Analisis Interdependensi Neraca Transaksi Berjalan â€“ Neraca Modal Indonesia Pendekatan Model Vector Autoregressive dan Vector Error Correction 1981.1 â€“ 2002.3
Johansen Cointegration test applied in this analysis shows that there is a cointeÂ¬gration between current account and capital account with one cointegration equation. The result is consistence with Granger causality test, which shows that there is a bilateral cauÂ¬sality between them. Through Bivariate Vector Autoregressive (VAR), it also could be seen that positive net capital inflows will cause deficit pressure on current account at first, third, fifth, and seventh quarter in the future (one-quarter break). Impulse Response Analysis also shows that positive net capital inflow will cause deficit pressure on current account one-quarter break after. But response of current account to the capital shock will not cause perÂ¬manent impact on the current account. Current account will response to the capital shock till eleventh quarter after shock. After that, it will be back to itsâ€™ long term equilibrium. Through the analysis of variance decomposition, it could be seen that the response of current account to the shock is mostly caused by the shock of current account itself.
Based on vector error correction model (VECM), there is short term and long term adjustment processes. The speed of adjustment of current account towards its long term equilibrium, shown by the coefficient of ECT is 36.05% per quarter, but that of capital acÂ¬count is faster, 109.9% per quarter (shorter than one quarter).
This research concludes that there is interdependence between current account and capital account. Positive net capital inflows could be a major cause of current account defiÂ¬cits in the future, so stabilizing of balance of payment has also come to include stabilizing of capital account.
Keywords:Â Â Â Current Account, Capital Account, Balance of Payments, Vector Autoregressive (VAR), Impulse Response Analysis, Variance Decompositions, Cointegrations, Vector Error Correction Model (VECM).
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Economic Journal of Emerging Markets (EJEM)
ISSN 2086-3128 (print), ISSN 2502-180X (online)
Center for Economic Studies, Department of Economics,
Universitas Islam Indonesia, Indonesia.
EJEM by http://journal.uii.ac.id/JEP/ is licensed under a Creative Commons Attribution 4.0 International License.