PENERAPAN GENERAL METHOD OF MOMENT (GMM) PADA PERILAKU INVESTASI PORTOFOLIO DI INDONESIA
Ciplis Gema Qori’ah
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Ease of movement of capital flows, especially in the form of a portfolio can cause problems in the domestic economy of a country. Economic factors and noneconomic influence on the sustainability of portfolio investment flows. It becomes very important to consider, given the movement of portfolio investment flows may lead to volatility in the exchange rate. The purpose of this study to determine the performance of the investment portfolio movements and analyze the relationship of investment portfolios and real effective exchange rate in Indonesia. The analytical method used is the Generalized Method of Moment (GMM). GMM is a robust estimator valuation method with the principle of doing the selection of parameters in order to estimate the value of the sample moments aligned with the moments of the population, which is equal to zero. The underlying reasons for the use of this method rather than ordinary least squares (OLS) is a common GMM estimators and provide a more useful framework for comparison and assessment as well as provide a simple alternative to other estimators, especially on maximum likelihood. The results of the analysis using the Generalized Method of Moment (GMM) illustrate that the movement of Indonesian investment portfolio has a significant positive relationship to the stability of the real effective exchange rate.
- Fakultas Ekonomi