF) menggunakan tahun dasar 2005=100 dan pembentukan inflasi dihitung oleh penulis. Bentuk persamaan hubungan antara inflasi dan pertumbuhan ekonomi dalam pembentukan dasar variable IHK dan PDBnya dalam Granger kausalitas adalah sebagai berikut: PDBt* = α0 + α1IHKt* + εt (4). Hasil dari pembentukan Model Pembetulan Kesalahan (ECM) ini melalui nilai koefisien dan probabilitas (p value) menyatakan secara validitas bahwa terdapat hubungan jangka panjang antara dalam kasus ini inflasi dan pertumbuhan ekonomi. Pembentukan Model Pembetulan Kesalahan ini dijalankan jika terdapat kointegrasi antara variabel inflasi dan pertumbuhan ekonomi. Bentuk persamaan hubungan antara inflasi dan pertumbuhan ekonomi dimana Error Correction Model dimasukkan adalah sebagai berikut: ΔPDBt* = α1 + ∑ α2jΔIHKt-j* +∑ α3jΔPDBt-i* - δ1ECTt-1 + et (8). Jika tidak terdapat kointegrasi (no cointegration) antara 2 variabel yang dianalisis maka hubungan inflasi dan pertumbuhan tidak bisa diketahui di dalam hubungan jangka panjang tetapi bisa dicari hubungan Granger kausalitasnya.
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