ANALISIS INTEGRASI SPASIAL PASAR CABAI MERAH KERITING DI JAWA TENGAH DENGAN METODE VECTOR ERROR CORRECTION MODEL

2021 ◽  
Vol 10 (2) ◽  
pp. 190-199
Author(s):  
Kenia Samantha ◽  
Tarno Tarno ◽  
Rita Rahmawati
Keyword(s):  
Error Correction ◽  
Granger Causality ◽  
Market Integration ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Regional Markets

Curly red chili (Capsicum annuum L.) is one of commodity which has a big influence to the national economy. To maintain the price stability of curly red chili, an integrated market is needed. Spatial market integration is the level of closeness of relations between regional markets and other regional markets. Spatial market integration will be modeled by the Vector Error Correction Model (VECM) method to see the closeness of both short and long term relationships. The object of this study is the price of curly red chili for several regions in Central Java, such as Kota Semarang, Kab. Demak, Kab. Pati, and Kab. Pekalongan in the period January 2016 to December 2019 where the data has met the stationarity test at first level of difference. In Johansen's cointegration test, it was obtained 3 cointegrations, which means that in each short-term period all variables tend to adjust to each other to achieve long-term balance. Granger causality test shows that there is a two-way relationship and the relationship affects one variable to another for all variables. The VECM model obtained has the MAPE accuracy value for HCMK Semarang 15.93%, Kab. Demak 17.61%, Kab. Pati 15.88%, and Kab. Pekalongan 14.49% which can be interpreted that the performance of the model is good. Keywords: Curly Red Chili, Spatial Market Integration, VECM, Johansen's Cointegration, Granger Causality

scholarly journals Analisis Pengaruh Kinerja Keuangan terhadap Profitabilitas Bank Syariah di Indonesia

2017 ◽  
Vol 8 (2) ◽  
pp. 175
Author(s):  
Heri Sudarsono
Keyword(s):  
Error Correction ◽  
Error Correction Model ◽  
Third Party ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Factors Affecting ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run

<p>This study aimed to analyze the factors affecting the amount of profitability (ROA) provided by Islamic banking in Indonesia. The data which is used is taken from the financial report of the Shari’a Bank during the 2011-2016 periods by using montly financial statement This study uses a Vector Error Correction Model (VECM) to see the long-term effect and response to shock that occur in the studied variables. The result shows that in the long run, the percentage Financing (FIN) and BOPO give a positive siqnifikant effect on the ROA, while third party funds (DPK), percentage profit and loss sharing (TBH), financial to deposit ratio (FDR) has negative and siqnificant effect on the ROA. Sertifikat Bank Indonesia Syariah (SBIS) and non performing finance (NPF) have no significant effect on the ROA. In short run, ROA give a negatif and siqnificant effect on the ROA and FDR give a positif and siqnificant effect, while DPK, FIN, SBIS, TBH, NPF and BOPO have no sinificant effect on the ROA. Therfore, shocks that occur in the ROA, FIN, FDR , NPF dan BOPO positively responded by ROA and will be stable in the long term. While the shocks that occur in the percentage of FDR, SBIS and TBH responded negatively by financing and will be stable in the long term.</p><p>Penelitian ini bertujuan untuk menganalisis faktor-faktor yang memengaruhi profitabilitas (ROA) perbankan syariah di Indonesia. Data yang digunakan data bulanan dari laporan keuangan bank syariah periode 2010-2015. Penelitian ini mengunakan Vector Error Correction Model (VECM) untuk melihat dampak jangka panjang dan respon terhadap dampak shock pada setiap variabel terhadap pembiayaan. Hasil olah data menunjukkan bahwa FIN dan BOPO berhubungan positif terhadap ROA, sedangkan DPK, TBH, FDR berhubungan negatif terhadap dan ROA SBIS dan NPF tidak berpengaruh terhadap tingkat ROA. Dalam jangka pendek, ROA berhubungan negatif, tetapi FDR terhadap ROA berhubungan positif. Sedangkan DPK, FIN, SBIS, TBH, NPF and BOPO tidak berhubungan dengan pembiayaan. Di lain pihak, respon pembiayan terhadap goncangan yang terjadi terjadi pada ROA, FIN, FDR, NPF dan BOPO direspon positif oleh ROA. Sedangkan respon ROA terhadap goncangan yang terjadi pada FDR, SBIS dan TBH adalah negatif.</p>

scholarly journals ANALISIS PENGARUH INDEKS HARGA KONSUMEN, JUMLAH UANG BEREDAR (M1), KURS RUPIAH, DAN INDEKS S&P 500 TERHADAP INDEKS HARGA SAHAM GABUNGAN: STUDI EMPIRIS PADA BURSA EFEK INDONESIA

