ANALISIS PENGARUH CRYPTOCURRENCY TERHADAP CONSUMER PRICE INDEX DENGAN MENGGUNAKAN REGRESI MIDAS (Studi Kasus Korea Selatan dan Jepang)
DOI:
https://doi.org/10.25170/jrema.v2i2.5148Keywords:
Cryptocurrency, Bitcoin, Etherum, Long term interest rates, Consumer price index (CPI)Abstract
Penelitian ini bertujuan untuk menghasilkan kajian mengenai pengaruh Cryptocurrency dan Long term interest rates terhadap Consumer price indeks (CPI) pada negara Korea Selatan dan Jepang. Metode yang digunakan dalam penelitian ini adalah Midas Regression menggunakan Eviews 10 yang dibagi menjadi empat tahapan, yaitu melakukan perhitungan Aggregate variabel cryptocurrency dan Consumer price indeks dengan membentuk model data level dan change pada setiap variabel dan menganalisis grafik setiap negara baik Korea Selatan maupun Jepang, melakukan perhitungan midas regresi antara CPI yang berfrekuensi rendah dengan Cryptocurrency yang berfrekuensi tinggi menggunakan metode PDL/Almon, Almon exponential, beta dan U-MIDAS serta menganalisis setiap model yang dihasilkan, memilih model Midas terbaik, dan terakhir melakukan pembentukan model serta interpretasi hasil penelitian. Variabel dependen dalam penelitian ini adalah inflasi / Consumer Price Index yang diukur dalam persentase perubahan pada periode yang sama tahun sebelumnya. Variabel independen dalam penelitian ini adalah variabel Cryptocurrency terutama pada bitcoin dan etherum yang diukur dengan persentase perubahan data harian bitcoin dan etherum berdasarkan mata uang won dan yen. Kemudian, dengan variabel makro ekonomi yakni Long term interest rates yang diukur berdasarkan persentase rata – rata tarif harian masing – masing negara.
Hasil penelitian memperoleh r-squared terbaik sebesar 97% dimana perolehan ini merupakan model paling baik yang dapat diperoleh penulis setelah beberapa kali melakukan variasi model penelitian. Variabel Cryptocurrency berpengaruh positif dan signifikan terhadap CPI. Namun, hubungan ini hanya bertahan pada periode awal saja, sedangkan pada periode berikutnya cryptocurrency tidak berhubungan signifikan dengan CPI.
yang berarti ketika harga cryptocurrency mengalami peningkatan maka akan meningkatkan variabel inflasi dalam hal ini adalah CPI. Sementara itu, variabel Long term interest rates juga mempengaruhi variabel dependen yaitu CPI secara signifikan, yang berarti ketika long term interest rates mengalami peningkatan maka akan meneingkatkan variabel CPI.
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