Kointegritas dan kausalitas antar variabel makroekonomi dan permintaan asuransi jiwa di Indonesia = Cointegration and Causality between Macroeconomic Variables and Life Insurance Demand in Indonesia

Utomo, Calvin (2018) Kointegritas dan kausalitas antar variabel makroekonomi dan permintaan asuransi jiwa di Indonesia = Cointegration and Causality between Macroeconomic Variables and Life Insurance Demand in Indonesia. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Banyak variabel makroekonomi yang berdampak pada permintaan asuransi jiwa yang masih kurang diteliti di Indonesia. Penelitian ini dilakukan untuk mencari tahu variabel apa saja yang memiliki hubungan kausal, agar dapat digunakan oleh pemerintah, investor, maupun perusahaan agar dapat menjadi acuan dalam dunia asuransi jiwa. Data diperoleh dari berbagai sumber, namun mayoritas data yang digunakan diperoleh dari World Bank, OJK, dan BI. Untuk mengubah data menjadi bulanan dari tahunan, dilakukanlah interpolasi linier, kubik, dan bessel kubik, serta inflation multiplier. Data kemudian diolah dengan Augmented Dickey Fuller test untuk mengecek stasionaritas, Johansen Cointegration test untuk mengecek kointegritas antar variabel, Vector Error Correction Model untuk hubungan jangka panjang dan pendek, dan Granger Causality test untuk hubungan kausal antar variabel. Dari penelitian ini didapatkanlah suatu kesimpulan bahwa Tabungan tidak dapat menjadi determinan karena tidak adanya hubungan kausalitas dengan permintaan asuransi jiwa di Indonesia. Rasio Ketergantungan, Tingkat suku bunga, Inflasi, dan Urbanisasi mempunyai hubungan kointegrasi jangka panjang positif dengan permintaan asuransi jiwa di Indonesia. Di lain sisi, Rasio Ketenagakerjaan dan Pendapatan mempunyai hubungan sebaliknya. / Many macroeconomic variables have an impact on the demand for life insurance that is still under-researched in Indonesia. This study was conducted to find out what variables have a causal relationship, in order to be used by the government, investors, and companies for a reference in the world of life insurance. Data are obtained from various sources, but the majority of data used are obtained from World Bank, OJK, and BI. To convert data to monthly from yearly, linear, cubic, and bessel cubic interpolation were performed, as well as inflation multiplier. Data was processed with Augmented Dickey Fuller test to check stationarity, Johansen Cointegration test to check cointegration between variables, Vector Error Correction Model for long and short term relationships, and Granger Causality test for causal relationships between variables. From this research, it is concluded that Savings can not be a determinant because there exists no causal relation with demand for life insurance in Indonesia. Dependency Ratios, Interest rates, Inflation, and Urbanization have a positive long run cointegration relationship with demand for life insurance in Indonesia. On the other hand, Ratio of Employment and Revenue have the opposite relationship.

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