ANALISIS PERMINTAAN UANG DI INDONESIA TAHUN 2006.Q1-2017.Q2 MODEL VECM

Abstract

The objective of the study was to analyze the demand for money in Indonesia using Vector Error Correction Model (VECM) method. The research uses time series data covering the period 2006.q1 to 2017.q2. and adopt Johansen cointegration to examine the relationship GDP, CPI, BI Rate and non-cash payment toward the demand of broad money M2. The results show that in the long run GDP and non cash payment has a negative effect on the demand of broad money M2 while the CPI and BI rate have a positive impact on demand of broad money M2. The IRF test results show that the shock in GDP, CPI, and BI rate will be responded negatively by the demand of broad money M2. Shock that occurs on the non cash payment will be responded positively by the demand of broad money M2.