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MENGUKUR SPILLOVER GLOBAL KE
INDONESIA:
PENDEKATAN FAVAR
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∆𝑅𝑖,𝑡 = 𝛼𝑖,𝑡 + 𝛽𝑖,𝑡∆𝑅𝑏,𝑡 + 𝜀𝑖,𝑡
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Δ ‐
𝐽𝐶𝐼 = 𝑓[𝐷𝐽𝐼𝐴, 𝐸𝑎𝑟𝑛𝑖𝑛𝑔 𝑌𝑖𝑒𝑙𝑑, 𝐷𝑜𝑚𝑒𝑠𝑡𝑖𝑘 𝐶𝑟𝑒𝑑𝑖𝑡, 𝐼𝑛𝑑𝑢𝑠𝑡𝑟𝑖𝑎𝑙 𝑃𝑟𝑜𝑑𝑢𝑐𝑡𝑖𝑜𝑛, 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝐹𝑙𝑜𝑤𝑠]
𝐶𝐷𝑆 = 𝑓[𝐷(𝐼𝐶𝑅𝐺), 𝑉𝑜𝑙𝑎𝑡𝑖𝑙𝑖𝑡𝑦_𝐼𝐻𝑆𝐺, 𝐷(𝐶𝐴𝐷𝐸𝑉), 𝐷(𝐼𝐷𝑅)]
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𝑝𝑑𝑏𝑖𝑛𝑑 = 𝛼 + 𝛽1. 𝑥𝑞𝑠 + 𝛽2. 𝑅 + 𝛽3. 𝑐𝑓𝑙𝑜𝑤 + 𝛽4. 𝑣𝑖𝑥 + 𝛽5. 𝑔𝑑𝑝𝑢𝑠 + 𝜀
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{∆𝑌𝑡∗ , 𝜋𝑡
∗, ∆𝑀𝑡∗ , 𝑅𝑡
∗}
∆𝑌𝑡∗, 𝜋𝑡
∗, ∆𝑀𝑡∗ , 𝑅𝑡
∗
Λ𝐹
Λ𝐹
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𝑁
𝑋𝑡 𝑁𝑥1 𝑡 = 1,2, … , 𝑇.
𝑋𝑖𝑡 =
[𝑋1𝑡 , … , 𝑋𝑁𝑡]′ 𝑡 = 1,2, … , 𝑇
𝑋𝑖𝑡 = λ𝑖(L)𝑓𝑡 + 𝑒𝑖𝑡 … . . (6)
𝑓𝑡 𝑞𝑥1 (𝑞 ≪ 𝑁)
𝑋𝑖𝑡 λ𝑖(𝐿) = λ𝑖0 + λ𝑖1𝐿 + λ𝑖2𝐿2 + ⋯ + λ𝑖𝑝𝐿𝑝 e𝑡 = [𝑒1𝑡, … , 𝑒𝑁𝑡]′
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𝑋𝑡 = Λ𝐹𝑡 + 𝑒𝑡 … . . (7)
𝐹𝑡 = [𝑓𝑡′, 𝑓𝑡−1
′ , … , 𝑓𝑡−𝑝′ ]
′𝑟𝑥1 𝑟 = (𝑝 + 1)𝑥𝑞
𝑋𝑡
