Kesinambungan fiskal dan estimasi fiscal reaction function Indonesia tahun 1977-2017
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Dec 6, 2019
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Abstract
This study aims to identify whether Indonesian fiscal condition in 1977–2017 is sustainable as measured by the government responses to debt burden. Studi on fiscal sustainability is very important since failing to identify its occurrence and determinants will detrimental to fiscal and macroeconomic policy. This study uses Auto-Regressive Distributed Lag – Error Correction Mechanism (ARDL-ECM) to estimate short-term and long-term fiscal reaction functions. The result shows that in the long-term the government responds an increase in debt burden by increasing its primary balance and thus it confirms the existence of fiscal sustainability. Furthermore, by estimating fiscal reaction function this study finds that in the long run exchange rate and Asian Financial Crisis in 1998 have significant effects on primary balance; while in the short run real exchange rates, 1998 economic crisis, and commodity prices affect the primary balance.
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Solikin, A., & Choirunnisah, H. (2019). Kesinambungan fiskal dan estimasi fiscal reaction function Indonesia tahun 1977-2017. Indonesian Treasury Review: Jurnal Perbendaharaan, Keuangan Negara Dan Kebijakan Publik, 4(3), 267-283. https://doi.org/https://doi.org/10.33105/itrev.v4i3.144
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References
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Aso, Y. (2013). Sustainability of budget deficits. Public Policy Review, 9(4), 661–686.
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Bohn, H. (2007). Are stationarity and cointegration restrictions really necessary for the intertemporal budget constraint? Journal of Monetary Economics, 54(7), 1837–1847. https://doi.org/10.1016/j.jmoneco.2006.12.012
Bui, D. (2019). Fiscal sustainability in developing Asia – new evidence from panel correlated common effect model. Journal of Asian Business and Economic Studies, Vol. ahead-of-print (No. ahead-of-print). https://doi.org/ 10.1108/JABES-01-2019-0001
Campos, E. L. & Cysne, R. P. (2019). A time varying fiscal reaction function for Brazil. Estudos Economicos (Sao Paulo), 49(1), 5-38. http://dx.doi.org/10.1590/0101-41614911ecr
Combes, J.-L., Minea, A. & Sow, M. (2017). Is fiscal policy always counter- (pro-) cyclical? The role of public debt and fiscal rules. Economic Modelling, 65, 138-146. http://dx.doi.org/ 10.1016/j.econmod.2017.05.017
Cruz-Rodriguez, A. (2014). Assessing fiscal sustainability in some selected countries. Theoretical and Applied Economics, 21(6), 7-22.
Cuddington, J. T. (1997). Analysing the Sustainability of Fiscal Deficits in Developing Countries. World Bank Research Working Paper No. 1784. Washington: World Bank.
Dinh, H. T. (1999). Fiscal Solvency and Sustainability in Economic Management. World Bank Policy Research Working Paper No. 2213. Washington: World Bank.
Direktorat Jenderal Pengelolaan dan Pembiayaan Risiko Kementerian Keuangan. (n.d.). Posisi Utang Pemerintah Pusat. Diambil 17 September 2018, dari ttp://www.djppr. kemenkeu.go.id/page/load/21.
DJA. (2019). Informasi APBN 2019. Jakarta: Direktorat Jenderal Anggaran, Kementerian Keuangan.
Ebeke, C. & Ölçern, D. (2013). Fiscal policy over the election cycle in low-income countries. IMF Working Paper WP/13/153. International Monetary Fund.
Federal Reserve Bank of St. Louis. (n.d.-a). Crude Oil Prices: West Texas Intermediate (WTI) - Cushing, Oklahoma. Diambil 11 Desember 2018, dari https://fred.stlouisfed.org/series/ DCOILWTICO
Federal Reserve Bank of St. Louis. (n.d.-b). Inflation, Consumer Prices for Indonesia. Diambil 6 November 2018, dari https://fred.stlouisfed. org/series/FPCPITOTLZGIDN
Gujarati, D. N. (2003). Basic Econometric (4th Ed). West Point: McGraw-Hill Higher Education.
Hakim, A. & Sriyana, J. (2015). Debt-to-GDP ratio for fiscal sustainability in Indonesia: A conditional value-at-risk approach. International Journal of Economic Research, 12(4), 1019-1027.
