PEMODELAN EKONOMETRIK VARIABEL-VARIABEL EKONOMI DAN JAKARTA ISLAMIC INDEX: VECTOR ERROR CORRECTION MECHANISM

Astuti, Septin Puji (2010) PEMODELAN EKONOMETRIK VARIABEL-VARIABEL EKONOMI DAN JAKARTA ISLAMIC INDEX: VECTOR ERROR CORRECTION MECHANISM. Syirkah Jurnal Ekonomi Islam, 5 (1). pp. 1-23. ISSN 1978-0079

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Abstract

Inflation, money supply, exchange rate, interest rate, and Stock Price Index are economic indicators of the country. In this research, Shariah Stock Index, namely Jakarta Islamic Index (JII) was used to figure the shariah economic situation in Indonesia. Vector Error Correction Mechanism (VECM) is applied to figure the relationship among those variables. This methods has been numerously used by researchers because its ability to overcome the cointegration problems within model. Numerous VECM models were developed to create appropriate model that figures the relationship among those economic variables. The result of this research is that money supply did not have significant relationship among other economic variables, because it creates singular matrix that are not allowed to be involved in the time series model. Moreover, based on VECM model, difference in inflation, exchange rate, interest rate and JII will significantly affect interest rate after 21 mounths.

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