Akaike Information Criteria. Best Linear Unbiased Estimator. Census and Economic Information Centre. Durbin Watson statistics

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1 DAFTAR ISTILAH ADF AIC BLUE BOP CAD CEIC CF DW EO FDI FEDV FPE GDP HQ IED IFS IHSG IOR IRF IRP IRU LM LR NFDI Augmented Dicky Fuller Statistic Akaike Information Criteria Best Linear Unbiased Estimator Balance of Payment Current Account Deficit Census and Economic Information Centre Capital Flight Durbin Watson statistics Error and Omissions Foreign Direct Investment Forecast Error Decomposition of Variance Final Prediction Error Gross Domestic Product Hannan Quinn Increase in External Debt International Financial Statistic Indeks Harga Saham Gabungan Increase in Official Reserves Impulse Response Function Interest Rate Parity Investor Relation Unit Langrange Multiplier Likelihood Ratio Net Foreign Direct Investment

2 OLS OSC PDB PPP RAC REER SBI SEKI SIC VAR VD VECM Ordinary Least Squares Other Short term Capital Produk Domestik Bruto Purchasing Power Parity Reserves Asset Change Real Effective Exchange Rate Sertifikat Bank Indonesia Statistik Ekonomi Keuangan Indonesia Schwartz Information Criteria Vector Auto Regression Variance Decomposition Vector Error Correction Model

3 LAMPIRAN 1 H al

4 Periode Debt change LAMPIRAN 1. PERHITUNGAN CAPITAL FLIGHT Foreign Direct Investment Current Account Deficit Reserves Assets Change Sources of funds Uses of Funds Capital Flight DEBT FDI CAD RAC SoF UoF CF 1996 Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Sumber : Statistik Moneter dan Statistik Eksternal Bank Indonesia, Neraca Pembayaran (diolah) 2 H al

5 Lampiran 2.1. Data Penelitian Periode Capital Flight GDP Nominal Rasio Capital Flight thd GDPNominal LAMPIRAN 2. ANALISIS MODEL OLS Hutang Pemerintah CF GDPNOM CFRATIO GOVDEBT Rasio GovDebt thd GDPNominal GOVDEBT RATIO Nilai Tukar Efektif Riil Rp thd $ Foreign Disparitas Pertumbuh Dummy Sovereign Fed Fund Direct SBI 1 bln Suku an Rating Indonesia Rate Investment, Bunga (2000=100) (S&P) Net REER SBI FED RATE DINT GROWTH FDI RATING_ NAME DRATING Dummy Krisis Ekonomi dan Kondisi 1996 Q BBB Q BBB Q BBB Q BBB Q BBB Q BBB Q BBB Q BB Q B Q B Q CCC Q CCC Q SD Q SD Q CCC Q CCC Q CCC Q CCC Q CCC Q B Q CCC Q CCC Q CCC Q CCC Q SD Q SD Q SD Q CCC Q B Q B Q B Q B Q B Q B Q B Q B Q B Q B Q B Q B Q BB Q BB Q BB Q BB Q BB Q BB Q BB Q BB Q BB Q BB Q BB Q BB Q BB- 0 0 Sumber : Statistik Moneter dan Statistik Eksternal Bank Indonesia, IRU, CEIC, IFS (diolah) Politik DKPE 3 H al

6 Lampiran 2.2. Uji akar-akar unit Null Hypothesis: CFRATIO has a unit root Lag Length: 0 (Automatic based on SIC, MAXLAG=10) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Null Hypothesis: CFRATIO(-1) has a unit root Lag Length: 0 (Automatic based on SIC, MAXLAG=10) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Null Hypothesis: DINT has a unit root Lag Length: 10 (Automatic based on SIC, MAXLAG=10) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level H al

7 Null Hypothesis: FDI has a unit root Lag Length: 0 (Automatic based on SIC, MAXLAG=10) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Null Hypothesis: GOVDEBTRATIO has a unit root Lag Length: 4 (Automatic based on SIC, MAXLAG=10) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Null Hypothesis: D(GOVDEBTRATIO) has a unit root Lag Length: 4 (Automatic based on SIC, MAXLAG=10) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level H al

