Analisis Perbandingan Indikator Ekonomi Pendahulu antara Metode Filterisasi Hodrick-Prescott dengan Christiano-Fitzgerald untuk Siklus Bisnis Indonesia

• Main Authors: , REINARDUS ADHIPUTRA SURYANDARU, , Prof. Dr. Sri Adiningsih M.Sc.
• Format: Theses and Dissertations NonPeerReviewed
• Published: [Yogyakarta] : Universitas Gadjah Mada 2013
• Subjects: ETD
• Online Access: https://repository.ugm.ac.id/124399/; http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=64523
• Institution: Universitas Gadjah Mada

The anticipation of economic susceptible (early warning system) is urgent in predict the movement of a country's economy in the future. Leading Economic Index (LEI) or a precursor of economic indicators is a composite index that contains some specific economic variables to forecast economic activity and the movement of the composite index cycle precedes a country's business cycle movements. The process of formation LEI and business cycles do with seasonal adjustment (separate the seasonal component from its cyclical component) and detrending (separate the trend component from its cyclical component). Seasonal adjustment process using Census X-12 ARIMA. Detrending process using two filtration methods that will be compared to the band pass filter of Christiano Fitzgerald and Hodrick-Prescott filter. Formation of Indonesian business cycle data is approximated by the Gross Domestic Product (GDP) with quarterly period. Formation of the LEI using quarterly data with constituent variables: base money, foreign exchange reserves, market capitalization, stock issued value, IHSG, cement consumption, car sales, the number of domestic departure passengers, the number of passengers of international departures, domestic investment realization, foreign investment realization , and the value of non-oil exports. Comparison of forecasting accuracy of LEI both of filter detrending process is done by looking at the error generated using POM program for windows. Comparison process business cycle turning points seen by both filter test chart. The results showed that the Christiano Fitzgerald band pass filter has a smaller error than the Hodrick-Prescott filter in the formation of LEI. Hodrick-Prescott filter produces the GDP cycle turning points more than the Christiano Fitzgerald band pass filter. The test results show the value of cross-correlation cross-correlation LEI Christiano Fitzgerald band pass filter was 0.87 while for LEI Hodrick-Prescott filter is 0.51. Christiano Fitzgerald band pass filter is able to capture the long-term relationship better than the Hodrick-Prescott filter in the formation of LEI. Christiano-Fitzgerald filtering method has better forecasting accuracy compared with the Hodrick-Prescott filtering methods in the process of formation of LEI to predict business cycle movements in Indonesia.