The document reports the results of cointegration tests comparing various monetary aggregates and credit instruments between conventional and Islamic monetary policies in Indonesia from 1997 to 2003. Augmented Dickey-Fuller tests were run to examine the ability of each system to control monetary aggregates, the relationship between aggregates and monetary policy goals, and the role of credit instruments. The tests show the conventional system's aggregates and instruments were cointegrated or moving together, while the Islamic system's aggregates and instruments were also cointegrated over the sample period.

1. Lampiran B
Uji Kointegrasi :
1. Kemampuan Mengontrol Besaran (aggregate) Moneter
Konvensional
ADF Test Statistic
-5.914531
1% Critical Value*
5% Critical Value
10% Critical Value
-2.6649
-1.9559
-1.6231
*MacKinnon critical values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U_GM1)
Method: Least Squares
Date: 10/24/03 Time: 14:22
Sample(adjusted): 1997:2 2003:1
Included observations: 24 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U_GM1(-1)
-1.193570
0.201803 -5.914531
R-squared
0.603225 Mean dependent var
Adjusted R-squared
0.603225 S.D. dependent var
S.E. of regression
4.145590 Akaike info criterion
Sum squared resid
395.2761 Schwarz criterion
Log likelihood
-67.67289 Durbin-Watson stat
ADF Test Statistic
-4.586980
1% Critical Value*
5% Critical Value
10% Critical Value
Prob.
0.0000
0.101177
6.581339
5.722741
5.771827
2.058889
-2.6649
-1.9559
-1.6231
*MacKinnon critical values
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U_GM2)
Method: Least Squares
Date: 10/24/03 Time: 14:24
Sample(adjusted): 1997:2 2003:1
Included observations: 24 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U_GM2(-1)
-0.954047
0.207990 -4.586980
R-squared
0.477735 Mean dependent var
Adjusted R-squared
0.477735 S.D. dependent var
S.E. of regression
6.028590 Akaike info criterion
Sum squared resid
835.9096 Schwarz criterion
Log likelihood
-76.66012 Durbin-Watson stat
Prob.
0.0001
0.046279
8.342004
6.471677
6.520763
1.993555

2. Islamic
ADF Test Statistic
-4.977219
1% Critical Value*
5% Critical Value
10% Critical Value
-2.6649
-1.9559
-1.6231
*MacKinnon critical values
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U_GM1ISL)
Method: Least Squares
Date: 10/24/03 Time: 14:25
Sample(adjusted): 1997:2 2003:1
Included observations: 24 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U_GM1ISL(-1)
-1.053546
0.211674 -4.977219
R-squared
0.517825 Mean dependent var
Adjusted R-squared
0.517825 S.D. dependent var
S.E. of regression
0.723054 Akaike info criterion
Sum squared resid
12.02456 Schwarz criterion
Log likelihood
-25.76130 Durbin-Watson stat
ADF Test Statistic
-4.240461
1% Critical Value*
5% Critical Value
10% Critical Value
Prob.
0.0000
-0.039651
1.041282
2.230108
2.279194
1.962687
-2.6649
-1.9559
-1.6231
*MacKinnon critical values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U_GM2ISL)
Method: Least Squares
Date: 10/24/03 Time: 14:25
Sample(adjusted): 1997:2 2003:1
Included observations: 24 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U_GM2ISL(-1)
-0.878444
0.207158 -4.240461
R-squared
0.438655 Mean dependent var
Adjusted R-squared
0.438655 S.D. dependent var
S.E. of regression
4.620883 Akaike info criterion
Sum squared resid
491.1089 Schwarz criterion
Log likelihood
-70.27787 Durbin-Watson stat
Prob.
0.0003
-0.087073
6.167510
5.939823
5.988908
1.972285

3. 2. Keterkaitan antara besaran (aggregate) moneter dan tujuan utama
darikebijakan moneter.
Konvensional
ADF Test Statistic
-5.059436
1% Critical Value*
5% Critical Value
10% Critical Value
-2.6819
-1.9583
-1.6242
*MacKinnon critical values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U_GM1)
Method: Least Squares
Date: 10/24/03 Time: 14:27
Sample(adjusted): 1998:1 2003:1
Included observations: 21 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U_GM1(-1)
-1.123641
0.222088 -5.059436
R-squared
0.561290 Mean dependent var
Adjusted R-squared
0.561290 S.D. dependent var
S.E. of regression
3.701796 Akaike info criterion
Sum squared resid
274.0658 Schwarz criterion
Log likelihood
-56.77059 Durbin-Watson stat
ADF Test Statistic
Prob.
0.0001
0.079638
5.588864
5.501961
5.551700
1.677333
-7.751888
1% Critical Value*
-2.6819
5% Critical Value
-1.9583
10% Critical Value
-1.6242
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U_GM2)
Method: Least Squares
Date: 10/24/03 Time: 14:28
Sample(adjusted): 1998:1 2003:1
Included observations: 21 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U_GM2(-1)
-1.492747
0.192566 -7.751888
R-squared
0.750221 Mean dependent var
Adjusted R-squared
0.750221 S.D. dependent var
S.E. of regression
3.442664 Akaike info criterion
Sum squared resid
237.0387 Schwarz criterion
Log likelihood
-55.24657 Durbin-Watson stat
Prob.
0.0000
0.109123
6.888368
5.356816
5.406555
1.181220

