Analysis of Macroeconomic Variables on the Existence of Inflation in Indonesia Using the Vector Error Correction Model Approach
Abstract
This research investigates the impact of macroeconomic variables, namely money supply, exchange rate, interest rate, and the joint stock index, on inflation in Indonesia. Employing the Vector Error Correction Model (VECM) dynamic model approach, the study reveals a long-term relationship among each variable (Inflation Rate, Jakarta Composite Index, Interest Rate, Exchange Rate, and Money Supply). Granger Causality Test results indicate a unidirectional relationship of interest rate and money supply variables to inflation, interest rate to Jakarta Composite Index, and money supply to the exchange rate. Conversely, there is a bidirectional relationship between exchange rate and inflation variables. In the short term, Interest Rate significantly and positively influences inflation, whereas, in the long term, it exhibits a negative and insignificant effect. Money supply, in the long run, significantly and positively affects the inflation rate. This study stands out in the macroeconomic literature due to its distinctive choice of variables and the dynamic model employed
Downloads
Download data is not yet available.
References
Adisetiawan, R. (2014). Keseimbangan Jangka Panjang antara Variabel Makro Ekonomi dengan Indeks Harga Saham. Trikonomika, 2(10).
Ahmed, R., Chen, X. H., Kumpamool, C., & Nguyen, D. T. K. (2023). Inflation, oil prices, and economic activity in recent crisis: Evidence from the UK. Energy Economics, 126(July), 106918. https://doi.org/10.1016/j.eneco.2023.106918
Amalia, S., Wijaya, A., Darma, D. C., Maria, S., & Lestari, D. (2020). Underground Economy Teori & Catatan Kelam. Yayasan Kita Menulis.
Andiantyo, P., Sihombing, P., Kusumastuti, S. Y., Ekonomi, M. I., Trisakti, U., Ekonomi, F., … Model, C. (2018). PERGERAKAN INDEKS HARGA SAHAM SEKTOR PERTANIAN DI BURSA. Seminar Nasional Cendekiawan Ke 4, 1137–1148.
Antonakakis, N., Gupta, R., & Tiwari, A. K. (2017). Has the correlation of inflation and stock prices changed in the United States over the last two centuries? Research in International Business and Finance, (42).
Ardana, Y. (2016). Pengaruh Variabel Makroekonomi terhadap Indeks Saham Syariah di Indonesia: Model ECM. Esensi Jurnal Bisnis Dan Manajemen, 6(1). https://doi.org/https://doi.org/10.15408/ess.v6i1.3118.
Astuti, R., Lapian, J., & Rate, P. Van. (2016). Pengaruh Faktor Makro Ekonomi Terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (BEI) periode 2006-2015. Jurnal Berkala Ilmiah Efisiensi, 16(2).
Azis, M., Mintarti, S., & Nadir, M. (2015). Manajemen Investasi Fundamental, Teknikal, Perilaku Investor dan Return Saham. CV. Budi Utama.
Beik, I. S., & Fatmawati, S. W. (2014). Pengaruh Indeks Harga Saham Syariah Internasional dan Variabel Makroekonomi terhadap Jakarta Islamic Index. Al-Iqtishad, 4(2).
Candy, C., & Winardy, A. (2018). Pengaruh Faktor Ekonomi Makro Terhadap Stock Return Pada Indeks Saham LQ45. Jurnal Ekonomi & Ekonomi Syariah, 2(1). https://doi.org/https://doi.org/10.36778/jesya.v2i1.35
Chotib, E., & Huda, N. (2019). Analisis Pengaruh Variabel Ekonomi Makro terhadap Indeks Saham Syariah Indonesia ( ISSI ) periode 2016 – 2019. Journal of Economics and Business Aseanomics ( JEBA ), 4(1), 1–20.
Desvina, A. P., & Lubis, P. S. (2019). Pendekatan VECM untuk Menganalisis Hubungan IHSG , BI Rate , Kurs ( USD / IDR ), dan Jumlah Uang yang Beredar ( M2 ). Jurnal Sains Matematika Dan Statistika, 5(1), 107–119.
