Lampiran A

Tren variabel

Loan

120000

100000

80000

60000

40000

20000
2001 2002 2003 2004 2005 2006

LOAN

PGDP

320000

280000

240000

200000

160000

120000

80000
2001 2002 2003 2004 2005 2006

PGDP
 Equity

12.4

12.0

11.6

11.2

10.8

10.4
2001 2002 2003 2004 2005 2006

EQUITY

rM

18

16

14

12

10

6
2001 2002 2003 2004 2005 2006

RM
 rL

19

18

17

16

15

14

13
2001 2002 2003 2004 2005 2006

RL
LAMPIRAN B

Uji unit root test

Null Hypothesis: D(LOAN) has a unit root

Exogenous: Constant, Linear Trend
Lag Length: 4 (Fixed)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.514924 0.0028

Test critical values: 1% level -4.090602
5% level -3.473447
10% level -3.163967

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(LOAN,2)
Method: Least Squares
Date: 05/19/08 Time: 12:58
Sample (adjusted): 2001M07 2007M06
Included observations: 72 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(LOAN(-1)) -1.264348 0.280038 -4.514924 0.0000

D(LOAN(-1),2) 0.202519 0.247113 0.819541 0.4155
D(LOAN(-2),2) 0.319356 0.219914 1.452183 0.1513
D(LOAN(-3),2) 0.306392 0.189614 1.615872 0.1110
D(LOAN(-4),2) 0.174227 0.128672 1.354044 0.1804
C 972.8898 318.7742 3.051972 0.0033
@TREND(2001M01) 8.594913 5.185213 1.657582 0.1022

R-squared 0.549874 Mean dependent var 9.333333

Adjusted R-squared 0.508324 S.D. dependent var 1238.179
S.E. of regression 868.2063 Akaike info criterion 16.46290
Sum squared resid 48995842 Schwarz criterion 16.68424
Log likelihood -585.6645 F-statistic 13.23402
Durbin-Watson stat 1.998968 Prob(F-statistic) 0.000000
Null Hypothesis: D(PGDP) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 4 (Fixed)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.111818 0.0094

Test critical values: 1% level -4.090602
5% level -3.473447
10% level -3.163967

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(PGDP,2)
Method: Least Squares
Date: 05/19/08 Time: 12:59
Sample (adjusted): 2001M07 2007M06
Included observations: 72 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(PGDP(-1)) -0.825819 0.200840 -4.111818 0.0001

D(PGDP(-1),2) 0.468575 0.181912 2.575826 0.0123
D(PGDP(-2),2) 0.447480 0.122093 3.665064 0.0005
D(PGDP(-3),2) -0.375110 0.125409 -2.991086 0.0039
D(PGDP(-4),2) 0.121703 0.126333 0.963352 0.3389
C 664.4110 593.5122 1.119456 0.2671
@TREND(2001M01) 35.77568 14.46574 2.473133 0.0160

R-squared 0.708325 Mean dependent var 64.30864

Adjusted R-squared 0.681401 S.D. dependent var 3804.480
S.E. of regression 2147.423 Akaike info criterion 18.27409
Sum squared resid 3.00E+08 Schwarz criterion 18.49543
Log likelihood -650.8673 F-statistic 26.30842
Durbin-Watson stat 2.047830 Prob(F-statistic) 0.000000
Null Hypothesis: D(EQUITY) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 4 (Fixed)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -6.286295 0.0000

Test critical values: 1% level -4.090602
5% level -3.473447
10% level -3.163967

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(EQUITY,2)
Method: Least Squares
Date: 05/19/08 Time: 13:00
Sample (adjusted): 2001M07 2007M06
Included observations: 72 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(EQUITY(-1)) -2.125303 0.338085 -6.286295 0.0000

D(EQUITY(-1),2) 0.726538 0.272745 2.663800 0.0097
D(EQUITY(-2),2) 0.587759 0.213604 2.751633 0.0077
D(EQUITY(-3),2) 0.247970 0.166249 1.491554 0.1407
D(EQUITY(-4),2) 0.035724 0.100894 0.354074 0.7244
C 4144.400 1341.795 3.088697 0.0030
@TREND(2001M01) -7.393356 27.76816 -0.266253 0.7909

