PEMODELAN VECTOR AUTOREGRESSIVE X (VARX) UNTUK MERAMALKAN JUMLAH UANG BEREDAR DI INDONESIA

Haniatur Rosyidah, Rita Rahmawati, Alan Prahutama

Abstract


The economic stability of a country can be seen from the value of inflation. The money supply in a country will affect the value of inflation, so it is necessary to control the money supply. The money supply in Indonesia consists of currency, quasi money, and securities other than shares. One of the factors affecting the amount of currency, quasi money, and securities other than shares is the SBI interest rate. Time series data from the money supply components are correlated. To explain multiple time series data variables that are correlated we can use the VAR approach. VAR model with the addition of an exogenous variable is called VARX. The purpose of this study is to obtain models to predict the amount of currency, quasi money, securities other than shares using the VARX approach with the SBI interest rate as an exogenous variable. The results of data analysis in this study, the model obtained is VARX (1,1). Based on t test with 5% significance level, SBI interest rate variable has no significant effect to variable of currency amount, amount of quasi money, or amount of securities other than shares. Residual model VARX (1,1) satisfies the white noise assumption, while the normal multivariate assumption is not satisfied. The value of MAPE for currency variables (7,53969%), quasi money (0,49036%), and securities other than shares (9,64245%) indicates that the VARX (1,1) model has excellent forecasting ability that can be used for forecasting future periods. Forecasting results indicate an increase in the amount of currency, quasi money, or securities other than shares in each period.

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Keywords : Amount of currency, amount of quasi money, amount of securities other than shares, SBI interest rate, VARX, MAPE


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