2014 ◽  
Vol 3 (2) ◽  
Author(s):  
Heriyanto Heriyanto ◽  
Ming Chen
Keyword(s):  
Error Correction ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Spurious Regression ◽  
Vector Error

Penelitian ini bertujuan untuk menguji hubungan keseimbangan jangka panjang antara variabel makroekonomi (yang diproksi dengan variabel indeks harga konsumen, jumlah uang beredar, kurs rupiah terhadap dollar, dan Indeks S&P 500) dengan indeks harga saham gabungan (IHSG). Data bulanan variabel makroekonomi dan IHSG selama periode Januari 2005 – Desember 2013 digunakan untuk pengujian hubungan keseimbangan jangka panjang. Data penelitian dikumpulkan dengan metode dokumentasi yang terdiri dari variabel indeks harga konsumen, jumlah uang beredar, kurs rupiah terhadap dollar, Indeks S&P 500, dan IHSG. Setelah data dikumpulkan, data selanjutnya akan dianalisis dengan menggunakan analisis regresi berganda. Analisis pengujian residual (dari model regresi berganda) dengan pendekatan Granger Residual Test digunakan untuk memastikan tidak terjadi spurious regression (regresi palsu). Selanjutnya, analisis data dengan pengujian Johannsen Cointegration Test digunakan untuk menguji keberadaan hubungan keseimbangan jangka panjang antara variabel makroekonomi dan IHSG. Tahap akhir analisis data dilakukan dengan pengujian vector error correction model (VECM) dan Granger Causality Test yang bertujuan untuk menguji kemungkinan adanya hubungan biderectional (dua arah) antara variabel makroekonomi dan IHSG. Hasil pengujian menggunakan analisis regresi berganda menunjukkan bahwa variabel kurs rupiah terhadap dollar dan Indeks S&P 500 berpengaruh signifikan terhadap pergerakan indeks harga saham gabungan, sedangkan variabel indeks harga konsumen dan jumlah uang beredar tidak berpengaruh signifikan. Hasil pengujian dengan menggunakan Granger Residual Test menunjukkan bahwa tidak terdapat spurious regression. Sementara itu, hasil pengujian dengan menggunakan Johannsen Cointegration Test menunjukkan bahwa terdapat hubungan keseimbangan jangka panjang antara variabel makroekonomi dan IHSG. Terkait dengan kemungkinan adanya hubungan biderectional antara variabel makroekonomi dan IHSG, hasil pengujian dengan menggunakan Vector Error Correction Model (VECM) dan Granger Causality Test menunjukkan bahwa hubungan antara variabel makroekonomi dan IHSG adalah hubungan satu arah. Kata Kunci: spurious regression, granger residual test, granger causality test, vector error correction model.

scholarly journals Analisis Kausalitas antara Investasi, Pendapatan Nasional, dan Jumlah Uang Beredar

2020 ◽  
Vol 3 (1) ◽  
pp. 606-615
Author(s):  
Asila Murdiah ◽  
Prasetyo Ari Bowo
Keyword(s):  
Error Correction ◽  
Causal Relationship ◽  
Granger Causality ◽  
Money Supply ◽  
National Income ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