R-squared 0.706004 Mean dependent var -22.04167

Adjusted R-squared 0.678866 S.D. dependent var 8523.826
S.E. of regression 4830.340 Akaike info criterion 19.89539
Sum squared resid 1.52E+09 Schwarz criterion 20.11673
Log likelihood -709.2339 F-statistic 26.01525
Durbin-Watson stat 2.071384 Prob(F-statistic) 0.000000
Null Hypothesis: D(RM) has a unit root
Exogenous: None
Lag Length: 4 (Fixed)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.623657 0.0093

Test critical values: 1% level -2.597476
5% level -1.945389
10% level -1.613838

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RM,2)
Method: Least Squares
Date: 05/19/08 Time: 13:01
Sample (adjusted): 2001M07 2007M06
Included observations: 72 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(RM(-1)) -0.245889 0.093720 -2.623657 0.0108

D(RM(-1),2) -0.187005 0.130863 -1.429016 0.1576
D(RM(-2),2) -0.137178 0.130490 -1.051253 0.2969
D(RM(-3),2) 0.040170 0.122944 0.326732 0.7449
D(RM(-4),2) 0.354333 0.110144 3.217008 0.0020

R-squared 0.350191 Mean dependent var -0.004444

Adjusted R-squared 0.311396 S.D. dependent var 0.343646
S.E. of regression 0.285165 Akaike info criterion 0.395417
Sum squared resid 5.448374 Schwarz criterion 0.553519
Log likelihood -9.235013 Durbin-Watson stat 1.945239
Null Hypothesis: D(RL) has a unit root
Exogenous: None
Lag Length: 4 (Fixed)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -2.266209 0.0236

Test critical values: 1% level -2.597476
5% level -1.945389
10% level -1.613838

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(RL,2)
Method: Least Squares
Date: 05/19/08 Time: 13:01
Sample (adjusted): 2001M07 2007M06
Included observations: 72 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(RL(-1)) -0.230577 0.101746 -2.266209 0.0267

D(RL(-1),2) -0.236459 0.135920 -1.739699 0.0865
D(RL(-2),2) 0.074261 0.135619 0.547570 0.5858
D(RL(-3),2) 0.033996 0.133820 0.254043 0.8002
D(RL(-4),2) 0.029745 0.120377 0.247101 0.8056

R-squared 0.212483 Mean dependent var -0.005000

Adjusted R-squared 0.165467 S.D. dependent var 0.151220
S.E. of regression 0.138144 Akaike info criterion -1.054125
Sum squared resid 1.278612 Schwarz criterion -0.896023
Log likelihood 42.94849 Durbin-Watson stat 1.872456
LAMPIRAN C

Persamaan kointegrasi loan supply

Vector Error Correction Estimates

Date: 05/19/08 Time: 12:27
Sample (adjusted): 2001M06 2007M06
Included observations: 73 after adjustments
Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1

LN(-1) 1.000000

SBK(-1) -416.3978
(962.998)
[-0.43240]

SBI(-1) 506.4099
(955.294)
[ 0.53011]

EN(-1) -0.766099
(0.04607)
[-16.6290]

Error Correction: D(LN) D(SBK) D(SBI) D(EN)

CointEq1 -0.065662 3.02E-06 3.28E-06 -0.043085

(0.01276) (1.9E-06) (4.2E-06) (0.07786)
[-5.14709] [ 1.58880] [ 0.77708] [-0.55334]

D(LN(-1)) -0.037255 1.41E-05 -3.70E-05 0.394151

(0.11896) (1.8E-05) (3.9E-05) (0.72604)
[-0.31319] [ 0.79729] [-0.93815] [ 0.54288]

D(LN(-2)) 0.147611 1.96E-05 8.35E-05 -0.476899

(0.12046) (1.8E-05) (4.0E-05) (0.73525)
[ 1.22537] [ 1.09121] [ 2.09295] [-0.64862]

D(LN(-3)) -0.080451 -1.63E-06 2.06E-06 0.788444

(0.12514) (1.9E-05) (4.1E-05) (0.76377)
[-0.64291] [-0.08737] [ 0.04963] [ 1.03231]

D(LN(-4)) -0.196759 2.13E-05 1.42E-05 1.238754

 (0.12591) (1.9E-05) (4.2E-05) (0.76848)
[-1.56272] [ 1.13309] [ 0.33960] [ 1.61195]

D(SBK(-1)) 1013.366 0.463300 0.198349 -1195.624

(877.147) (0.13068) (0.29049) (5353.67)
[ 1.15530] [ 3.54523] [ 0.68282] [-0.22333]

D(SBK(-2)) 508.7225 0.127578 0.440157 885.5291

(959.159) (0.14290) (0.31765) (5854.23)
[ 0.53038] [ 0.89277] [ 1.38568] [ 0.15126]

