Pembangunan Keuangan dan Pertumbuhan Ekonomi: Studi Kasus Indonesia

Pihri Buhaerah

Abstract

Abstract

This paper examines empirically the linkage of financial development and economic growth in Indonesia by using time series analysis for the period of 2001Q4-2016Q2. To achieve the objective of this study, data was collected from secondary sources and employed various time series econometric procedures such as Dickey Fuller-Generalized Least Square (DF-GLS) test, Granger Causality test, Engle Granger-Augmented Dickey Fuller (EG-ADF) cointegration test, and Error-Correction Method (ECM). The cointegration test shows that there is a long run relationship cointegrated between selected financial development indicators and economic growth. Surprisingly, in the short run, total credit to the private non-financial sector has a negative effect on economic growth in Indonesia. Furthermore,Granger causality test based on error-correction model indicates that only money market rate, stock prices, and total credit to households have a causal relationship with economic growth.

 

Abstrak

Makalah ini membahas secara empiris pertautan antara pembangunan keuangan dan pertumbuhan ekonomi di Indonesia dengan menggunakan analisis runtun waktu untuk periode 2001Q4-2016Q2. Untuk mencapai tujuan penelitian ini, data yang dikumpulkan berasal dari dari  beragam sumber data  sekunder dan melibatkan berbagai prosedur ekonometrika runtun waktu seperti Dickey Fuller-Generalized Least Square (DF-GLS), uji Kausalitas Granger, uji kointegrasi Engle Granger-Augmented Dickey Fuller (EG-ADF), dan error-Correction Method (ECM). Hasil uji kointegrasi menunjukkan bahwa terdapat hubungan jangka panjang antara indikator pembangunan keuangan yang terpilih dan pertumbuhan ekonomi. Yang mengejutkan, dalam jangka pendek, total kredit ke sektor swasta non-keuangan memiliki efek negatif pada pertumbuhan ekonomi di Indonesia. Selanjutnya, uji kausalitas Granger berdasarkan model koreksi kesalahan menunjukkan bahwa hanya suku bunga pasar uang, harga saham, dan jumlah kredit untuk rumah tangga yang memiliki hubungan kausalitas dengan pertumbuhan ekonomi.


Keywords


financial development, economic growth, time series analysis

Full Text:

PDF

References


Daftar Pustaka

Arestis, P., Chortareas, G., & Magkonis, G. (2015). The Financial Development and Growth Nexus: A Meta-Analysis. Journal of Economic Surveys, Vol. 29, No.3, hal. 549-565.

Arestis, P., Luintel, A.D., & Luintel, K.B. (2010). Financial Structure and Economic Growth: Evidence from Time Series Analyses. Journal of Applied Financial Economics, Vol.2), hal. 1479-1492.

Arestis, P., & Demetriades, P. (1997). Financial Development and Economic Growth: Assessing the Evidence. The Economic Journal, Vol. 107, hal. 783-799.

Bagehot, W. (1873), Lombard Street: A Description of the Money Market, Diakses pada Desember 2016, dari http://oll.libertyfund.org/titles/bagehot-lombard-street-a-description-of-the-money-market.

Bank for International Settlements. (2016). BIS Statistics. Diakses pada Desember 2016, dari http://www.bis.org/statistics/index.htm?m=6%7C37.

Beck, T., Demirguc-Kunt, A., & Levine, R. (2005. Finance, Firm Size, and Growth. World Bank Policy Research Working Paper No.3485.

Chinaemerem, O.C., & Chigbu, E.E. (2012). An Evaluation of Financial Development and Economic Growth of Nigeria: A Causality Test. Kuwait Chapter of Arabian Journal of Business and Management Review, Vol. 1, No.10.

Demetriades, P.O., & Hussein, K.A. (1996). Does Financial Development Cause Economic Growth? Time-Series Evidence from 16 Countries. Journal of Development Economics, Vol. 51, hal. 387-411.

Ekananda, M. (2016). Analisis Ekonometrika Time Series. Edisi Kedua. Mitra Wacana Media.

Gujarati, D.N. (2004). Basic Econometrics. 4th ed. McGraw-Hill Companies.

International Monetary Fund. (2016). International Financial Statistics (IFS). Diakses pada Desember 2016, dari http://data.imf.org/?sk=5DABAFF2-C5AD-4D27-A175-1253419C02D1&ss=1390030341854.

Ivanov, V., & Killian, L. (2005). A Practitioner’s Guide to Lag Order Selection for VAR Impulse Response Analysis. Econometrics, Vol.9, Issue 1.

Yahoo Finance. (2016). Jakarta Composite Index (JKSE). Diakses pada Desember 2016, dari http://finance.yahoo.com/quote/%5EJKSE/history?p=%5EJKSE.

Khan, M.S., & Senhadji, A.S. (2004). Financial Development and Economic Growth: An Overview. IMF Working Paper WP/00/209.

King, R.G., & Levine, R. (1993). Finance and Growth: Schumpeter Might be Right. The Quarterly Journal of Economics, Vol. 108 No.3, hal. 717-737.

Levine, R. (1997). Financial Development and Economic Growth: Views and Agenda. Journal of Economic Literature, Vol. XXXV, hal. 688-726.

Levine, R. (2004). Finance and Growth: Theory and Evidence. Working Paper 10766. National Bureau of Economic Research (Cambridge, MA).

Levine, R., Loayza, N., & Beck, T. Financial Intermediation and Growth: Causality and Causes. Journal of Monetary Economics, Vol. 46, hal. 31-77.

Lucas Jr., R. E. (1988). On the Mechanics of Economic Development. Journal of Monetary Economics, Vol. 22, hal. 3 -42.

Nachrowi, N.D. (2006). Pendekatan Populer dan Praktis Ekonometrika untuk Analisis Ekonomi dan Keuangan. Lembaga Penerbit Fakultas Ekonomi Universitas Indonesia.

Rao, P.K. (2003). Development Finance. Springer, New York.

Spratt, S. (2009). Development Finance: Debates, Dogmas and New Directions. Routledge, London and New York.

Studentmund, A.H. (2016). Using Econometrics: A Practical Guide. 7th ed. Pearson. Boston.

Todaro, M.P., & Smith, S.C. (2012), Economic Development. 11th ed. Addison-Wesley, Boston.


Refbacks

  • There are currently no refbacks.


Copyright (c) 2017 Kajian Ekonomi dan Keuangan