ABSTRACT The idea of business cycle is not new in economic

ABSTRACT
The idea of business cycle is not new in economic theory. Progressive fluctuation
has sparked uncertainty in economic indicators, therefore it is important to way to
predict fluctuations in Indonesia’s economic growth. Business cycle can be used
as early warning system to predict the economic indicators. According to business
cycle, this research will build leading economic indicators compare to a country’s
economic. Leading Economic Indicator (LEI) is a composite of macroeconomic
indicator that indicate some specific economic variables to forecast economic
activity and business cycle movement which was approached with the growth of
Gross Domestic Product (GDP) using the growth rate cycle method. This study
uses secondary data. The observations are quarterly data starting from the first
quarter of 2001 to the fourth quarter of 2013 with constituent variables: the
number of domestic departure passengers, cement consumption, stock market
capitalization Indonesia, Hang Seng index, NYSE index, FTSE100 index, IHSG,
and the total of export. The method used in this study is seasonally adjustment
process time series in the program Census X-12 ARIMA and band-pass filter of
Christiano-Fitzgerald to get the business cycle of GDP and LEI series. Leading
economic indicators result successfully showed cross-correlation coefficient of
0.54.
Keywords: early warning system, business cycle, leading economic indicator,
economic growth, growth rate cycle, seasonal adjustment, band-pass filter
Christiano-Fitzgerald.
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ABSTRAKSI
Ide siklus bisnis bukanlah hal yang baru dalam teori ekonomi . Fluktuasi progresif
telah memicu ketidakpastian dalam indikator ekonomi, oleh karena itu penting
untuk mengetahui cara memprediksi fluktuasi pertumbuhan ekonomi Indonesia.
Siklus bisnis dapat digunakan sebagai peringatan dini memprediksi pergerakan
indikator ekonomi. Penelitian ini bertujuan membentuk Leading Indicator
Economic (LEI) atau indikator pendahulu yang dibandingkan dengan seri acuan.
Indikator pendahulu adalah gabungan dari indikator-indikator ekonomi makro
yang menunjukkan variabel-variabel ekonomi yang dipakai untuk meramalkan
pergerakan siklus bisnis didekati dengan pertumbuhan Produk Domestik Bruto
(PDB) dan dianalisis menggunakan metode growth rate cycle. Penelitian ini
menggunakan data sekunder dalam bentuk data kuartalan dari kuartal I tahun 2001
sampai kuartal IV tahun 2013. Variabel yang dipakai adalah: jumlah penumpang
pesawat keberangkatan domestik, konsumsi semen, kapitalisasi pasar saham
Indonesia, indeks saham Hang Seng, indeks saham NYSE, indeks saham
FTSE100, IHSG, dan total ekspor. Pemisahan faktor musiman dan faktor tren dari
komponen siklikal menggunakan proses seasonal adjustment pada Census X-12
ARIMA. Sementara proses filtrasi dilakukan dengan menggunakan band pass
filter Christiano Fitzgerald. Hasil penelitian ini telah membentuk leading
economic indicator dengan koefisien korelasi silang sebesar 0,54.
Kata kunci: siklus bisnis, pertumbuhan ekonomi, leading economic indicator,
growth rate cycle, seasonal adjustment, band pass filter Christiano Fitzgerald.
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