Dornbusch, R., Fischer, S., & Starz, R. (2008). Makro Ekonomi (S. Roy Indra Mirazudin, ed.). Jakarta: PT Media Global Edukasi.
Easterly, W., & Schmidt-Hebbel, K. (1993). FISCAL DEFJCITS AND MACROECONOMIC PERFORMANCE IN DEVELOPING COUNTRIES. The World Bank Research Observe, 8(2), 211–237. https://doi.org/https://doi.org/10.1093/wbro/8.2.211
Fahmi, I. (2012). Pengantar Pasar Modal. Bandung: Alfabeta.
Fred, W. J., & F.Eugene, B. (1994). Essentiol of Managerial Finance (10th ed.). New York: The Dryden Press.
Gujarati, D. N., & Porter, D. C. (2009). Basic Econometrics (5th ed.). McGraw-Hill.
Halim, S., & Chandra, A. (2011). Pemodelan Time Series Multivariat secara Automatis. Jurnal Teknik Industri, 13(1), 19–26.
Hamburger, M. J., & Zwick, B. (1981). DefJCIts, money and inflation. Journal of Monetary Economics Volume 7, Issue 1, 1981, Pages 141-150, 7(1), 141–150. https://doi.org/https://doi.org/10.1016/0304-3932(81)90057-X
Haryogo, A. (2013). Pengaruh Nilai Tukar dan Indeks Down Jones terhadap Composite Index di Bursa Efek Indonesia. FINESTA, 1(1).
Hasyim, A. I. (2017). EKONOMI MAKRO. Kencana.
Hendajany, N. (2015). Tingkat Inflasi, Suku Bunga Bank Indonesia, Jumlah Uang Beredar dan Kurs. Eko-Regional, 10(1), 39–47.
Hooker, M. A. (2004). Macroeconomic Factors and Emerging Market Equity Returns: A Bayesian Model Selection Approach. Emerging Markets Review, 5, 379‐387.
Ishaq, T., & Mohsin, H. M. (2015). DefJCIts and inflation; Are monetary and financial institutions worthy to consider or not? Borsa Istanbul Review, 15(3), 180–191. https://doi.org/10.1016/j.bir.2015.03.002
Janah, I. U., & Pujiati, A. (2018). Analisis Mekanisme Transmisi Kebijakan Moneter Jalur Ekspektasi dalam Mempengaruhi Inflasi di Indonesia. Economics Development Analysis Journal, 7(4), 384–394.
Krisna, A. A. G. A., & Wirawati, N. G. P. (2013). PENGARUH INFLASI, NILAI TUKAR RUPIAH, SUKU BUNGA SBI PADA INDEKS HARGA SAHAM GABUNGAN DI BEI. E-Jurnal Akuntansi Universitas Udayana, 3(2), 421–435.
Luwihadi, N. L. G. A., & Arka, S. (2017). Determinan Jumlah Uang Beredar dan Tingkat Inflasi di Indonesia Periode 1984-2014. E-Jurnal Ekonomi Pembangunan Universitas Udayana, 6(4).
Mankiw, N. G. (2007). Makroekonomi (6th ed.). Jakarta: Erlangga.
Manurung, A. H. (2008). Strategi Menangkan Transaksi Saham di Bursa. PT Elex Media Koputindo.
Mie, M., & Agustina. (2014). Analisis Pengaruh Indeks Harga Saham Gabungan Asing Terhadap Indeks Harga Saham Gabungan Indonesia. Jurnal Wira Ekonomi Mikroskil, 4(2), 81–90. https://doi.org/10.55601/jwem.v4i2.216
Mishkin, F. S. (2010). 2010. Ekonomi Uang, Perbankan, dan Pasar Keuangan. Jakarta: Salemba Empat. Jakarta: Salemba Empat.
Natsir, M. N. (2018). Analisis Empiris Efektivitas Mekanisme Transmisi Kebijakan Moneter di Indonesia Melalui Jalur Ekspektasi Inflasi. EKUITAS (Jurnal Ekonomi Dan Keuangan), 13(3), 288–307.