𝑁𝑥𝑟 Λ = [λ0, λ1, … , λ𝑝]
𝑋𝑡
𝐹𝑡
𝑋𝑡
𝑇𝑥𝑇
c
𝐹𝑡 Λ
𝐹�̂�
𝑉𝑁,𝑇(𝐹, Λ) = (𝑁𝑇)−1 ∑ ∑ (𝑋𝑖𝑡 − Λ𝑖𝑁𝑖=1 𝐹𝑡)2𝑁
𝑖−1
𝐹𝑡 [𝐹1, … , 𝐹𝑡 , … , 𝐹𝑇]′ Λ𝑖 Λ
𝑘
𝐹 ̂ = [�̂�1, … , �̂�𝑡 , … , �̂�𝑇]′ 𝑘 𝑘
𝑇𝑥𝑇
𝑥�̂� Λ̂ F�̂�
𝑒�̂� 𝑋𝑡 − 𝑥�̂�
𝐼𝐶2(𝑘)
𝐼𝐶2(𝑘) = 𝑙𝑛 (𝑉𝑁,𝑇(�̂�(𝑘), Λ̂(𝑘))) + 𝑘 (𝑁 + 𝑇
𝑁𝑇) ln(𝑚𝑖𝑛{𝑁, 𝑇}) … . . (9)
𝑉𝑁,𝑇(�̂�(𝑘), Λ̂(𝑘)) 𝑘
𝑁 𝑇
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𝑋𝑡 𝑁𝑥1 𝑌𝑡 𝑀𝑥1
𝑋𝑡 𝐹𝑡
𝐾𝑥1 𝑋𝑡
(𝐹𝑡 , 𝑌𝑡)
[𝐹𝑡
𝑌𝑡] Φ∗(𝐿) [
𝐹𝑡−1
𝑌𝑡−1] + 𝑣𝑡 , ↔ Φ(L) [
𝐹𝑡
𝑌𝑡] = 𝑣𝑡
Φ(L) = 𝐼 − Φ∗(𝐿)𝐿 = 𝐼 − Φ1𝐿 − ⋯ − Φ𝑑𝐿𝑑
𝐿 Φ𝑗(𝑗 = 1, … , 𝑑) 𝑣𝑡
𝑄
𝑋𝑡 𝑌𝑡 𝐹𝑡
Xt= Λf Ft + Λ𝑦Yt + et
Λf 𝑁𝑥𝐾 Λy
𝑁𝑥𝑀 et 𝑁𝑥1
𝑋𝑡 𝐹𝑡
𝑀 + 𝑘 ≪ 𝑁
𝑋𝑡 𝐶(𝐹𝑡 , 𝑌𝑡)
𝐶(𝐹𝑡 , 𝑌𝑡) 𝑀 + 𝑘 𝑋𝑡
𝐹𝑡 �̂�𝑡
vt
𝑁
𝑋𝑡 �̂�(𝐹𝑡, 𝑌𝑡) 𝑀 + 𝑘
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𝐹𝑡 𝑌𝑡
𝑌𝑡
�̂�(𝐹𝑡 , 𝑌𝑡)
𝑌𝑡 �̂�(𝐹𝑡, 𝑌𝑡) 𝑌𝑡
�̂�𝑡 �̂�(𝐹𝑡 , 𝑌𝑡),
𝑌𝑡 𝐹𝑡 𝑌𝑡
𝑌𝑡 �̂�(𝐹𝑡 , 𝑌𝑡)
𝑋𝑡
𝑌𝑡
𝑌𝑡
𝐶∗(̂𝐹𝑡)
𝑌𝑡
�̂�(𝐹𝑡 , 𝑌𝑡) = 𝑎𝐶∗(̂𝐹𝑡) + 𝑏𝑌𝑡 + 𝑢𝑡 … . . (12)
�̂�𝑡 �̂�(𝐹𝑡 , 𝑌𝑡) − 𝑏𝑌𝑡
𝑌𝑡
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2 Jumlah variabel disesuaikan dengan kelengkapan data pada periode yang bersangkutan.