Hakkio, C. S., & Rush, M. (1991). Is the budget deficit “too large?” Economic Inquiry, 29(July), 429–445.
Insukindro. (2018). The effect of twin shock on fiscal sustainability in Indonesia. Economics and Sociology, 11(1), 75–84. https://doi.org/ 10.14254/2071-789X.2018/11-1/5
Jadhav, A. & Neelankavil, J. (2011). Deficit financing: Causes, consequences, and potential cures. The Journal of Applied Business and Economics, 12(6), 83-99.
Kuncoro, H. (2011). The sustainability of state budget in debt repayment. Bulletin of Monetary, Economic, and Banking, April, 415-434.
Lau, E. & Syn-Yee, A. L. (2018). Estimating fiscal reaction functions in Malaysia, Thailand, and the Philippines. Jurnal Ekonomi Malaysia, 52(1), 67-76. http://dx.doi.org/10.17576/ JEM-2018-5201-6
Lestari, T. (2014). Can Indonesia’s Fiscal Policy be Sustained with Exploding Debt? Working Paper in Economics and Development Studies (UNPAD) No. 201415. Bandung: UNPAD.
Mandon, P. & Cazals, A. (2019). Political budget cycles: Manipulation by leaders versus manipulation by reaerchers? Evidence from a meta regression analysis. Journal of Economic Surveys, 33(1), 274-308. doi: 10.1111/ joes.12263
Marisa, R. (2015). Analisis keberlanjutan fiskal Indonesia tahun 2000-2012. Bina Ekonomi, 19(1), 1–14.
Marks, S. V. (2004). Fiscal sustainability and solvency: Theory and recent experience in Indonesia. Bulletin of Indonesia Economic Studies, 40(2), 227–242. https://doi.org/ 10.1080/0007491042000205295
Mokoginta, I. S., & Stephanie, R. M. (2015). Structural breaks and fiscal sustainability of the Indonesian government budget. Economic Journal of Emerging Markets, 7(1), 33–47. https://doi.org/http://dx.doi.org/10.20885/ejem .vol7.iss1.art4
Mudayen, Y. M. V. (2017). The impact of government foreign debt on fiscal sustainability in Indonesia. International Journal of Economics and Financial Issues, 7(3), 746-751.
Nizar, M. A. (2012). Dampak fluktuasi harga minyak dunia terhadap perekonomian Indonesia. Buletin Ilmiah Litbang Perdagangan, 6(2), 189-210.
Nurhayati & Wahyuningsih, M. (2018). Analisis kesinambungan fiskal pada variabel makroekonomi Indonesia periode 1998-2017. Prosiding Seminar Nasional Cendekiawan ke-4 Tahun 2018 Buku II. Jakarta: Universitas Trisakti.
Oyeleke, O. J., & Adebisi, D. G. (2014). Econometric analysis of fiscal deficit sustainability of Ghana. Journal of Economics and Sustainable Development, 5(28), 34–41.
Pamungkas, R. H. (2016). Estimation of Indonesia’s fiscal reaction function. Kajian Ekonomi dan Keuangan, 20(1), 1–18.
Paparas, D., Richter, C. & Paparas, A. (2015). A synthesis of empirical research in the sustainability of fiscal policy. Journal of Economics Bibliography, 2(4), 165-183.
Pesaran, M. H., Shin, Y. & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/ jae.616
Quintos, C. E. (1995). Sustainability of deficit process with structural shift. Journal of Business dan Economics Statistics, 13(4), 409–417.
Rahmany, A. F. (2009). Ketahanan Fiskal dan Manajemen Utang Dalam Negeri Pemerintah. In Abimanyu, A. & Megantara, A. (Eds.), Era Baru Kebijakan Fiskal: Pemikiran, Konsep dan Implementasi. Jakarta: Kompas.
Ramadhan, G., & Simanjuntak, R. A. (2007). Dinamika utang pemerintah dan kesinambungan fiskal di Indonesia periode 1980-2005: Suatu uji perbandingan tiga pendekatan. Jurnal Ekonomi dan Pembangunan Indonesia, 8(1), 1–30.
Solikin, A. (2018). Pengeluaran pemerintah dan perkembangan perekonomian (Hukum Wagner) di negara sedang berkembang: Tinjauan sistematis. Jurnal Info Artha, 2(1), 53-64.