Nisa, N. K., & Sukmana, R. (2017). ANALISIS PENGARUH VARIABEL – VARIABEL MAKROEKONOMI TERHADAP JAKARTA ISLAMJCINDEKS (JII) Periode 2007-2015. Jurnal Ekonomi Syariah Teori Dan Terapan, 4(6), 449–463.
Nofiatin, I. (2013). Hubungan Inflasi, Suku Bunga, Produk Domestik Bruto, Nilai Tukar, Jumlah Uang Beredar, dan Indeks Harga Saham Gabungan (IHSG) Periode 2005– 2011. Jurnal Aplikasi Manajemen, 11(2), 215–222.
Nugroho, H. (2008). ANALISIS PENGARUH INFLASI, SUKU BUNGA, KURS DAN JUMLAH UANG BEREDAR TERHADAP INDEKS LQ45. Diponegoro.
Pasaribu, R. B. F., & Firdaus, M. (2013). Analisis Pengaruh Variabel Makroekonomi Terhadap Indeks Saham Syariah Indonesia. Jurnal Ekonomi Dan Bisnis (JEB), 7(2), 117–132.
Prastowo, N. J. (2008). Dampak BI Rate Terhadap Pasar Keuangan: Mengukur Signifikansi Respon Instrumen Pasar Keuangan terhadap Kebijakan Moneter. Working Paper No.21. Bank Indonesia. Bank Indonesia.
Rusbariand, S. P., & Herawati, S. (2012). Analisis Pengaruh Tingkat Inflasi, Harga Minyak Dunia, Harga Emas Dunia, Dan Kurs Rupiah Terhadap Pergerakan Jakarta Islamic Index Di Bursa Efek Indonesia. Forum Bisnis & Keuangan, 1(1), 724–740.
Salim, J. (2010). Cara gampang bermain saham. Transmedia Pustaka.
Salisu, A. A., Isah, K. ., Oyewole, O, J., & Akanni, L. (2017). Modelling oil price-inflation nexus: the role of asymemetries. Energy, 125, 97–106.
Samsul, M. (2006). PASAR MODAL DAN MANAJEMEN PORTOFOLIO. Erlangga.
Sembiring, M. (2016). Analisis Vector Autoregresion (VAR) Terhadap Interrelationship Antara IPM Dan Pertumbuhan Ekonomi Di Sumatera Utara.
EKONOMIKAWAN: Jurnal Ilmu Ekonomi Dan Studi Pembangunan, 16(2), 114–123. https://doi.org/10.30596/ekonomikawan.v16i2.939
Suciningtias, S. A., & Khoiroh, R. (2013). Analisis Dampak Variabel Makro Ekonomi Terhadap Indeks Saham Syariah Indonesia. Conference in Business, Accounting, and Management, 2(1), 398–412.
Sulistiana, I. (2017). Model Vector Auto Regression (Var) and Vector Error Correction Model (Vecm) Approach for Inflation Relations Analysis, Gross Regional Domestic Product (Gdp), World Tin Price, Bi Rate and Rupiah Exchange Rate. Integrated Journal of Business and Economics, 1(2), 17–32. https://doi.org/https://doi.org/10.5281/zenodo.1147673
Tandelilin, E. (2010). Portofolio dan Investasi Teori dan Aplikasi (1st ed.). Yogyakarta: Kanisius.
Tangjitprom, N. (2012). The Review of Macroeconomic Factor and Stock Return. International Bussines Research, 5(8).
Tanuwidjaya, W. (2008). Siasat Investasi Cerdik: Bagi Investor Pemula. MedPres.
Wang, X., Huang, Q., & Zhang, S. (2023). Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method. The North American Journal of Economics and Finance, 67. https://doi.org/https://doi.org/10.1016/j.najef.2023.101939
Widoatmodjo, S. (2015). Pengetahuan Pasar Modal untuk Konteks Indonesia. PT. Elex Media Komputindo.
