HUBUNGAN KAUSAL DINAMIS ANTAR VARIABEL MAKRO EKONOMI DI INDONESIA DALAM KAJIAN KRISIS EKONOMI SEBAGAI KEJUTAN EKSTERNAL

Abstract

Indonesia’s more open economy is very sensitive to external shocks which affects the direction and pattern, as well as the dynamic causal relationship and the characteristic of macroeconomic variables. This study is aimed to analyze the pattern and the characteristic by applying Vector Error Correction Model (VECM). According to GCT test, it is found that there is a causal relationship of macroeconomic variables, involving (1) feedback causality, (2) unidirectional causality and (3) independence. Incorporating external shocks in this study, price changes was not responded by the change of interest rate. Mean while, the change of exchange rates and price was positively responded by the change of money supply. In contrast with this, the change of interest rates, prices, and money supply were not responded by the change of exchange rates. In line with this, the change of the exchange rate and money supply variables were negatively responded by the change of price level, but it did not respond the change of output and interest rates. Finally, the change of exchange rates was positively responded by the change of real output. This finding was different when it did not include external shock such as the 2006 Kharie study.