Sriyana, J. (2012). Dinamika Kinerja Fiskal di Indonesia. Yogyakarta: UII Press.
Suharsih, S. (2013). Fluktuasi harga minyak dunia dan pencapaian sustainabilitas fiskal Indonesia. Kinerja, 17(1), 28-44.
Tanner, E., & Samake, I. (2008). Probabilistic sustainability of public debt: A vector autoregression approach for Brazil, Mexico, and Turkey. IMF Staff Papers, 55(1), 149–182. https://doi.org/10.1057/palgrave.imfsp.9450029
Trehan, B., & Walsh, C. E. (1991). Testing intertemporal budget constraints: Theory and applications to U. S. Federal Budget and current account deficits. Journal of Money, Credit and Banking, 23(2), 206. https://doi.org/10.2307/1992777
Tronzano, M. (2013). The Sustainability of Indian fiscal policy: A reassessment of the empirical evidence. Emerging Markets Finance and Trade, 49(0), 63–76. https://doi.org/ 10.2753/REE1540-496X4901S105
Wardhono, A., Qori’ah, C. G. & Wulandari, C. D. A. (2015). Studi kesinambungan fiskal pada variabel makro ekonomi Indonesia: Analisis VAR. Jurnal Ekonomi Kuantitatif Terapan, 8(2), 113-121.
Wickens, M. (2008). Macroeconomic Theory: A Dynamic General Equilibrium Approach. New Jersey: Princeton University Press.
Widjojo, P. (2017). Menjaga kesinambungan fiskal untuk pertumbuhan yang berkualitas. Dalam Tim Indef (Ed.). Menuju Ketangguhan Ekonomi: Sumbang Saran 100 Ekonom Indonesia. Jakarta: Penerbit Buku Kompas.
World Bank. (n.d.-a). Commodity Prices. Diambil 4 November 2018, dari http://www.worldbank. org/en/research/commodity-markets
World Bank. (n.d.-b). Real Interest Rate %. Diambil 27 September 2018, dari https://data. worldbank.org/indicator/FR.INR.RINR?locations=IDdanview=chart
Zhang, P. (2015). Facing fiscal crisis: Managing counter-cyclical debt financing of the state and local government. Journal of Public Budgeting, Accounting & Financial Management, 27(4), 523-545.
Ascarya & Yumanita, D. (2004). Utang pemerintah dan kesinambungan fiskal. Jurnal Ekonomi dan Kewirausahaan, 3(1), 1-26.
Aso, Y. (2013). Sustainability of budget deficits. Public Policy Review, 9(4), 661–686.
Azwar. (2015). Dampak perubahan harga crude palm oil (CPO) terhadap value ekspor komoditas kelapa sawit dan perekonomian Indonesia (Pendekatan vector autoregression analysis). Jurnal Info Artha, 2, 1-17.
Bank Indonesia. (n.d.). Statistik Ekonomi dan Keuangan Indonesia (SEKI). Diambil 24 September 2018, dari https://www.bi.go.id/id/ statistik/seki/terkini/moneter/Contents/Default.aspx
Bohn, H. (2005). The Sustainability of Fiscal Policy in the United States. CESifo Working Paper No. 1446. Santa Barbara: CESifo.
Bohn, H. (2007). Are stationarity and cointegration restrictions really necessary for the intertemporal budget constraint? Journal of Monetary Economics, 54(7), 1837–1847. https://doi.org/10.1016/j.jmoneco.2006.12.012
Bui, D. (2019). Fiscal sustainability in developing Asia – new evidence from panel correlated common effect model. Journal of Asian Business and Economic Studies, Vol. ahead-of-print (No. ahead-of-print). https://doi.org/ 10.1108/JABES-01-2019-0001
Campos, E. L. & Cysne, R. P. (2019). A time varying fiscal reaction function for Brazil. Estudos Economicos (Sao Paulo), 49(1), 5-38. http://dx.doi.org/10.1590/0101-41614911ecr
Combes, J.-L., Minea, A. & Sow, M. (2017). Is fiscal policy always counter- (pro-) cyclical? The role of public debt and fiscal rules. Economic Modelling, 65, 138-146. http://dx.doi.org/ 10.1016/j.econmod.2017.05.017
Cruz-Rodriguez, A. (2014). Assessing fiscal sustainability in some selected countries. Theoretical and Applied Economics, 21(6), 7-22.