Wildauer, R., Kohler, K., Aboobaker, A., & Guschanski, A. (2023). Energy price shocks , conflict inflation , and income distribution in a three-sector model ✩. Energy Economics, 127(PB), 106982. https://doi.org/10.1016/j.eneco.2023.106982
Yıldırım, D. (2017). Empirical investigation of purchasing power parity for Turkey: Evidence from recent nonlinear unit root tests. Central Bank Review, 17(2), 39–45. https://doi.org/10.1016/j.cbrev.2017.03.001
Ahmed, R., Chen, X. H., Kumpamool, C., & Nguyen, D. T. K. (2023). Inflation, oil prices, and economic activity in recent crisis: Evidence from the UK. Energy Economics, 126(July), 106918. https://doi.org/10.1016/j.eneco.2023.106918
Amalia, S., Wijaya, A., Darma, D. C., Maria, S., & Lestari, D. (2020). Underground Economy Teori & Catatan Kelam. Yayasan Kita Menulis.
Andiantyo, P., Sihombing, P., Kusumastuti, S. Y., Ekonomi, M. I., Trisakti, U., Ekonomi, F., … Model, C. (2018). PERGERAKAN INDEKS HARGA SAHAM SEKTOR PERTANIAN DI BURSA. Seminar Nasional Cendekiawan Ke 4, 1137–1148.
Antonakakis, N., Gupta, R., & Tiwari, A. K. (2017). Has the correlation of inflation and stock prices changed in the United States over the last two centuries? Research in International Business and Finance, (42).
Ardana, Y. (2016). Pengaruh Variabel Makroekonomi terhadap Indeks Saham Syariah di Indonesia: Model ECM. Esensi Jurnal Bisnis Dan Manajemen, 6(1). https://doi.org/https://doi.org/10.15408/ess.v6i1.3118.
Astuti, R., Lapian, J., & Rate, P. Van. (2016). Pengaruh Faktor Makro Ekonomi Terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (BEI) periode 2006-2015. Jurnal Berkala Ilmiah Efisiensi, 16(2).
Azis, M., Mintarti, S., & Nadir, M. (2015). Manajemen Investasi Fundamental, Teknikal, Perilaku Investor dan Return Saham. CV. Budi Utama.
Beik, I. S., & Fatmawati, S. W. (2014). Pengaruh Indeks Harga Saham Syariah Internasional dan Variabel Makroekonomi terhadap Jakarta Islamic Index. Al-Iqtishad, 4(2).
Candy, C., & Winardy, A. (2018). Pengaruh Faktor Ekonomi Makro Terhadap Stock Return Pada Indeks Saham LQ45. Jurnal Ekonomi & Ekonomi Syariah, 2(1). https://doi.org/https://doi.org/10.36778/jesya.v2i1.35
Chotib, E., & Huda, N. (2019). Analisis Pengaruh Variabel Ekonomi Makro terhadap Indeks Saham Syariah Indonesia ( ISSI ) periode 2016 – 2019. Journal of Economics and Business Aseanomics ( JEBA ), 4(1), 1–20.
Desvina, A. P., & Lubis, P. S. (2019). Pendekatan VECM untuk Menganalisis Hubungan IHSG , BI Rate , Kurs ( USD / IDR ), dan Jumlah Uang yang Beredar ( M2 ). Jurnal Sains Matematika Dan Statistika, 5(1), 107–119.
Dornbusch, R., Fischer, S., & Starz, R. (2008). Makro Ekonomi (S. Roy Indra Mirazudin, ed.). Jakarta: PT Media Global Edukasi.
Easterly, W., & Schmidt-Hebbel, K. (1993). FISCAL DEFJCITS AND MACROECONOMIC PERFORMANCE IN DEVELOPING COUNTRIES. The World Bank Research Observe, 8(2), 211–237. https://doi.org/https://doi.org/10.1093/wbro/8.2.211
Fahmi, I. (2012). Pengantar Pasar Modal. Bandung: Alfabeta.
Fred, W. J., & F.Eugene, B. (1994). Essentiol of Managerial Finance (10th ed.). New York: The Dryden Press.
Gujarati, D. N., & Porter, D. C. (2009). Basic Econometrics (5th ed.). McGraw-Hill.
