LAMPIRAN Lampiran 1 Perkembangan Surat Utang Negara 476048 ...

LAMPIRAN Lampiran 1 Perkembangan Surat Utang Negara

2008

Perkembangan Surat Utang Negara di Indonesia (Miliar Rupiah) 2009 2010 2011

476,048

530,195

577,665

624,291

482,948

541,595

577,303

627,152

498,404

536,902

571,649

639,352

499,397

540,602

580,019

642,482

511,678

550,377

585,666

650,807

520,228

542,971

596,741

654,475

526,678

543,348

604,191

663,652

534,286

554,520

620,023

665,781

537,001

557,111

619,742

658,363

537,601

564,511

617,267

673,018

529,756

570,225

617,097

684,768

520,995

570,215

615,498

684,618

Sember: Bank Indonesia, Medan

UNIVERSITAS SUMATERA UTARA

Lampiran 2 Perkembangan Nilai Tukar Rupiah

2008

Perkembangan Nilai Tukar Rupiah di Indonesia (Ribuan Rupiah) 2009 2010 2011

9,291

11,355

9,365

9,057

9,051

11,980

9,335

8,823

9,217

11,575

9,115

8,709

9,234

10,713

9,012

8,574

9,318

10,340

9,180

8,537

9,225

10,225

9,083

8,597

9,118

9,920

8,952

8,508

9,153

10,060

9,041

8,578

9,378

9,681

8,924

8,823

10,995

9,545

8,928

8,835

12,151

9,480

9,013

9,170

10,950

9,400

8,991

9,068

Sumber: Bank Indonesia, Medan


Lampiran 3 Hasil Uji Akar-Akar Unit a.Surat Utang Negara Null Hypothesis: D(SUN) has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Automatic based on SIC, MAXLAG=9) t-Statistic

Prob.*

Augmented Dickey-Fuller test statistic

-6.454999

0.0000

Test critical values:

1% level

-4.170583

5% level

-3.510740

10% level

-3.185512

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(SUN,2) Method: Least Squares Date: 03/25/12 Time: 22:59 Sample (adjusted): 2008M03 2011M12 Included observations: 46 after adjustments


Coefficie Variable

nt

Std. Error

t-Statistic

Prob.

D(SUN(-1))

0.988672 0.153164

-6.454999

0.0000

C

4081.572 2149.417

1.898921

0.0643

10.25130 73.76138

0.138979

0.8901

-

@TREND(2008M01 )

R-squared

0.492170 Mean dependent var

153.2609

Adjusted R-squared

0.468550 S.D. dependent var

9105.067

S.E. of regression

6637.651 Akaike info criterion

20.50190

Sum squared resid

1.89E+09 Schwarz criterion

20.62116

Log likelihood

468.5436 F-statistic

20.83700

Durbin-Watson stat

1.950004 Prob(F-statistic)

0.000000


b.Nilai Tukar Rupiah Null Hypothesis: KURS has a unit root Exogenous: Constant, Linear Trend Lag Length: 3 (Automatic based on SIC, MAXLAG=9) t-Statistic

Prob.*

Augmented Dickey-Fuller test statistic

-2.786336

0.2098

Test critical values:

1% level

-4.180911

5% level

-3.515523

10% level

-3.188259

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS) Method: Least Squares Date: 03/14/12 Time: 11:16 Sample (adjusted): 2008M05 2011M12 Included observations: 44 after adjustments Variable

Coefficie Std. Error

t-Statistic

Prob.


nt KURS(-1)

0.235003 0.084341

-2.786336

0.0083

D(KURS(-1))

0.367839 0.147174

2.499349

0.0169

D(KURS(-2))

0.259290 0.143082

-1.812178

0.0779

D(KURS(-3))

0.360024 0.145440

2.475417

0.0179

C

2543.999 902.5709

2.818614

0.0076

-2.110397

0.0415

@TREND(2008M01 )

12.04880 5.709257

R-squared

0.319885 Mean dependent var

3.772727

Adjusted R-squared

0.230396 S.D. dependent var

426.1086

S.E. of regression

373.8127 Akaike info criterion

14.81151

Sum squared resid

5309965. Schwarz criterion

15.05481

Log likelihood

319.8532 F-statistic

3.574576

Durbin-Watson stat

2.090737 Prob(F-statistic)

0.009542


Lampiran 4 Hasil Uji Kausalitas Granger Pairwise Granger Causality Tests Date: 03/25/12 Time: 23:26 Sample: 2008M01 2011M12 Lags: 2 Null Hypothesis:

Obs

F-Statistic

Probability

SUN does not Granger Cause KURS

46

1.19331

0.31353

7.16391

0.00215

KURS does not Granger Cause SUN


Lampiran 5 Hasil Uji Kointegrasi Date: 04/03/12 Time: 10:28 Sample (adjusted): 2008M03 2011M12 Included observations: 46 after adjustments Trend assumption: Linear deterministic trend Series: KURS SUN Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace) Hypothesized

Trace

0.05

No. of CE(s)

Eigenvalue

Statistic

Critical Value Prob.**

None

0.168034

8.464186

15.49471

0.4172

At most 1

4.08E-05

0.001877

3.841466

0.9624

Trace test indicates no cointegration 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

0.168034

8.462309

14.26460

0.3336

At most 1

4.08E-05

0.001877

3.841466

0.9624

Max-eigenvalue test indicates no cointegration at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I): KURS

SUN

-0.001437

-1.58E-05

0.000164

-1.73E-05

Unrestricted Adjustment Coefficients (alpha): D(KURS)

139.1087

-1.444614

D(SUN)

1616.764

26.76020

1 Cointegrating Equation(s): Log likelihood -800.4064


Normalized cointegrating coefficients (standard error in parentheses) KURS

SUN

1.000000

0.010970 (0.00455)

Adjustment coefficients (standard error in parentheses) D(KURS)

-0.199862 (0.08498)

D(SUN)

-2.322854 (1.22412)