Cuddington, J. T. (1997). Analysing the Sustainability of Fiscal Deficits in Developing Countries. World Bank Research Working Paper No. 1784. Washington: World Bank.
Dinh, H. T. (1999). Fiscal Solvency and Sustainability in Economic Management. World Bank Policy Research Working Paper No. 2213. Washington: World Bank.
Direktorat Jenderal Pengelolaan dan Pembiayaan Risiko Kementerian Keuangan. (n.d.). Posisi Utang Pemerintah Pusat. Diambil 17 September 2018, dari ttp://www.djppr. kemenkeu.go.id/page/load/21.
DJA. (2019). Informasi APBN 2019. Jakarta: Direktorat Jenderal Anggaran, Kementerian Keuangan.
Ebeke, C. & Ölçern, D. (2013). Fiscal policy over the election cycle in low-income countries. IMF Working Paper WP/13/153. International Monetary Fund.
Federal Reserve Bank of St. Louis. (n.d.-a). Crude Oil Prices: West Texas Intermediate (WTI) - Cushing, Oklahoma. Diambil 11 Desember 2018, dari https://fred.stlouisfed.org/series/ DCOILWTICO
Federal Reserve Bank of St. Louis. (n.d.-b). Inflation, Consumer Prices for Indonesia. Diambil 6 November 2018, dari https://fred.stlouisfed. org/series/FPCPITOTLZGIDN
Gujarati, D. N. (2003). Basic Econometric (4th Ed). West Point: McGraw-Hill Higher Education.
Hakim, A. & Sriyana, J. (2015). Debt-to-GDP ratio for fiscal sustainability in Indonesia: A conditional value-at-risk approach. International Journal of Economic Research, 12(4), 1019-1027.
Hakkio, C. S., & Rush, M. (1991). Is the budget deficit “too large?” Economic Inquiry, 29(July), 429–445.
Insukindro. (2018). The effect of twin shock on fiscal sustainability in Indonesia. Economics and Sociology, 11(1), 75–84. https://doi.org/ 10.14254/2071-789X.2018/11-1/5
Jadhav, A. & Neelankavil, J. (2011). Deficit financing: Causes, consequences, and potential cures. The Journal of Applied Business and Economics, 12(6), 83-99.
Kuncoro, H. (2011). The sustainability of state budget in debt repayment. Bulletin of Monetary, Economic, and Banking, April, 415-434.
Lau, E. & Syn-Yee, A. L. (2018). Estimating fiscal reaction functions in Malaysia, Thailand, and the Philippines. Jurnal Ekonomi Malaysia, 52(1), 67-76. http://dx.doi.org/10.17576/ JEM-2018-5201-6
Lestari, T. (2014). Can Indonesia’s Fiscal Policy be Sustained with Exploding Debt? Working Paper in Economics and Development Studies (UNPAD) No. 201415. Bandung: UNPAD.
Mandon, P. & Cazals, A. (2019). Political budget cycles: Manipulation by leaders versus manipulation by reaerchers? Evidence from a meta regression analysis. Journal of Economic Surveys, 33(1), 274-308. doi: 10.1111/ joes.12263
Marisa, R. (2015). Analisis keberlanjutan fiskal Indonesia tahun 2000-2012. Bina Ekonomi, 19(1), 1–14.
Marks, S. V. (2004). Fiscal sustainability and solvency: Theory and recent experience in Indonesia. Bulletin of Indonesia Economic Studies, 40(2), 227–242. https://doi.org/ 10.1080/0007491042000205295
Mokoginta, I. S., & Stephanie, R. M. (2015). Structural breaks and fiscal sustainability of the Indonesian government budget. Economic Journal of Emerging Markets, 7(1), 33–47. https://doi.org/http://dx.doi.org/10.20885/ejem .vol7.iss1.art4
Mudayen, Y. M. V. (2017). The impact of government foreign debt on fiscal sustainability in Indonesia. International Journal of Economics and Financial Issues, 7(3), 746-751.