8 Null Hypothesis: GROWTH has a unit root Lag Length: 3 (Automatic based on SIC, MAXLAG=10) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Null Hypothesis: D(GROWTH) has a unit root Lag Length: 2 (Automatic based on SIC, MAXLAG=10) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level H al

9 Null Hypothesis: REER has a unit root Lag Length: 0 (Automatic based on SIC, MAXLAG=10) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Null Hypothesis: D(REER) has a unit root Lag Length: 0 (Automatic based on SIC, MAXLAG=10) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level H al

10 Lampiran 2.3. Hasil Estimasi Model OLS Dependent Variable: CFRATIO Method: Least Squares Date: 07/08/10 Time: 16:44 Sample (adjusted): 1996:2 2009:1 Included observations: 52 after adjustments Variable Coefficient Std. Error t-statistic Prob. C CFRATIO(-1) DINT FDI 6.90E E D(GOVDEBTRATIO) D(GROWTH) D(REER) DRATING DKPE R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic) Estimation Command: ===================== LS CFRATIO C CFRATIO(-1) DINT FDI D(GOVDEBTRATIO) D(GROWTH) D(REER) DRATING DKPE Estimation Equation: ===================== CFRATIO = C(1) + C(2)*CFRATIO(-1) + C(3)*DINT + C(4)*FDI + C(5)*D(GOVDEBTRATIO) + C(6)*D(GROWTH) + C(7)*D(REER) + C(8)*DRATING + C(9)*DKPE Substituted Coefficients: ===================== CFRATIO = *CFRATIO(-1) *DINT e-006*FDI *D(GOVDEBTRATIO) *D(GROWTH) *D(REER) *DRATING *DKPE 8 H al

11 Lampiran 2.4. Uji Asumsi Multikolinearitas Correlation Matrix CFRATIO DINT FDI D(GOVDEBT RATIO) D(GROWTH) D(REER) DRATING DKPE CFRATIO DINT FDI D(GOVDEBT RATIO) D(GROWTH) D(REER) DRATING DKPE Lampiran 2.5. Uji Asumsi Autokorelasi Breusch-Godfrey Serial Correlation LM Test: F-statistic Prob. F(2,41) Obs*R-squared Prob. Chi-Square(2) Lampiran 2.6. Uji Asumsi Heteroskedastisitas White Heteroskedasticity Test: F-statistic Prob. F(40,11) Obs*R-squared Prob. Chi-Square(40) H al

12 Lampiran 3.1. Data Penelitian Periode LAMPIRAN 3. ANALISIS MODEL VAR/VECM Rasio Capital Flight thd GDPNominal Nilai Tukar Efektif Riil Rp thd $ SBI 1 bln Pertumbuhan (2000=100) CFRATIO REER SBI GROWTH 1996 Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Sumber : Statistik Moneter dan Statistik Eksternal Bank Indonesia, CEIC, IFS (diolah) 10 H al

13 Lampiran 3.2. Uji Akar-Akar Unit A. Uji akar unit pada level Null Hypothesis: CFRATIO has a unit root Lag Length: 0 (Automatic based on SIC, MAXLAG=10) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Null Hypothesis: REER has a unit root Lag Length: 0 (Automatic based on SIC, MAXLAG=10) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Null Hypothesis: SBI has a unit root Lag Length: 10 (Automatic based on SIC, MAXLAG=10) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level H al

14 Null Hypothesis: GROWTH has a unit root Lag Length: 3 (Automatic based on SIC, MAXLAG=10) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level B. Uji akar unit pada first difference Null Hypothesis: D(CFRATIO) has a unit root Lag Length: 1 (Automatic based on SIC, MAXLAG=10) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Null Hypothesis: D(REER) has a unit root Lag Length: 0 (Automatic based on SIC, MAXLAG=10) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level H al

15 Null Hypothesis: D(SBI) has a unit root Lag Length: 4 (Automatic based on SIC, MAXLAG=10) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level Null Hypothesis: D(GROWTH) has a unit root Lag Length: 2 (Automatic based on SIC, MAXLAG=10) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level H al