The relationship between investment, national income and money supply are interrelated. Increased investment can increase national income. Likewise, the increase in national income can increase investment. Besides investment increase can also increase the money supply. As investment increases, the national income will increase, which means an increase in people's income. The increase in people's income will lead to increased public consumption that would cause an increase in the money supply. If there is excess supply of money, Bank Indonesia will take the policy to reduce interest rates. These conditions will encourage investors to invest which in turn will increase the output and national income. This study aims to prove the causal relationship between the investment, national income and the amount of money circulating in Indonesia period 2007.1-2015.4. To prove the existence of a causal relationship between the study variables then performed Granger causality test method VECM (Vector Error Correction Model). Granger causality analysis results show that, first, there is a causal relationship between national income and investment. Secondly, there is a causal relationship between the national income and the money supply. Third, there is no causal relationship between investment and money supply. Hubungan antara investasi, pendapatan nasional dan jumlah uang beredar saling berkaitan. Peningkatan investasi dapat meningkatkan pendapatan nasional. Begitu pula sebaliknya, peningkatan pendapatan nasional dapat meningkatkan investasi. Selain itu peningkatan investasi juga dapat meningkatkan jumlah uang beredar. Ketika investasi meningkat maka pendapatan nasional akan meningkat yang berarti terjadi peningkatan pendapatan masyarakat. Kenaikan pendapatan masyarakat ini akan menyebabkan konsumsi masyarakat meningkat sehingga akan menyebabkan kenaikan jumlah uang beredar. Apabila terjadi kelebihan jumlah uang beredar, Bank Indonesia akan mengambil kebijakan penurunan tingkat suku bunga. Kondisi ini akan mendorong minat investor untuk berinvestasi yang pada akhirnya akan meningkatkan output dan pendapatan nasional. Penelitian ini bertujuan untuk membuktikan adanya hubungan kausalitas antara investasi, pendapatan nasional dan jumlah uang beredar di Indonesia periode 2007.1-2015.4. Untuk membuktikan ada tidaknya hubungan kausalitas antarvariabel penelitian maka dilakukan uji kausalitas Granger dengan metode VECM (Vector Error Correction Model). Hasil analisis kausalitas Granger menunjukkan bahwa, pertama, terdapat hubungan kausalitas antara pendapatan nasional dan investasi. Kedua, terdapat hubungan kausalitas antara pendapatan nasional dan jumlah uang beredar. Ketiga, tidak terdapat hubungan kausalitas antara investasi dan jumlah uang beredar.

scholarly journals Analysis of Stock Market Integration Among ASEAN Countries by Using Vector Error Correction Model (VECM) Approach

2020 ◽  
Author(s):  
Reni Lestari
Keyword(s):  
Stock Market ◽  
Error Correction ◽  
Stock Exchange ◽  
Error Correction Model ◽  
Stock Index ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

Globalization has driven the economy of countries to relate to each other. It brings relationships in the capital among countries in the world, especially in ASEAN region countries. This study aimed to analyze the integration of the stock market among countries in the ASEAN region. The stock market was analyzed are the Indonesia Stock Exchange, Malaysia Stock Exchange, Singapore Stock Exchange, Thailand Stock Exchange, Vietnam Stock Exchange, and Philippine Stock Exchange. This study using the Vector Error Correction Model (VECM) as the method. The result of this study shows that, in the long term Singapore Stock Index (STI), Malaysia Stock Index (KLSE), Philippines (PSEi), and Indonesia Stock Index (JKSE) are positively correlated. This means the change of stock index price in one country will affect other related countries in the long term. In the short term of VECM estimation, found the Vietnam Stock Index (VNI), Singapore Stock Exchange (STI), Philippine (PSEi) are positively correlated and negatively correlated with Thailand Stock Exchange (SET). For the managerial implication, the result of this study is expected as a reference or basis of consideration of investment decisions. This because long-term stock market movements are important because they impact international portfolio management and risk diversification.

scholarly journals GRANGER CAUSALITY POLA KONSUMSI IKAN DI ACEH TENGAH MENGGUNAKAN ANALISISI VECTOR ERROR CORRECTION MODEL (VECM)

2019 ◽  
Vol 6 (2) ◽  
pp. 89
Author(s):  
Yasrizal Yasrizal ◽  
Nabila Ukhty
Keyword(s):  
Human Resources ◽  
Error Correction ◽  
Granger Causality ◽  
Fish Consumption ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Egg Consumption ◽  
Vector Error

Development of human resources is very important in promoting economic growth, because humans are not only objects in development but also play a role as a subject. Stunting is a major problem that inhibits the quality of human resources, to reduce the amount of human development that lives by stunting is to increase the consumption of protein contained in fish. This study aimed to determine the pattern of fish consumption in Central Aceh and the variables that affect fish consumption. The analytical model used is the granger causality analysis, through the Vector Error Correction Model (VECM) analysis model. The results of this study indicate that the pattern of fish consumption in Central Aceh was not only influenced by income, but also influenced by the amount of chicken meat and egg consumption Increased income does not have a positive effect on increasing fish consumption but affects the amount of chicken meat and egg consumption. To increase the amount of fish consumption in Central Aceh, efforts to increase the amount of fish supply through local fish farming activities and the socialization of fish eating.

scholarly journals Analisis Kredit UMKM di Provinsi Aceh: Analisis Empiris Vector Error Correction Model (VECM)

2020 ◽  
Vol 4 (1) ◽  
pp. 59
Author(s):  
Hamdani Hamdani ◽  
Ismail Ismail ◽  
Thasrif Murhadi
Keyword(s):  
Interest Rates ◽  
Error Correction ◽  
Error Correction Model ◽  
Domestic Product ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Aceh Province

