MEASURING CONTAGION EFFECT OF GREEK SOVEREIGN DEBT CRISIS ON INDONESIA

  • arif Setiawan Sekretariat Jenderal Kementerian Keuangan

Abstract

Abstraksi

Saat krisis utang Yunani memuncak, banyak negara terkena efek domino sampai derajat tertentu. Indonesia mungkin terkena juga dampak dari krisis walaupun tidak ada jalur yang kuat untuk mengalirkan krisis. Sampai saat ini krisis utang Yunani belum berakhir sepenuhnya dan karenanya perlu untuk mengevaluasi dampak dari krisis terhadap ekonomi Indonesia untuk antisipasi kemungkinan krisis susulan. Menggunakan model Vector Auto Regressive (VAR) untuk menangkap hubungan antara tingkat harga instrumen Credit Default Swap antara dua negara: Indonesia dan Yunani, penelitian ini melakukan estimasi dampak krisis Yunani terhadap Indonesia melalui Impulse Response Function berbasis parameter model VAR. Hasil estimasi menunjukkan dampak krisis Yunani terhadap Indonesia adalah sangat lemah. Hal ini mengindikasikan bahwa investor mungkin telah menyadari bahwa ekonomi Indonesia cukup terisolasi dari krisis Yunani dan karenanya tidak mengubah persepsi sovereign risk Indonesia.

Kata Kunci: Krisis Utang Yunani, Efek Domino, Model VAR, Impulse Response Function   

 

Abstract

As Greece Debt Crisis emerged, many countries suffered contagion effect to some level. Indonesia might have been affected by the crisis even there was no strong link to transfers the shock. As the debt crisis has not yet over completely, we need to evaluate the impact of previous shock on Indonesian economy to anticipate the possibility of the next event.  Employing Vector Auto Regressive (VAR) model to capture connection between Sovereign Credit Default Swap of two countries we found our estimation of Impulse Response Function of Indonesia CDS on shock in Greece CDS and concluded that the magnitude of debt crisis in uprising credit default risk on Indonesia was considered to be very low. This dynamic told us that investors may have learnt that Indonesian economy was quiet isolated from shock in Greece and they expected no change in the Indonesia sovereign risk.

Keywords: Greece Sovereign Debt Crisis, Contagion, VAR Model, Impulse Response Function

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Published
2020-12-23
How to Cite
Setiawan, arif. (2020). MEASURING CONTAGION EFFECT OF GREEK SOVEREIGN DEBT CRISIS ON INDONESIA. Jurnal BPPK : Badan Pendidikan Dan Pelatihan Keuangan, 13(2), 11-20. https://doi.org/https://doi.org/10.48108/jurnalbppk.v13i2.461
Section
Articles