Determinan Impor Migas di Indonesia: Pendekatan VAR

Abstract

Abstrak: Penelitian ini bertujuan untuk mengetahui ada tidaknya hubungan kausalitas dan kointegrasi antara variabel Produk Domestik Bruto (PDB), inflasi dan nilai tukar terhadap impor migas di Indonesia dengan menggunakan data yang bersumber dari Badan Pusat Statistik (BPS) dan World Bank. Penelitian ini menggunakan metode Vector Autoregression (VAR) yang terdiri dari Granger Causality Test dan Johansen Co-Integration Test. Adapun hasil penelitian dari uji Granger Causality menunjukkan diantara keempat variabel yang diuji, hanya variabel PDB yang memiliki kausalitas terhadap inflasi. Selain itu, terdapat lima hubungan satu arah yang meliputi impor migas ke PDB, inflasi ke impor migas, impor migas ke nilai tukar, PDB ke nilai tukar dan inflasi ke nilai tukar. Selanjutnya uji Johansen Co-Integration test menunjukkan hasil bahwa keempat variabel terkointegrasi. Hasil analisis IRF dan VD menunjukkan bahwa variabel yang berpengaruh terhadap ekspor migas adalah inflasi. Hubungan semua variabel berdasarkan hasil uji analisis Granger-Causality didukung oleh analisis IRF dan VD dapat dijelaskan bahwa terdapat hubungan satu arah dari impor migas ke PDB, terdapat hubungan satu arah dari inflasi ke impor migas, terdapat hubungan satu arah dari impor migas ke nilai tukar, terdapat hubungan dua arah antara PDB dan inflasi, terdapat hubungan satu arah dari PDB ke nilai tukar dan terdapat hubungan satu arah dari PDB ke nilai tukar.

Abstrak: This study aims to determine whether there is a causality and cointegration relationship between the Gross Domestic Product (GDP), inflation and exchange rate variables on oil and gas imports in Indonesia using data sourced from the Central Statistics Agency (BPS) and the World Bank. This study uses the Vector Autoregression (VAR) method which consists of Granger Causality Test and Johansen Co-Integration Test. The results of the Granger Causality test show that among the four variables tested, only the GDP variable has causality to inflation. In addition, there are five one-way relationships that include oil and gas imports to GDP, inflation to oil and gas imports, oil and gas imports to exchange rates, GDP to exchange rates and inflation to exchange rates. Furthermore, the Johansen Co-Integration test shows that the four variables are cointegrated. The results of IRF and VD analysis show that the variable that affects oil and gas exports is inflation. The relationship of all variables based on the Granger-Causality analysis test results supported by IRF and VD analysis can be explained that there is a one-way relationship from oil and gas imports to GDP, there is a one-way relationship from inflation to oil and gas imports, there is a one-way relationship from oil and gas imports to exchange rates, there is a two-way relationship between GDP and inflation, there is a one-way relationship from GDP to exchange rates and there is a one-way relationship from GDP to exchange rates.