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All Journal JURNAL EKONOMI DAN KEBIJAKAN PEMBANGUNAN
Deviyantini Deviyantini
IPB University
Economics, Econometrics & Finance

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STRUCTURAL BREAKS DAN KETIDAKSTABILAN PERMINTAAN UANG DI INDONESIA Deviyantini Deviyantini; Iman Sugema; Tony Irawan
JURNAL EKONOMI DAN KEBIJAKAN PEMBANGUNAN Vol 6 No 2 (2017): Jurnal Ekonomi dan Kebijakan Pembangunan
Publisher : IPB University

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (1122.59 KB) | DOI: 10.29244/jekp.6.2.2017.47-60

Abstract

This research aims to identify the sources of instability of the money demand function (M1 and M2) due to structural changes that occur as a result of economic shocks. These shocks are technically shown by the presence of structural breaks in the data and can lead the parameters non-constancy. The instability of the money demand function was analyzed using the Gregory and Hansen test. The source of instability of the money demand was identified using time varying parameter model. This research used quarterly time series data from 1993Q1 to 2013Q4. The results show that the money demand function (M1 dan M2) is not cointegrated (unstable) and the source of the instability is exchange rate variable. Keywords: Stability money demand, Structural breaks, Time varying parameter model
Co-Authors Sugema, Iman Tony Irawan