Nizar, M. A. (2012). Dampak fluktuasi harga minyak dunia terhadap perekonomian Indonesia. Buletin Ilmiah Litbang Perdagangan, 6(2), 189-210.
Nurhayati & Wahyuningsih, M. (2018). Analisis kesinambungan fiskal pada variabel makroekonomi Indonesia periode 1998-2017. Prosiding Seminar Nasional Cendekiawan ke-4 Tahun 2018 Buku II. Jakarta: Universitas Trisakti.
Oyeleke, O. J., & Adebisi, D. G. (2014). Econometric analysis of fiscal deficit sustainability of Ghana. Journal of Economics and Sustainable Development, 5(28), 34–41.
Pamungkas, R. H. (2016). Estimation of Indonesia’s fiscal reaction function. Kajian Ekonomi dan Keuangan, 20(1), 1–18.
Paparas, D., Richter, C. & Paparas, A. (2015). A synthesis of empirical research in the sustainability of fiscal policy. Journal of Economics Bibliography, 2(4), 165-183.
Pesaran, M. H., Shin, Y. & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/ jae.616
Quintos, C. E. (1995). Sustainability of deficit process with structural shift. Journal of Business dan Economics Statistics, 13(4), 409–417.
Rahmany, A. F. (2009). Ketahanan Fiskal dan Manajemen Utang Dalam Negeri Pemerintah. In Abimanyu, A. & Megantara, A. (Eds.), Era Baru Kebijakan Fiskal: Pemikiran, Konsep dan Implementasi. Jakarta: Kompas.
Ramadhan, G., & Simanjuntak, R. A. (2007). Dinamika utang pemerintah dan kesinambungan fiskal di Indonesia periode 1980-2005: Suatu uji perbandingan tiga pendekatan. Jurnal Ekonomi dan Pembangunan Indonesia, 8(1), 1–30.
Solikin, A. (2018). Pengeluaran pemerintah dan perkembangan perekonomian (Hukum Wagner) di negara sedang berkembang: Tinjauan sistematis. Jurnal Info Artha, 2(1), 53-64.
Sriyana, J. (2012). Dinamika Kinerja Fiskal di Indonesia. Yogyakarta: UII Press.
Suharsih, S. (2013). Fluktuasi harga minyak dunia dan pencapaian sustainabilitas fiskal Indonesia. Kinerja, 17(1), 28-44.
Tanner, E., & Samake, I. (2008). Probabilistic sustainability of public debt: A vector autoregression approach for Brazil, Mexico, and Turkey. IMF Staff Papers, 55(1), 149–182. https://doi.org/10.1057/palgrave.imfsp.9450029
Trehan, B., & Walsh, C. E. (1991). Testing intertemporal budget constraints: Theory and applications to U. S. Federal Budget and current account deficits. Journal of Money, Credit and Banking, 23(2), 206. https://doi.org/10.2307/1992777
Tronzano, M. (2013). The Sustainability of Indian fiscal policy: A reassessment of the empirical evidence. Emerging Markets Finance and Trade, 49(0), 63–76. https://doi.org/ 10.2753/REE1540-496X4901S105
Wardhono, A., Qori’ah, C. G. & Wulandari, C. D. A. (2015). Studi kesinambungan fiskal pada variabel makro ekonomi Indonesia: Analisis VAR. Jurnal Ekonomi Kuantitatif Terapan, 8(2), 113-121.
Wickens, M. (2008). Macroeconomic Theory: A Dynamic General Equilibrium Approach. New Jersey: Princeton University Press.
Widjojo, P. (2017). Menjaga kesinambungan fiskal untuk pertumbuhan yang berkualitas. Dalam Tim Indef (Ed.). Menuju Ketangguhan Ekonomi: Sumbang Saran 100 Ekonom Indonesia. Jakarta: Penerbit Buku Kompas.
World Bank. (n.d.-a). Commodity Prices. Diambil 4 November 2018, dari http://www.worldbank. org/en/research/commodity-markets
World Bank. (n.d.-b). Real Interest Rate %. Diambil 27 September 2018, dari https://data. worldbank.org/indicator/FR.INR.RINR?locations=IDdanview=chart
Zhang, P. (2015). Facing fiscal crisis: Managing counter-cyclical debt financing of the state and local government. Journal of Public Budgeting, Accounting & Financial Management, 27(4), 523-545.