*) Variabel slow moving
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0 48-0.1
0
0.1
FFR
0 48-5
0
5x 10
-3 Indonesia Y
0 48-5
0
5x 10
-3Indonesia DP
0 48-5
0
5
10x 10
-3Indonesia EP
0 48-0.1
0
0.1
Indonesia R
0 48-10
-5
0
5x 10
-3 Brazil Y
0 48-0.01
0
0.01
0.02
Brazil DP
0 48-5
0
5x 10
-3 Brazil EP
0 48-0.02
0
0.02
0.04
Brazil R
0 48-10
-5
0
5x 10
-3 India Y
0 48-5
0
5
10x 10
-3 India DP
0 48-5
0
5
10x 10
-3 India EP
0 48-0.1
0
0.1
India R
31
0 48-0.1
0
0.1
USGBY
0 48-10
-5
0
5x 10
-3 Indonesia Y
0 48-0.01
0
0.01
Indonesia DP
0 48-5
0
5
10x 10
-3Indonesia EP
0 48-0.1
0
0.1
Indonesia R
0 48-10
-5
0
5x 10
-3 Brazil Y
0 48-0.02
0
0.02
0.04
Brazil DP
0 48-5
0
5
10x 10
-3 Brazil EP
0 48-0.05
0
0.05
Brazil R
0 48-10
-5
0
5x 10
-3 India Y
0 48-5
0
5
10x 10
-3 India DP
0 48-0.01
0
0.01
0.02
India EP
0 48-0.05
0
0.05
India R
32
0 480
0.005
0.01
USGDP
0 48-2
0
2
4x 10
-3 Indonesia Y
0 48-2
0
2x 10
-3Indonesia DP
0 48-2
0
2x 10
-3Indonesia EP
0 48-0.1
0
0.1
Indonesia R
0 48-4
-2
0
2x 10
-3 Brazil Y
0 48-5
0
5x 10
-3 Brazil DP
0 48-2
0
2x 10
-3 Brazil EP
0 48-0.1
0
0.1
Brazil R
0 48-2
0
2
4x 10
-3 India Y
0 48-2
0
2
4x 10
-3 India DP
0 48-5
0
5x 10
-3 India EP
0 48-0.1
0
0.1
India R
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0 480
0.02
0.04
Oil
0 48-0.02
-0.01
0
0.01
Indonesia Y
0 48-0.02
0
0.02
Indonesia DP
0 48-0.02
-0.01
0
0.01
Indonesia EP
0 48-0.5
0
0.5
Indonesia R
0 48-0.02
0
0.02
0.04
Brazil Y
0 48-0.06
-0.04
-0.02
0
Brazil DP
0 48-0.02
-0.01
0
0.01
Brazil EP
0 48-0.5
0
0.5
Brazil R
0 48-0.02
0
0.02
0.04
India Y
0 48-0.04
-0.02
0
0.02
India DP
0 48-0.04
-0.02
0
0.02
India EP
0 48-0.5
0
0.5
India R
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0 480
0.05
0.1
Coal
0 48-0.05
0
0.05
Indonesia Y
0 48-0.05
0
0.05
Indonesia DP
0 48-0.05
0
0.05
Indonesia EP
0 48-1
-0.5
0
0.5
Indonesia R
0 48-0.02
0
0.02
0.04
Brazil Y
0 48-0.2
-0.1
0
Brazil DP
0 48-0.05
0
0.05
Brazil EP
0 48-1
-0.5
0
0.5
Brazil R
0 48-0.05
0
0.05
India Y
0 48-0.05
0
0.05
India DP
0 48-0.1
0
0.1
India EP
0 48-1
-0.5
0
0.5
India R
35
0 480
0.02
0.04
CPO
0 48-0.01
0
0.01
0.02
Indonesia Y
0 48-0.01
0
0.01
0.02
Indonesia DP
0 48-0.02
0
0.02
Indonesia EP
0 48-0.5
0
0.5
Indonesia R
0 48-0.01
0
0.01
0.02
Brazil Y
0 48-0.04
-0.02
0
0.02
Brazil DP
0 48-0.02
-0.01
0
0.01
Brazil EP
0 48-0.5
0
0.5
Brazil R
0 48-0.01
0
0.01
0.02
India Y
0 48-0.01
0
0.01
0.02
India DP
0 48-0.02
-0.01
0
0.01
India EP
0 48-1
-0.5
0
0.5
India R
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