D(SBK(-3)) -1246.018 -0.157990 -0.763569 8303.507

(907.975) (0.13528) (0.30070) (5541.83)
[-1.37230] [-1.16792] [-2.53934] [ 1.49833]

D(SBK(-4)) 567.6077 0.152345 -0.451172 -7725.900

(787.639) (0.11735) (0.26084) (4807.36)
[ 0.72064] [ 1.29824] [-1.72966] [-1.60710]

D(SBI(-1)) 266.2616 0.214260 0.424649 -4392.444

(387.888) (0.05779) (0.12846) (2367.48)
[ 0.68644] [ 3.70757] [ 3.30575] [-1.85533]

D(SBI(-2)) 143.0184 -0.109655 -0.008664 86.89289

(460.163) (0.06856) (0.15239) (2808.61)
[ 0.31080] [-1.59945] [-0.05686] [ 0.03094]

D(SBI(-3)) -970.4860 0.054311 0.099456 -10.00544

(423.156) (0.06304) (0.14014) (2582.74)
[-2.29345] [ 0.86147] [ 0.70970] [-0.00387]

D(SBI(-4)) 814.4487 -0.012614 0.330094 3327.308

(379.914) (0.05660) (0.12582) (2318.81)
[ 2.14377] [-0.22286] [ 2.62361] [ 1.43492]

D(EN(-1)) -0.060057 1.42E-06 -4.51E-06 -0.310920

(0.02095) (3.1E-06) (6.9E-06) (0.12784)
[-2.86734] [ 0.45604] [-0.64979] [-2.43212]

D(EN(-2)) -0.029741 4.52E-06 3.50E-07 -0.134284

(0.01902) (2.8E-06) (6.3E-06) (0.11609)
[-1.56364] [ 1.59388] [ 0.05554] [-1.15673]

D(EN(-3)) -0.041343 -1.63E-07 -4.72E-06 -0.347424

(0.01897) (2.8E-06) (6.3E-06) (0.11576)
[-2.17988] [-0.05760] [-0.75224] [-3.00132]
 D(EN(-4)) -0.028738 -1.08E-06 -2.02E-06 -0.169665
(0.01931) (2.9E-06) (6.4E-06) (0.11788)
[-1.48798] [-0.37422] [-0.31650] [-1.43933]

R-squared 0.268043 0.687418 0.659108 0.280915

Adj. R-squared 0.058912 0.598108 0.561710 0.075462
Sum sq. resids 38835549 0.862024 4.259282 1.45E+09
S.E. equation 832.7616 0.124070 0.275787 5082.764
F-statistic 1.281702 7.697048 6.767186 1.367296
Log likelihood -584.8126 58.43848 0.127086 -716.8596
Akaike AIC 16.48802 -1.135301 0.462272 20.10574
Schwarz SC 17.02141 -0.601906 0.995666 20.63914
Mean dependent 1058.863 -0.039178 -0.103836 1897.425
S.D. dependent 858.4316 0.195709 0.416575 5286.127

Determinant resid covariance (dof adj.) 1.70E+10

Determinant resid covariance 5.89E+09
Log likelihood -1235.461
Akaike information criterion 35.82085
Schwarz criterion 38.07993

Persamaan kointegrasi loan demand

Vector Error Correction Estimates

Date: 05/19/08 Time: 10:33
Sample (adjusted): 2001M07 2007M06
Included observations: 72 after adjustments
Standard errors in ( ) & t-statistics in [ ]

Cointegrating Eq: CointEq1

LN(-1) 1.000000

PGDP(-1) -0.304554
(0.04399)
[-6.92248]

SBK(-1) 1414.298
(417.300)
[ 3.38916]

Error Correction: D(LN) D(PGDP) D(SBK)

 CointEq1 0.041025 0.077224 -3.13E-06
(0.01216) (0.02838) (2.0E-06)
[ 3.37369] [ 2.72093] [-1.56069]

D(LN(-1)) -0.041858 0.019807 6.13E-06

(0.13666) (0.31895) (2.3E-05)
[-0.30630] [ 0.06210] [ 0.27211]

D(LN(-2)) 0.049951 0.240468 1.33E-05

(0.13683) (0.31934) (2.3E-05)
[ 0.36507] [ 0.75301] [ 0.59103]

D(LN(-3)) 0.049698 -0.388979 2.34E-05

(0.13757) (0.32107) (2.3E-05)
[ 0.36126] [-1.21150] [ 1.03128]

