Apakah Kebijakan Quantitative Easing Amerika Serikat Mengganggu Stabilitas Pasar Saham Indonesia?

M. Rizki Nurhuda, Muhammad Rozali, Salma Dyah Safitri

Abstract


Abstract: This research aims to discuss whether there is a short-term and long-term effect of Quantitative Easing policy by The Federal Reserve in the form of the Fed Fund Rate variable as the United States benchmark interest rate and the Yield variable for US Treasury Securities at 10 Years on the stability of the Jakarta Composite Index (IHSG) as an indicator variable for Indonesian stock market conditions. The method in this research uses the Vector Error Correction Model (VECM) with time series data from January 2015 to June 2021. Based on the Johansen Cointegration Test, this result shows a long-term relationship with the Quantitative Easing policy carried out by the Federal Reserve on Indonesian Stock market stability. Indonesian. In addition, the results of Vector Error Correction Estimates show that there is a short-term relationship where changes in the Quantitative Easing policy will significantly affect the level of stability of the Indonesian stock market. And based on the Impulse Response Function (IRF), the stability of the Jakarta Composite Index (IHSG) was disrupted by experiencing shocks in response to changes of the Quantitative Easing policy by The Federal Reserve.

Abstrak: Penelitian ini bertujuan untuk mendiskusikan apakah terdapat suatu pengaruh jangka pendek dan jangka panjang kebijakan Quantitative Easing oleh The Federal Reserve berupa variabel The Fed Fund Rate atau suku bunga acuan Amerika Serikat dan variabel Yield U.S Treasury Securities at 10 Years atau tingkat imbal hasil obligasi Amerika Serikat tenor 10 tahun terhadap stabilitas Indeks Harga Saham Gabungan (IHSG) sebagai variabel indikator kondisi pasar saham Indonesia. Metode dalam penilitian ini menggunakan Vector Error Correction Model (VECM) dengan data runtun waktu dari Januari 2015 sampai dengan Juni 2021. Berdasarkan pengujian Johansen Cointegration Test, penelitian ini menunjukan adanya suatu hubungan jangka panjang kebijakan Quantitative Easing yang dilakukan oleh the Federal Reserve terhadap stabilitas pasar saham Indonesia. Selain itu, hasil Vector Error Correction Estimates menunjukan adanya suatu hubungan jangka pendek dimana perubahan kebijakan Quantitative Easing akan mempengaruhi secara signifikan terhadap tingkat kestabilan pasar saham Indonesia. Dan berdasarkan Impulse Response Function (IRF), stabilitas Indeks Harga Saham Gabungan (IHSG) terganggu dengan mengalami guncangan (shock) sebagai respon terhadap perubahan kebijakan Quantitative Easing oleh The Federal Reserve


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