Halim, S., & Chandra, A. (2011). Pemodelan Time Series Multivariat secara Automatis. Jurnal Teknik Industri, 13(1), 19–26.
Hamburger, M. J., & Zwick, B. (1981). DefJCIts, money and inflation. Journal of Monetary Economics Volume 7, Issue 1, 1981, Pages 141-150, 7(1), 141–150. https://doi.org/https://doi.org/10.1016/0304-3932(81)90057-X
Haryogo, A. (2013). Pengaruh Nilai Tukar dan Indeks Down Jones terhadap Composite Index di Bursa Efek Indonesia. FINESTA, 1(1).
Hasyim, A. I. (2017). EKONOMI MAKRO. Kencana.
Hendajany, N. (2015). Tingkat Inflasi, Suku Bunga Bank Indonesia, Jumlah Uang Beredar dan Kurs. Eko-Regional, 10(1), 39–47.
Hooker, M. A. (2004). Macroeconomic Factors and Emerging Market Equity Returns: A Bayesian Model Selection Approach. Emerging Markets Review, 5, 379‐387.
Ishaq, T., & Mohsin, H. M. (2015). DefJCIts and inflation; Are monetary and financial institutions worthy to consider or not? Borsa Istanbul Review, 15(3), 180–191. https://doi.org/10.1016/j.bir.2015.03.002
Janah, I. U., & Pujiati, A. (2018). Analisis Mekanisme Transmisi Kebijakan Moneter Jalur Ekspektasi dalam Mempengaruhi Inflasi di Indonesia. Economics Development Analysis Journal, 7(4), 384–394.
Krisna, A. A. G. A., & Wirawati, N. G. P. (2013). PENGARUH INFLASI, NILAI TUKAR RUPIAH, SUKU BUNGA SBI PADA INDEKS HARGA SAHAM GABUNGAN DI BEI. E-Jurnal Akuntansi Universitas Udayana, 3(2), 421–435.
Luwihadi, N. L. G. A., & Arka, S. (2017). Determinan Jumlah Uang Beredar dan Tingkat Inflasi di Indonesia Periode 1984-2014. E-Jurnal Ekonomi Pembangunan Universitas Udayana, 6(4).
Mankiw, N. G. (2007). Makroekonomi (6th ed.). Jakarta: Erlangga.
Manurung, A. H. (2008). Strategi Menangkan Transaksi Saham di Bursa. PT Elex Media Koputindo.
Mie, M., & Agustina. (2014). Analisis Pengaruh Indeks Harga Saham Gabungan Asing Terhadap Indeks Harga Saham Gabungan Indonesia. Jurnal Wira Ekonomi Mikroskil, 4(2), 81–90. https://doi.org/10.55601/jwem.v4i2.216
Mishkin, F. S. (2010). 2010. Ekonomi Uang, Perbankan, dan Pasar Keuangan. Jakarta: Salemba Empat. Jakarta: Salemba Empat.
Natsir, M. N. (2018). Analisis Empiris Efektivitas Mekanisme Transmisi Kebijakan Moneter di Indonesia Melalui Jalur Ekspektasi Inflasi. EKUITAS (Jurnal Ekonomi Dan Keuangan), 13(3), 288–307.
Nisa, N. K., & Sukmana, R. (2017). ANALISIS PENGARUH VARIABEL – VARIABEL MAKROEKONOMI TERHADAP JAKARTA ISLAMJCINDEKS (JII) Periode 2007-2015. Jurnal Ekonomi Syariah Teori Dan Terapan, 4(6), 449–463.
Nofiatin, I. (2013). Hubungan Inflasi, Suku Bunga, Produk Domestik Bruto, Nilai Tukar, Jumlah Uang Beredar, dan Indeks Harga Saham Gabungan (IHSG) Periode 2005– 2011. Jurnal Aplikasi Manajemen, 11(2), 215–222.
Nugroho, H. (2008). ANALISIS PENGARUH INFLASI, SUKU BUNGA, KURS DAN JUMLAH UANG BEREDAR TERHADAP INDEKS LQ45. Diponegoro.
