PENGARUH KRISIS EKONOMI AMERIKA SERIKAT TERHADAP BURSA SAHAM DAN PERDAGANGAN INDONESIA

  • Mita Nezky

Abstract

This paper analyzes the impact of the financial crisis in United States 2008 on Indonesia’s economy, by using Structural Vector Autoregressive (SVAR) model of 5 variables; Dow Jones Industrial Average, exchange rate, composite stock price index (IHSG), production index and trade tax income. The result shows that the US crisis affects the capital market in Indonesia where the Dow Jones Industrial Average plays greater role in explaining the IHSG, compared to Rupiah rate, production index and the trade income tax. In addition, the US crisis affects the volume and the trade income tax in Indonesia. These empirical results bring policy implication for Bappepam-LK as stock market regulator to intervene or to suspend the trade when the volatility exceeds the psychological threshold. It also emphasizes the necessity to diversify the export country destination and to increase the quality and the value added of Indonesian export.

Keywords : US Crisis, stock market, trade, SVAR.JEL Classification : G18

References

Ajija, Shochrul, 2011, et.al. ´Cara Cerdas Menguasai Eviews´. Salemba Empat

Allen, Franklin, 2001, ‘Financial Structure and Financial Crisis’. Wharton School, University of Pennsylvania, International Review of Finance.

Bilmeier dan Bonatot, 2002, ‘Exchange Rate Pass-Through and Monetary Policy in Croatia’

Bappenas, 2009, ‘Kebijakan Nasional Dalam Mencegah dan Mengantisipasi Dampak Krisis Keuangan Global’, Buku Pegangan, 2009.

Crockett, Andrew, 1997, ‘Why is Financial Stability a Goal of Public Policy’, In Maintaining Financial Stability in a Goal Economy, A Symposium Sponsored by The Federal Reserve Bank of Kansas City, Jackson Hole, Wyoming.

Eichengreen, Barry dan Richard Portes, 1987, ‘The Antomy of Financial Crises’, Working Paper No. 2126. National Bureau of Economics Research, Cambridge.

Enders, Walter, 2003, ‘Applied Econometric Time Series’, Iowa State University.

Fang, Wenshwo, Yihao Lai, dan Henry Thompson, 2007, ‘Exchange Rate, Exchange Risk, and Asian Export Revenue’, International Review of Economics and Finance 16 : 237-254.

Fang, Wenshwo, Yihao Lai, dan Stephen M Miller, 2009, ‘Does Exchange Rate Risk Affect Exports Asymmetrically?’, Journal of International Money and Finance 28: 215-239.

Nachrowi, D Nachrowi., dan Hardius Usman, 2006, ‘Pendekatan Populer dan Praktis Ekonometrika Untuk Analisis Ekonomi dan Keuangan’, Depok, LP FE UI.

Sims, C. A., 1980, Macroeconomics and reality, Econometrica, 48(1):1-48.

Zhang, Wenlang, Zhiwei Zhang, dan Gaofeng Han, 2010, ‘How Does the US Credit Crisis Affect The Asia Pasific Economies?Analysis Based on A General Equilibrium Model’, Journal of Asian Economics 21 : 280-292
Published
2013-03-28
Section
Articles