16 Lampiran 3.3. Uji Kausalitas Granger Pairwise Granger Causality Tests Date: 07/10/10 Time: 22:24 Sample: 1996:1 2009:1 Lags: 4 Null Hypothesis: Obs F-Statistic Probability REER does not Granger Cause CFRATIO CFRATIO does not Granger Cause REER SBI does not Granger Cause CFRATIO CFRATIO does not Granger Cause SBI E-06 GROWTH does not Granger Cause CFRATIO CFRATIO does not Granger Cause GROWTH E-08 SBI does not Granger Cause REER REER does not Granger Cause SBI GROWTH does not Granger Cause REER REER does not Granger Cause GROWTH E-07 GROWTH does not Granger Cause SBI SBI does not Granger Cause GROWTH E-08 Keterkaitan Antar Variabel (Uji Kausalitas Granger) CFRatio α 0.01 α 0.01 α 0.05 REER Growth α 0.01 SBI 14 H al

17 Lampiran 3.4. Stabilitas Sistem VAR Roots of Characteristic Polynomial Endogenous variables: D(CFRATIO) D(REER) D(SBI) D(GROWTH) Exogenous variables: C Lag specification: 1 4 Date: 07/10/10 Time: 08:00 Root Modulus i i i i i i i i i i i i No root lies outside the unit circle. VAR satisfies the stability condition. 15 H al

18 Lampiran 3.5. Penentuan Selang (Lag) Optimal VAR Lag Order Selection Criteria Endogenous variables: D(CFRATIO) D(REER) D(SBI) D(GROWTH) Exogenous variables: C Date: 07/10/10 Time: 07:56 Sample: 1996:1 2009:1 Included observations: 48 Lag LogL LR FPE AIC SC HQ NA * * * * * * indicates lag order selected by the criterion LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion 16 H al

19 Lampiran 3.6. Uji Kointegrasi Johansen Date: 07/10/10 Time: 22:00 Sample (adjusted): 1997:3 2009:1 Included observations: 47 after adjustments Trend assumption: Linear deterministic trend Series: D(CFRATIO) D(REER) D(SBI) D(GROWTH) Lags interval (in first differences): 1 to 4 Unrestricted Cointegration Rank Test (Trace) Hypothesized Trace 0.05 No. of CE(s) Eigenvalue Statistic Critical Value Prob.** None * At most 1 * At most At most 3 * Trace test indicates 2 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized Max-Eigen 0.05 No. of CE(s) Eigenvalue Statistic Critical Value Prob.** None * At most 1 * At most At most 3 * Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegrating Coefficients (normalized by b'*s11*b=i): D(CFRATIO) D(REER) D(SBI) D(GROWTH) H al

20 Lanjutan Unrestricted Adjustment Coefficients (alpha): D(CFRATIO,2) D(REER,2) D(SBI,2) D(GROWTH,2) Cointegrating Equation(s): Log likelihood Normalized cointegrating coefficients (standard error in parentheses) D(CFRATIO) D(REER) D(SBI) D(GROWTH) ( ) ( ) ( ) Adjustment coefficients (standard error in parentheses) D(CFRATIO,2) ( ) D(REER,2) ( ) D(SBI,2) ( ) D(GROWTH,2) ( ) 2 Cointegrating Equation(s): Log likelihood Normalized cointegrating coefficients (standard error in parentheses) D(CFRATIO) D(REER) D(SBI) D(GROWTH) ( ) ( ) ( ) ( ) Adjustment coefficients (standard error in parentheses) D(CFRATIO,2) ( ) ( ) D(REER,2) ( ) ( ) D(SBI,2) ( ) ( ) D(GROWTH,2) ( ) ( ) 3 Cointegrating Equation(s): Log likelihood Normalized cointegrating coefficients (standard error in parentheses) 18 H al