Pasaribu, R. B. F., & Firdaus, M. (2013). Analisis Pengaruh Variabel Makroekonomi Terhadap Indeks Saham Syariah Indonesia. Jurnal Ekonomi Dan Bisnis (JEB), 7(2), 117–132.
Prastowo, N. J. (2008). Dampak BI Rate Terhadap Pasar Keuangan: Mengukur Signifikansi Respon Instrumen Pasar Keuangan terhadap Kebijakan Moneter. Working Paper No.21. Bank Indonesia. Bank Indonesia.
Rusbariand, S. P., & Herawati, S. (2012). Analisis Pengaruh Tingkat Inflasi, Harga Minyak Dunia, Harga Emas Dunia, Dan Kurs Rupiah Terhadap Pergerakan Jakarta Islamic Index Di Bursa Efek Indonesia. Forum Bisnis & Keuangan, 1(1), 724–740.
Salim, J. (2010). Cara gampang bermain saham. Transmedia Pustaka.
Salisu, A. A., Isah, K. ., Oyewole, O, J., & Akanni, L. (2017). Modelling oil price-inflation nexus: the role of asymemetries. Energy, 125, 97–106.
Samsul, M. (2006). PASAR MODAL DAN MANAJEMEN PORTOFOLIO. Erlangga.
Sembiring, M. (2016). Analisis Vector Autoregresion (VAR) Terhadap Interrelationship Antara IPM Dan Pertumbuhan Ekonomi Di Sumatera Utara.
EKONOMIKAWAN: Jurnal Ilmu Ekonomi Dan Studi Pembangunan, 16(2), 114–123. https://doi.org/10.30596/ekonomikawan.v16i2.939
Suciningtias, S. A., & Khoiroh, R. (2013). Analisis Dampak Variabel Makro Ekonomi Terhadap Indeks Saham Syariah Indonesia. Conference in Business, Accounting, and Management, 2(1), 398–412.
Sulistiana, I. (2017). Model Vector Auto Regression (Var) and Vector Error Correction Model (Vecm) Approach for Inflation Relations Analysis, Gross Regional Domestic Product (Gdp), World Tin Price, Bi Rate and Rupiah Exchange Rate. Integrated Journal of Business and Economics, 1(2), 17–32. https://doi.org/https://doi.org/10.5281/zenodo.1147673
Tandelilin, E. (2010). Portofolio dan Investasi Teori dan Aplikasi (1st ed.). Yogyakarta: Kanisius.
Tangjitprom, N. (2012). The Review of Macroeconomic Factor and Stock Return. International Bussines Research, 5(8).
Tanuwidjaya, W. (2008). Siasat Investasi Cerdik: Bagi Investor Pemula. MedPres.
Wang, X., Huang, Q., & Zhang, S. (2023). Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method. The North American Journal of Economics and Finance, 67. https://doi.org/https://doi.org/10.1016/j.najef.2023.101939
Widoatmodjo, S. (2015). Pengetahuan Pasar Modal untuk Konteks Indonesia. PT. Elex Media Komputindo.
Wildauer, R., Kohler, K., Aboobaker, A., & Guschanski, A. (2023). Energy price shocks , conflict inflation , and income distribution in a three-sector model ✩. Energy Economics, 127(PB), 106982. https://doi.org/10.1016/j.eneco.2023.106982
Yıldırım, D. (2017). Empirical investigation of purchasing power parity for Turkey: Evidence from recent nonlinear unit root tests. Central Bank Review, 17(2), 39–45. https://doi.org/10.1016/j.cbrev.2017.03.001
Published
2024-02-19
How to Cite
AFRIZAL, Afrizal.
Analysis of Macroeconomic Variables on the Existence of Inflation in Indonesia Using the Vector Error Correction Model Approach.
Jurnal Ekonomi Kuantitatif Terapan, [S.l.], v. 17, n. 1, p. 9-35, feb. 2024.
ISSN 2303-0186.
Available at: <https://ojs.unud.ac.id/index.php/jekt/article/view/108735>. Date accessed: 28 apr. 2024.
doi: https://doi.org/10.24843/JEKT.2024.v17.i01.p02.
Section
Articles
Certificate
