EARLY WARNING SYSTEM KRISIS KEUANGAN DI INDONESIA PENDEKATAN PARAMETRIK

WAIBOT, Zulkifly (2012) EARLY WARNING SYSTEM KRISIS KEUANGAN DI INDONESIA PENDEKATAN PARAMETRIK. Masters thesis, Program Pascasarjana Undip.

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Abstract

Krisis adalah suatu kondisi dimana berbagai langkah pengendalian sudah tidak lagi mampu menahan gejolak pada sektor finansial, yang dapat berlanjut dengan kontraksi ekonomi secara keseluruhan. Meski tidak selalu berasal dari sektor finansial, namun sektor finansial selalu efektif menjadi “transmisi” yang dapat memunculkan gejolak dan krisis. Krisis finanasial sendiri umumnya ditandai dengan terjadinya depresiasi nilai tukar yang tajam. Berbagai kriteria dan metode digunakan untuk menilai, kapan sebuah depresiasi nilai tukar sudah melewati ambang yang ditoleransi, sehingga memunculkan krisis. Penelitian ini bertujuan untuk menemukan model Early Warning System krisis keuangan di Indonesia, dengan melihat apakah faktor fundamental ekonomi dan contagion effect dapat digunakan sebagai indikator awal untuk dapat mendeteksi terjadinya krisis keuangan. Krisis sebagai variabel dependen menggunakan Indeks Krisis, yang kemudian dirata-ratakan dan ditambah 1.5 standar deviasi sebagai ambang batas penentuan periode krisis. Sedangkan sistem pendeteksian dini menggunakan pendekatan ekonometrik model logit, yang kemudian dianalisa dengan teknik cut-off yakni membaginya kedalam periode simulasi atau didalam sampel dan periode ujicoba atau diluar sampel. Hasil penelitian menunjukkan model parametrik yang dikembangkan memiliki kinerja yang baik pada series bulanan, karena 3 dari 4 faktor fundamental ekonomi signifikan pada level 1% dan 10%, sedangkan contagion effect signifikan berpengaruh terhadap probabilitas krisis keuangan di Indonesia pada level 1%. Indikator kinerja model sangat baik dalam periode simulasi. Hal ini ditunjukkan dengan rendahnya nilai NSR yang sebesar 0,4. Nilai Quadratic Probability Score (QPS) mendekati 0, yang mencerminkan tingkat keakuratan peramalan krisis keuangan. Nilai Global Square Bias (GSB) juga mendekati 0, yang mencerminkan tingkat kalibrasi sempurna. Meski sedikit kurang memuaskan kinerja model pada periode ujicoba, namun model mampu menunjukkan adanya peningkatan probabilitas untuk krisis mini tahun 2001. Sedangkan pendeteksian dini atas meningkatnya probabilitas akan terjadinya krisis tahun 2008 dengan baik terekam oleh model sudah semenjak awal tahun 2007 atau 12 bulan sebelum krisis terjadi. Untuk series kuartalan baik faktor fundamental ekonomi maupun contagion effect tidak signifikan mempengaruhi probabilitas terjadinya krisis keuangan di Indonesia. Kata Kunci: Early Warning System Crisis, Fundamental Ekonomi, Contagion Effect. Crisis is a condition in which the various control measures steps are no longer able to withstand with financial sector turmoil, which can lead to overall economic contraction. Although, crisis not always caused by financial sector, but financial sector always effective become "transmission" to rise turmoil and crisis. Finansial crisis itself is generally detected by occurrence of a sharp depreciation. Various criteria and methods used to assess, when an exchange rate depreciation had passed a tolerable threshold, that can rise the crisis. This study aims were to find a model of financial crisis Early Warning System in Indonesia, by seeing if the economic fundamentals and contagion effect can be used as an early indicator to detect occurrence of financial crisis. Crisis as the dependent variable using avarage Crisis Index and then adding 1.5 standard deviation as threshold determination of the crisis period. Meanwhile, for early detection system using logit models as econometric approach and then analysis with technique of cut-off which divided into simulation periods or inside the sample and the trial period or outside the sample. The results shown parametric models that been developed have good performance in a monthly series, because three of the fourth fundamental economic factors were significant at 1% level and 10%. While the contagion effect was significant affects to probability of financial crisis in Indonesia at the 1% level. Indicator of model performance in the simulation period was very well. It was shown by the low value of the NSR (0.4). Quadratic Probability Score (QPS) was close to 0, which reflects the level of forecasting accuracy of the financial crisis. Global Square Bias (GSB) almost close to 0, which reflects the level of perfect calibration. Eventhough performance of the model in the test period was slightly unsatisfied, but the model was able to demonstrate an increase in the probability of mini crisis in 2001. But increased probability for early detection of impending crisis in 2008 can be recorded very well by the model since early 2007 or 12 months before crisis occured. For quarterly series, both economic fundamentals and contagion effect did not affected significantly to the probability of financial crisis in Indonesia. Key words: Early Warning System Crisis, Economic Fundamentals, Contagion Effect.

Item Type:Thesis (Masters)
Subjects:H Social Sciences > HC Economic History and Conditions
Divisions:School of Postgraduate (mixed) > Master Program in Economics and Development Studies
ID Code:42534
Deposited By:Mrs Ekana Perpus Pasca
Deposited On:27 Feb 2014 16:00
Last Modified:27 Feb 2014 16:00

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