Pembangunan Keuangan dan Pertumbuhan Ekonomi: Studi Kasus Indonesia
DOI:
https://doi.org/10.31685/kek.v1i2.203Keywords:
financial development, economic growth, time series analysisAbstract
Abstract
This paper examines empirically the linkage of financial development and economic growth in Indonesia by using time series analysis for the period of 2001Q4-2016Q2. To achieve the objective of this study, data was collected from secondary sources and employed various time series econometric procedures such as Dickey Fuller-Generalized Least Square (DF-GLS) test, Granger Causality test, Engle Granger-Augmented Dickey Fuller (EG-ADF) cointegration test, and Error-Correction Method (ECM). The cointegration test shows that there is a long run relationship cointegrated between selected financial development indicators and economic growth. Surprisingly, in the short run, total credit to the private non-financial sector has a negative effect on economic growth in Indonesia. Furthermore,Granger causality test based on error-correction model indicates that only money market rate, stock prices, and total credit to households have a causal relationship with economic growth.
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Abstrak
Makalah ini membahas secara empiris pertautan antara pembangunan keuangan dan pertumbuhan ekonomi di Indonesia dengan menggunakan analisis runtun waktu untuk periode 2001Q4-2016Q2. Untuk mencapai tujuan penelitian ini, data yang dikumpulkan berasal dari dari  beragam sumber data  sekunder dan melibatkan berbagai prosedur ekonometrika runtun waktu seperti Dickey Fuller-Generalized Least Square (DF-GLS), uji Kausalitas Granger, uji kointegrasi Engle Granger-Augmented Dickey Fuller (EG-ADF), dan error-Correction Method (ECM). Hasil uji kointegrasi menunjukkan bahwa terdapat hubungan jangka panjang antara indikator pembangunan keuangan yang terpilih dan pertumbuhan ekonomi. Yang mengejutkan, dalam jangka pendek, total kredit ke sektor swasta non-keuangan memiliki efek negatif pada pertumbuhan ekonomi di Indonesia. Selanjutnya, uji kausalitas Granger berdasarkan model koreksi kesalahan menunjukkan bahwa hanya suku bunga pasar uang, harga saham, dan jumlah kredit untuk rumah tangga yang memiliki hubungan kausalitas dengan pertumbuhan ekonomi.
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