Emas Sebagai Safe Haven Di Indonesia: Analisis Time Varying Parameter Vector Autoregression Dan Quantile Regression
DOI:
https://doi.org/10.47709/jebma.v6i2.8375Keywords:
Emas, IHSG, Nilai Tukar, Quantile regression, TVP-VARAbstract
Penelitian ini dilatarbelakangi oleh meningkatnya ketidakpastian ekonomi global yang berdampak pada volatilitas pasar keuangan dan mendorong kebutuhan investor terhadap instrumen lindung nilai (safe haven). Emas dikenal sebagai salah satu aset yang relatif stabil, namun hubungan antara harga emas dan variabel makroekonomi tidak selalu bersifat konstan. Oleh karena itu, penelitian ini bertujuan untuk menganalisis peran emas sebagai safe haven di Indonesia dengan pendekatan yang mampu menangkap dinamika dan non-linearitas hubungan antar variabel. Metode yang digunakan adalah Time-Varying Parameter Vector Autoregression (TVP-VAR) dan Quantile Regression dengan data time series bulanan periode 2010–2025 yang mencakup harga emas, IHSG, nilai tukar, inflasi, dan ketidakpastian ekonomi. Hasil penelitian menunjukkan bahwa hubungan antara harga emas dan variabel makroekonomi bersifat dinamis dan tidak homogen. Emas cenderung berfungsi sebagai safe haven terutama pada periode krisis dan kondisi pasar ekstrem. Pendekatan TVP-VAR mampu menangkap perubahan hubungan antar variabel dari waktu ke waktu, sementara Quantile Regression menunjukkan adanya variasi pengaruh pada berbagai tingkat distribusi. Kesimpulannya, efektivitas emas sebagai instrumen lindung nilai di Indonesia tidak bersifat konstan, melainkan bergantung pada kondisi pasar dan tingkat ketidakpastian ekonomi. Temuan ini mengimplikasikan bahwa investor perlu melakukan diversifikasi portofolio secara dinamis dengan mempertimbangkan kondisi pasar, sementara pembuat kebijakan perlu menjaga stabilitas makroekonomi guna meminimalkan volatilitas pasar keuangan.
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