21 Lanjutan D(CFRATIO) D(REER) D(SBI) D(GROWTH) ( ) ( ) ( ) Adjustment coefficients (standard error in parentheses) D(CFRATIO,2) ( ) ( ) ( ) D(REER,2) ( ) ( ) ( ) D(SBI,2) ( ) ( ) ( ) D(GROWTH,2) ( ) ( ) ( ) Lampiran 3.7. Bentuk Urutan Variabel (Ordering) Residual Correlation Matrix CFRATIO REER SBI GROWTH CFRATIO REER SBI GROWTH H al

22 Lampiran 3.8. Hasil Estimasi VAR/VECM Vector Error Correction Estimates Date: 07/11/10 Time: 04:41 Sample (adjusted): 1997:2 2009:1 Included observations: 48 after adjustments Standard errors in ( ) & t-statistics in [ ] Cointegrating Eq: CointEq1 CointEq2 CointEq3 CFRATIO(-1) REER(-1) SBI(-1) GROWTH(-1) ( ) ( ) ( ) [ ] [ ] [ ] C Error Correction: D(CFRATIO) D(REER) D(SBI) D(GROWTH) CointEq ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] CointEq ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] CointEq ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] D(CFRATIO(-1)) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] D(CFRATIO(-2)) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] D(CFRATIO(-3)) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] 20 H al

23 Lanjutan D(CFRATIO(-4)) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] D(REER(-1)) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] D(REER(-2)) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] D(REER(-3)) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] D(REER(-4)) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] D(SBI(-1)) -8.03E ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] D(SBI(-2)) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] D(SBI(-3)) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] D(SBI(-4)) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] D(GROWTH(-1)) 4.19E ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] D(GROWTH(-2)) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] D(GROWTH(-3)) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] 21 H al

24 Lanjutan D(GROWTH(-4)) ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] C ( ) ( ) ( ) ( ) [ ] [ ] [ ] [ ] R-squared Adj. R-squared Sum sq. resids S.E. equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D. dependent Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion Schwarz criterion H al

25 Lampiran 3.9. Uji Heteroskedastisitas Sistem VAR VAR Residual Heteroskedasticity Tests: No Cross Terms (only levels and squares) Date: 07/10/11 Time: 04:50 Sample: 1996:1 2009:1 Included observations: 49 Joint test: Chi-sq df Prob Individual components: Dependent R-squared F(32,16) Prob. Chi-sq(32) Prob. res1*res res2*res res3*res res4*res res2*res res3*res res3*res res4*res res4*res res4*res H al

26 Lampiran Uji Autokorelasi Sistem VAR VAR Residual Serial Correlation LM Tests H0: no serial correlation at lag order h Date: 07/10/11 Time: 04:52 Sample: 1996:1 2009:1 Included observations: 49 Lags LM-Stat Prob Probs from chi-square with 16 df. 24 H al

27 Lampiran Impulse Response Function A. Respon Variabel Makroekonomi Indonesia terhadap Shock CFRatio Response to Cholesky One S.D. Innovations ± 2 S.E. Response of CFRATIO to CFRATIO (a) Response of REER to CFRATIO (b) Response of SBI to CFRATIO 3 Response of GROWTH to CFRATIO (c) (d) B. Respon CFRatio terhadap Shock Variabel Makroekonomi Indonesia Response to Cholesky One S.D. Innovations ± 2 S.E. Response of CFRATIO to CFRATIO (a) Response of CFRATIO to REER (b) Response of CFRATIO to SBI (c) Response of CFRATIO to GROWTH (d) 25 H al

28 Response of Response of Response of CFRATIO: REER : SBI : Period CFRATIO REER SBI GROWTH CFRATIO Response of Growth : E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E E Cholesky Ordering: CFRATIO REER SBI GROWTH 26 H al

29 Lampiran Variance Decomposition 100 Variance Decomposition of CFRATIO *) 90 Variance Decomposition of REER CFRATIO REER SBI GROWTH CFRATIO REER SBI GROWTH 70 Variance Decomposition of SBI 70 Variance Decomposition of GROWTH CFRATIO REER SBI GROWTH CFRATIO REER SBI GROWTH 27 H al

30 Variance Decomposition of CFRATIO *) Period S.E. CFRATIO REER SBI GROWTH Cholesky Ordering: CFRATIO REER SBI GROWTH 28 H al