D(LN(-4)) -0.160168 -0.699790 3.10E-05

(0.14596) (0.34065) (2.4E-05)
[-1.09737] [-2.05427] [ 1.28722]

D(LN(-5)) -0.167120 0.122251 1.86E-05

(0.15452) (0.36064) (2.5E-05)
[-1.08153] [ 0.33898] [ 0.73085]

D(PGDP(-1)) -0.043296 0.649217 1.44E-05

(0.06036) (0.14087) (9.9E-06)
[-0.71734] [ 4.60863] [ 1.44593]

D(PGDP(-2)) 0.108165 0.038201 -1.51E-05

(0.06218) (0.14513) (1.0E-05)
[ 1.73952] [ 0.26323] [-1.47549]

D(PGDP(-3)) -0.085445 -0.789691 -4.35E-06

(0.04525) (0.10562) (7.5E-06)
[-1.88813] [-7.47677] [-0.58337]

D(PGDP(-4)) -0.040995 0.550448 1.21E-05

(0.06127) (0.14300) (1.0E-05)
[-0.66909] [ 3.84927] [ 1.19471]

D(PGDP(-5)) 0.062224 -0.075639 -1.11E-05

(0.05742) (0.13402) (9.5E-06)
[ 1.08365] [-0.56440] [-1.16877]

D(SBK(-1)) 556.3246 5958.337 0.444145

(818.600) (1910.56) (0.13489)
 [ 0.67960] [ 3.11863] [ 3.29269]

D(SBK(-2)) -279.8902 -5381.740 0.267792

(919.373) (2145.76) (0.15149)
[-0.30444] [-2.50808] [ 1.76768]

D(SBK(-3)) -575.7076 -1364.350 0.097917

(998.847) (2331.25) (0.16459)
[-0.57637] [-0.58524] [ 0.59492]

D(SBK(-4)) 944.6467 1339.282 0.022804

(936.100) (2184.80) (0.15425)
[ 1.00913] [ 0.61300] [ 0.14784]

D(SBK(-5)) -1426.710 -1027.488 -0.054158

(827.111) (1930.43) (0.13629)
[-1.72493] [-0.53226] [-0.39737]

R-squared 0.203373 0.741914 0.575804

Adj. R-squared -0.010009 0.672784 0.462180
Sum sq. resids 42252226 2.30E+08 1.147237
S.E. equation 868.6219 2027.311 0.143131
F-statistic 0.953092 10.73213 5.067632
Log likelihood -580.3336 -641.3578 46.85157
Akaike AIC 16.56482 18.25994 -0.856988
Schwarz SC 17.07075 18.76586 -0.351062
Mean dependent 1057.000 2670.452 -0.042361
S.D. dependent 864.3071 3544.077 0.195171

Determinant resid covariance (dof adj.) 5.37E+10

Determinant resid covariance 2.53E+10
Log likelihood -1168.781
Akaike information criterion 33.88281
Schwarz criterion 35.49545
LAMPIRAN D

