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Mengkaji Efektivitas Penggunaan Arima dan VAR dalam Melakukan Proyeksi Permintaan Uang Kartal di Indonesia

Author

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  • Untoro

    (Bank Indonesia)

Abstract

Kajian ini dilakukan untuk mendapatkan model yang dapat memproyeksikan posisi uang kartal di masyarakat. Dengan data bulanan pendekatan ARIMA(12,1,13) mampu memproyeksikan posisi uang kartal hingga 12 periode kedepan dengan tingkat deviasi sebesar 2,6%, atau lebih baik dibanding dengan pendekatan model VAR yang mempergunakan variabel uang kartal, net foreign asset (NFA), kredit perbankan, nilai tukar, indeks harga saham gabungan, dan cadangan devisa (reserve). Hasil dengan model VAR memberikan deviasi proyeksi 5,2% (model VAR tanpa ADD factor) dan 6,5% (model VAR dengan ADD factor). Dengan deviasi yang rendah tersebut maka model ARIMA(12,1,13) dapat dipergunakan oleh pihak otoritas moneter dalam kebijakan pemenuhan kebutuhan uang kartal masyarakat.

Suggested Citation

  • Untoro, 2007. "Mengkaji Efektivitas Penggunaan Arima dan VAR dalam Melakukan Proyeksi Permintaan Uang Kartal di Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 10(1), pages 1-36, July.
    • Handle: RePEc:idn:journl:v:10:y:2007:i:1:p:1-36
    DOI: https://doi.org/10.21098/bemp.v10i1.219
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    More about this item

    Keywords

    uang kartal; ARIMA; VAR; proyeksi;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money

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