ANALISIS VOLATILITAS HARGA, TRANSMISI HARGA, DAN VOLATILITY SPILLOVER PADA PASAR DUNIA CRUDE PALM OIL (CPO) DENGAN PASAR MINYAK GORENG DI INDONESIA

Authors

  • Yuliana Bakari Department of Agricultural Socio-Economics, Agriculture Faculty, Brawijaya University
  • Ratya Anindita
  • Syafrial Syafrial

Abstract

Unpredictable supply and demand dapat menyebabkan unpredictable price sehingga dapat menyebabkan kecenderungan terjadinya volatilitas harga. Demikian halnya unpredictable supply and demand juga terjadi pada pasar minyak goreng di Indonesia dan pasar dunia Crude Palm Oil (CPO). Di sisi lain, adanya globalisasi dan liberalisasi perdagangan menunjukkan kemungkinan besar terjadinya transmisi harga dan volatility spillover. Sehingga penelitian ini bertujuan untuk menganalisis volatilitas harga pada masing-masing pasar, transmisi harga antara kedua pasar tersebut, serta spillover volatility yang terjadi. Metode yang digunakan adalah kointegrasi engel, ARCH/GARH, dan GARCH-BEKK. Meskipun terjadi transmisi harga dan volatilitas spillover pada kedua pasar tersebut, hasil penelitian volatilitas pada masing-masing harga yaitu pada pasar minyak goreng di Indonesia dan pasar dunia Crude Palm Oil (CPO) menunjukkan bahwa harga bersifat low volatility.

 

Kata kunci: Transmisi harga, Volatilitas, Volatility spillover, ARCH/GARCH

Downloads

Published

2013-08-19

How to Cite

Bakari, Y., Anindita, R., & Syafrial, S. (2013). ANALISIS VOLATILITAS HARGA, TRANSMISI HARGA, DAN VOLATILITY SPILLOVER PADA PASAR DUNIA CRUDE PALM OIL (CPO) DENGAN PASAR MINYAK GORENG DI INDONESIA. Agricultural Socio-Economics Journal, 13(3), 253. Retrieved from https://agrise.ub.ac.id/index.php/agrise/article/view/111

Issue

Vol. 13 No. 3 (2013)

Section

Articles

License

Authors who publish with this journal agree to the following terms:

    1. Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution-NonCommercial License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
    2. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this journal.
    3. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).

Most read articles by the same author(s)

1 2 3 4 > >>