The purpose of this study was to determine the effect of regional gross domestic product, non-performing loans, and loan interest rates on credit absorption by SMEs in Aceh province in the long term. The data used is secondary data in the form of a quarter 1st quarter 1995 to third quarter 2015. The model used in this study is a model of Vector Error Correction Model (VECM) to find out the results of short-term estimates, and using Johansen cointegration test to determine the relationship long-term between variables. The data used in this study has been tested with Augmented Dickey Fuller (ADF) to determine the stationary data. Based on this study it was found that in the long term there is a cointegration relationship between the variables studied. In the short term, the variables affecting the gross regional domestic product and has a one-way relationship with SME loans while variable interest rates have a causal relationship with SME loans in Aceh province, while the NPL variable does not have a causal relationship with SME loans. Keywords: SME Loans, Gross Domestic Product, Non Performimg Loan, Interest Rates, Vector Error Correction Model (VECM).

scholarly journals Elasticity of the Number of World Cruise Tourists Using the Vector Error Correction Model

2021 ◽  
Vol 13 (16) ◽  
pp. 8743
Author(s):  
Young-Gyun Ahn ◽  
Min-Kyu Lee
Keyword(s):  
Error Correction ◽  
Error Correction Model ◽  
Tourism Industry ◽  
Invisible Hand ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Cruise Tourism

Along with the growth of the marine tourism industry, the number of global cruise tourists is rapidly increasing; the competition among regions to attract cruise tourists is increasing. The current study aims to verify that the global cruise tourism industry can be sustainable through its inherent power for long-term balanced convergence within the industry and can flexibly respond to external shocks such as COVID-19. This study applies the Vector Error Correction Model (VECM) to estimate the long-term balance function that determines the number of world cruise tourists. This study reveals that the number of world cruise tourists finally converges to long-term balance if the number of world cruise tourists at present is lower than the one at long-term equilibrium. In summary, the results of the VECM in the present study suggest the presence of an “invisible hand” in the global cruise tourism industry converging to a long-term balance. A few previous studies have suggested ways to increase global cruise tourists and promote the cruise tourism industry through qualitative methods, however, little research has estimated the decision function of the number of cruise tourists at a long-term equilibrium point. This study shows the dynamic characteristics of the cruise tourism market using the VECM.

scholarly journals Hubungan antara Partisipasi Pendidikan dan Pertumbuhan Ekonomi: Studi Kasus di Indonesia

2019 ◽  
Vol 19 (1) ◽  
pp. 136-148
Author(s):  
Wahyudayanto Utama ◽  
Nina Soesanti
Keyword(s):  
Error Correction ◽  
Granger Causality ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

Pendidikan dipercaya sebagai salah satu unsur yang dapat menumbuhkan perekonomian negara. Di Indonesia terjadi peningkatan partisipasi siswa untuk tingkat menengah dan tinggi dari tahun 1994 – 2017 dan diwaktu yang bersamaan terjadi juga pertumbuhan ekonomi yang tinggi. Penelitian ini akan mencari hubungan antara partisipasi Pendidikan tingkat dasar, menengah, tinggi dan Produk Domestik Bruto (PDB). Data yang digunakan pada penelitian ini adalah data sekunder tentang partisipasi siswa dan PDB di Indonesia yang diambil dari Biro Pusat Statistik (BPS). Metode yang digunakan dalam mencari hubungan jangka pendek adalah uji Granger Causality, sedang untuk hubungan jangka panjang digunakan metode Vector Error Correction Model (VECM). Variabel yang digunakan pada penelitian ini adalah Angka Partisipasi Kasar (APK) Sekolah Dasar (SD), Sekolah Menengah Pertama (SMP), Sekolah Menengah Atas (SMA), Perguruan Tinggi (PT) dan PDB. Untuk uji stasioner variabel dan redisual digunakan uji Augment Dickey Fuller (ADF). Pada uji ADF diperoleh hasil bahwa variabel APK SD dan APK SMP stasioner pada tingkat Level, sehingga kedua variabel tersebut dihilangkan dari model awal. Hasil yang diperoleh untuk jangka pendek PDB mempengaruhi partisipasi pendidikan SMA; partisipasi pendidikan Perguruan Tinggi mempengaruhi PDB; partisipasi pendidikan SMA saling mempengaruhi dengan partisipasi pendidikan Perguruan Tinggi. Untuk jangka panjang diperoleh hasil APK PT dan APK SMA mempengaruhi PDB.

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