Data yang digunakan

obs LOAN EQUITY PGDP RL RM

2001M01 30051.00 60134.00 111136.3 16.77000 14.79000
2001M02 31180.00 64320.00 114160.6 16.88000 14.79000
2001M03 31582.00 65052.00 116743.4 16.86000 15.58000
2001M04 31997.00 70334.00 118884.7 16.80000 16.09000
2001M05 32710.00 43694.00 120584.6 16.85000 16.33000
2001M06 33903.00 44114.00 121843.0 17.04000 16.65000
2001M07 34400.00 44537.00 120643.7 16.90000 17.17000
2001M08 35400.00 68526.00 122531.4 17.08000 17.67000
2001M09 35774.00 67292.00 125489.9 17.22000 17.57000
2001M10 37037.00 68911.00 132452.0 17.38000 17.58000
2001M11 36101.00 73108.00 135352.5 17.64000 17.60000
2001M12 38056.00 66788.00 137124.3 17.90000 17.62000
2002M01 37892.00 75552.00 135910.0 17.99000 16.93000
2002M02 37976.00 78288.00 136817.0 18.01000 16.86000
2002M03 38130.00 80036.00 137988.1 18.03000 16.76000
2002M04 38878.00 75908.00 139753.6 18.09000 16.61000
2002M05 40007.00 81071.00 141205.0 18.11000 15.51000
2002M06 40852.00 83076.00 142672.8 18.11000 15.11000
2002M07 41883.00 86910.00 143211.6 18.09000 14.93000
2002M08 45688.00 88183.00 145420.9 18.10000 14.35000
2002M09 45962.00 95057.00 148355.5 18.11000 13.22000
2002M10 47416.00 96503.00 155006.1 18.00000 13.10000
2002M11 49043.00 95545.00 157148.1 18.00000 13.06000
2002M12 49954.00 93697.00 157772.4 17.82000 12.93000
2003M01 50323.00 74910.00 154379.0 17.82000 12.69000
2003M02 51790.00 100213.0 153842.8 17.85000 12.24000
2003M03 52491.00 98802.00 153663.8 17.85000 11.40000
2003M04 52995.00 100238.0 153261.4 17.74000 11.06000
2003M05 54011.00 99073.00 154232.3 17.67000 10.44000
2003M06 54622.00 100112.0 155996.0 17.43000 9.530000
2003M07 54660.00 100554.0 159578.4 17.03000 9.100000
2003M08 55735.00 104731.0 162157.8 16.70000 9.100000
2003M09 56934.00 106842.0 164760.3 16.53000 8.660000
2003M10 58445.00 108390.0 168197.8 16.27000 8.480000
2003M11 59701.00 106402.0 170237.6 15.93000 8.480000
2003M12 59820.00 112141.0 171691.4 15.68000 8.310000
2004M01 60455.00 118759.0 170958.6 15.44000 7.860000
2004M02 61453.00 120982.0 172441.3 15.29000 7.480000
2004M03 62198.00 122241.0 174538.9 15.12000 7.420000
2004M04 63435.00 121549.0 178274.8 14.98000 7.330000
2004M05 65020.00 120581.0 180834.2 14.78000 7.320000
2004M06 68233.00 120600.0 183240.6 14.64000 7.340000
2004M07 69138.00 121226.0 184748.8 14.58000 7.360000
2004M08 70091.00 123690.0 187408.3 14.45000 7.370000
2004M09 71163.00 127761.0 190473.8 14.33000 7.390000
2004M10 72853.00 129817.0 195358.2 14.25000 7.410000
2004M11 72567.00 128929.0 198176.1 14.18000 7.410000
2004M12 75209.00 131590.0 200340.2 14.05000 7.430000
2005M01 75417.00 135851.0 200209.6 13.98000 7.420000
2005M02 76738.00 138626.0 202297.3 13.87000 7.430000
2005M03 78552.00 138527.0 204962.2 13.78000 7.440000
2005M04 79997.00 139876.0 208531.1 13.74000 7.700000
2005M05 82100.00 132417.0 212105.2 13.68000 7.950000
2005M06 83490.00 130230.0 216011.5 13.65000 8.250000
2005M07 85339.00 132773.0 218897.3 13.65000 8.490000
2005M08 86965.00 132795.0 224482.1 13.62000 9.510000
2005M09 87853.00 136569.0 231413.4 14.47000 10.00000
2005M10 89511.00 138126.0 245889.4 14.92000 11.00000
2005M11 90146.00 140135.0 250864.9 15.43000 12.25000
2005M12 91702.00 144289.0 252538.3 15.66000 12.75000
2006M01 91709.00 146812.0 243946.2 15.81000 12.75000
2006M02 91804.00 150288.0 244237.7 15.87000 12.74000
2006M03 94050.00 151885.0 246449.5 15.90000 12.73000
2006M04 94916.00 153062.0 253611.5 15.90000 12.74000
2006M05 95647.00 151602.0 257391.6 15.89000 12.50000
2006M06 95868.00 149341.0 260819.7 15.94000 12.50000
2006M07 95755.00 153429.0 261072.4 15.91000 12.25000
2006M08 97601.00 156876.0 265913.7 15.85000 11.75000
2006M09 100274.0 161553.0 272520.5 15.66000 11.25000
2006M10 102083.0 165086.0 287350.0 15.54000 10.75000
2006M11 102801.0 167654.0 292644.6 15.38000 10.25000
2006M12 104630.0 172342.0 294861.5 15.10000 9.750000
2007M01 104186.0 176148.0 286683.7 14.85000 9.500000
2007M02 104573.0 178438.0 288233.3 14.71000 9.250000
2007M03 104351.0 179181.0 292193.1 14.53000 9.000000
2007M04 105586.0 181078.0 302097.6 14.38000 9.000000
2007M05 108142.0 183373.0 308226.9 14.16000 8.750000
2007M06 110007.0 182206.0 314115.6 13.99000 8.750000