4. Islamic
ADF Test Statistic
-5.249041
1% Critical Value*
5% Critical Value
10% Critical Value
-2.6819
-1.9583
-1.6242
*MacKinnon critical values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U_GM1ISL)
Method: Least Squares
Date: 10/24/03 Time: 14:29
Sample(adjusted): 1998:1 2003:1
Included observations: 21 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U_GM1ISL(-1)
-1.160362
0.221062 -5.249041
R-squared
0.579153 Mean dependent var
Adjusted R-squared
0.579153 S.D. dependent var
S.E. of regression
3.865053 Akaike info criterion
Sum squared resid
298.7727 Schwarz criterion
Log likelihood
-57.67690 Durbin-Watson stat
ADF Test Statistic
-4.471417
1% Critical Value*
5% Critical Value
10% Critical Value
Prob.
0.0000
0.144178
5.957901
5.588276
5.638015
1.441724
-2.6819
-1.9583
-1.6242
*MacKinnon critical values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U_GM2ISL)
Method: Least Squares
Date: 10/24/03 Time: 14:29
Sample(adjusted): 1998:1 2003:1
Included observations: 21 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U_GM2ISL(-1)
-0.993632
0.222219 -4.471417
R-squared
0.499817 Mean dependent var
Adjusted R-squared
0.499817 S.D. dependent var
S.E. of regression
4.271325 Akaike info criterion
Sum squared resid
364.8844 Schwarz criterion
Log likelihood
-59.77582 Durbin-Watson stat
Prob.
0.0002
0.084523
6.039460
5.788173
5.837913
1.607418

5. 3. Instrumen Kredit
Konvensional
ADF Test Statistic
-2.374158
1% Critical Value*
5% Critical Value
10% Critical Value
-2.6649
-1.9559
-1.6231
*MacKinnon critical values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U)
Method: Least Squares
Date: 10/24/03 Time: 14:30
Sample(adjusted): 1997:2 2003:1
Included observations: 24 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U(-1)
-0.396502
0.167007 -2.374158
R-squared
0.196819 Mean dependent var
Adjusted R-squared
0.196819 S.D. dependent var
S.E. of regression
8.099615 Akaike info criterion
Sum squared resid
1508.887 Schwarz criterion
Log likelihood
-83.74741 Durbin-Watson stat
Prob.
0.0263
0.036139
9.037696
7.062284
7.111369
1.962843
Islamic
ADF Test Statistic
-4.536454
1% Critical Value*
-2.6649
5% Critical Value
-1.9559
10% Critical Value
-1.6231
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U)
Method: Least Squares
Date: 10/24/03 Time: 14:31
Sample(adjusted): 1997:2 2003:1
Included observations: 24 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U(-1)
-0.942442
0.207749 -4.536454
R-squared
0.472211 Mean dependent var
Adjusted R-squared
0.472211 S.D. dependent var
S.E. of regression
15.49646 Akaike info criterion
Sum squared resid
5523.228 Schwarz criterion
Log likelihood
-99.31849 Durbin-Watson stat
Prob.
0.0001
0.117077
21.33057
8.359874
8.408960
1.915607

6. 3. Instrumen Kredit
Konvensional
ADF Test Statistic
-2.374158
1% Critical Value*
5% Critical Value
10% Critical Value
-2.6649
-1.9559
-1.6231
*MacKinnon critical values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U)
Method: Least Squares
Date: 10/24/03 Time: 14:30
Sample(adjusted): 1997:2 2003:1
Included observations: 24 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U(-1)
-0.396502
0.167007 -2.374158
R-squared
0.196819 Mean dependent var
Adjusted R-squared
0.196819 S.D. dependent var
S.E. of regression
8.099615 Akaike info criterion
Sum squared resid
1508.887 Schwarz criterion
Log likelihood
-83.74741 Durbin-Watson stat
Prob.
0.0263
0.036139
9.037696
7.062284
7.111369
1.962843
Islamic
ADF Test Statistic
-4.536454
1% Critical Value*
-2.6649
5% Critical Value
-1.9559
10% Critical Value
-1.6231
*MacKinnon critical values for rejection of hypothesis of a unit root.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(U)
Method: Least Squares
Date: 10/24/03 Time: 14:31
Sample(adjusted): 1997:2 2003:1
Included observations: 24 after adjusting endpoints
Variable
Coefficient
Std. Error
t-Statistic
U(-1)
-0.942442
0.207749 -4.536454
R-squared
0.472211 Mean dependent var
Adjusted R-squared
0.472211 S.D. dependent var
S.E. of regression
15.49646 Akaike info criterion
Sum squared resid
5523.228 Schwarz criterion
Log likelihood
-99.31849 Durbin-Watson stat
Prob.
0.0001
0.117077
21.33057
8.359874
8.408960
1.915607