Prediksi indikator makro ekonomi Indonesia dengan model vector autoregressive periode 2019-2023

Abstract

This study seeks to  predict the Indonesian macroeconomic indicators such as inflation, interest rates, exchange rates, and economic growth. The method used is the Vector Autoregressive (VAR) with stages in the form of stationarity test, determination of lag length, cointegration test, VAR model estimation, causality test, and forecasting of each variable in the next five years (2019-2023). The results show that the inflation and the exchange rate data are stationary at the level while the interest rate data and economic growth are stationary at the first differencing (lag 1). The causality tests show a reciprocal relationship between inflation and exchange rate and one-way relationships where inflation affects economic growth, interest rates affect the exchange rate, and economic growth affects the exchange rate and interest rates. The predicted inflation and interest rates for the next five years tend to increase each year, although not too large with the exchange rate will experience the most significant increase in 2023. However, the result does not affect the the predicted value of economic growth that will remain constant in 2019-2023.