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Submitted
August 9, 2019
Accepted
March 1, 2021
Published
December 31, 2021
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Abstract

Penelitian ini bertujuan untuk membangun deteksi dini terjadinya krisis utang publik di Indonesia dengan pendekatan Markov Switching Dynamic Regression (MS-DR). Rasio utang terhadap PDB menjadi variabel dependen serta variabel moneter (inflasi, nilai tukar) dan variabel fiskal (konsumsi, investasi, belanja pemerintah, ekspor, pajak) sebagai variabel indikator. Hasil penelitian menunjukkan beberapa variabel indikator, baik fiskal maupun moneter, dapat memprediksi kondisi ekonomi, yaitu kondisi stabil atau krisis. Apabila perekonomian dalam keadaan stabil, probabilitas untuk mempertahankannya 95%, dan sebaliknya dalam kondisi krisis probabilitas untuk bertahan 86%, dengan durasi 21 kuartal kondisi stabil dan 7 kuartal kondisi kritis. Hal ini menunjukkan bahwa utang publik Indonesia cenderung memberikan probabilitas kondisi stabil yang lebih besar daripada kondisi krisis.

Keywords

deteksi dini krisis utang publik rasio debt to GDP Markov switching durasi krisis

Article Details

How to Cite
Wardhana, M. S. (2021). Deteksi Dini Krisis Utang Publik Indonesia: Pendekatan Markov Switching. Jurnal Ekonomi Indonesia, 10(3), 205–218. https://doi.org/10.52813/jei.v10i3.6
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