ABSTRAK
Krisis keuangan Indonesia yang terjadi pada tahun 1983 dan 1997-1998 menyebabkan cadangan devisa turun drastis yang dapat dipantau melalui sistem pendeteksian. Sistem pendeteksian krisis dilakukan melalui pemantau sejumlah indikator ekonomi makro, salah satunya rasio cadangan internasional terhadap uang beredar (M2). Data rasio cadangan internasional terhadap M2 bulan September 1981 sampai Desember 2010 diindikasikan adanya heteroskedastisitas dan perubahan struktur, sehingga model SWARCH dengan asumsi dua state (state stabil dan state volatil) dapat digunakan. Pada model SWARCH diperoleh nilai inferred probabilities tiap periode data, dimana nilai inferred probabilities yang lebih dari 0,5 mengindikasikan terjadinya krisis.
Hasil penelitian menunjukkan bahwa data rasio cadangan internasional terhadap M2 bulan September 1981 sampai Desember 2010 terdapat heteroskedastisitas dan perubahan struktur, sehingga dapat dimodelkan menggunakan model SWARCH(2,2) dengan model AR(1) sebagai model rata-rata dan model ARCH(2) sebagai model variansi bersyarat. Berdasarkan model SWARCH(2,2), periode data yang memiliki nilai inffered probabilities yang lebih dari 0,5 sehingga mengindikasikan terjadinya krisis adalah bulan Mei sampai dengan Juli 1983 dan bulan Maret sampai dengan Juni 1998. Model SWARCH(2,2) berdasarkan indikator rasio cadangan internasional terhadap M2 dapat mendeteksi krisis pada bulan Mei sampai dengan Juli 1983 dan bulan Maret sampai dengan Juni 1998.
Kata kunci : cadangan internasional, M2, SWARCH, inffered probabilities
ABSTRACT
Indonesian financial crisis that occurred in 1983 and 1997 to 1998 led to foreign exchange reserves dropped drastically. The financial crisis can be monitored through the detection system. Crisis detection system is done through monitoring a number of macro-economic indicators, one of which is the ratio of international reserves to broad money (M2). Data of the ratio of international reserves to M2 in September 1981 until December 2010 indicated the presence of heteroskedasticity and changes in the structure, so that the model SWARCH assuming two states (state stable and volatile state) can be used. In the model SWARCH obtained inferred probabilities values of each period of the data, where the value inferred probabilities of more than 0,5 indicates the occurrence of a crisis.
The results showed that the data of the ratio of international reserves to M2 in September 1981 to December 2010 there were heteroskedasticity and changes in the structure, so that it can be modeled using a SWARCH (2,2) model with AR (1) as the average model and ARCH (2) as the conditional variance models. Based on the model SWARCH (2.2), the period of data that has inffered probabilities value of more than 0,5 to indicate the occurrence of a crisis is May to July 1983 and March to June 1998. The SWARCH (2.2) model based on indicators of the ratio of international reserve to M2 can detect the crisis in May to July 1983 and from March to June 1998.
Key words : international reserve, M2, SWARCH, inferred probabilities