Electronic Theses and Dissertation

Fluktuasi harga komoditas pangan di provinsi aceh tidak terjadi secara mandiri, tetapi dapat saling memengaruhi melalui mekanisme limpahan guncangan harga antarkomoditas. penelitian ini bertujuan mengidentifikasi hubungan kausalitas granger, mengestimasi struktur limpahan harga menggunakan indeks konektivitas statis berbasis var dan indeks konektivitas dinamis berbasis tvp-var, menganalisis arah dan durasi respons harga pada periode normal menggunakan tv girf, serta menguji keandalan hasil terhadap variasi horizon prediksi. data yang digunakan berupa harga harian bawang merah, cabai merah keriting, daging ayam ras, dan telur ayam ras di provinsi aceh dari badan pangan nasional periode 14 maret 2021 hingga 31 maret 2026, dengan total 1.844 observasi. hasil uji kausalitas granger pada model var(6) menunjukkan tujuh hubungan kausalitas prediktif yang signifikan, terdiri atas tiga hubungan timbal balik dan satu hubungan searah. indeks konektivitas statis menghasilkan tci sebesar 12,50%; dengan telur ayam ras sebagai satu satunya net transmitter. sementara itu, tvp-var menghasilkan rata-rata tci dinamis sebesar 18,87%; dengan cabai merah keriting dan daging ayam ras sebagai net transmitter, serta bawang merah dan telur ayam ras sebagai net receiver. analisis tv-girf menunjukkan bahwa guncangan cabai merah keriting memberikan respons positif yang lebih berkelanjutan terhadap daging ayam ras dan telur ayam ras. analisis sensitivitas menunjukkan peran cabai merah keriting, daging ayam ras, dan bawang merah relatif stabil pada horizon prediksi 5; 10; dan 20.

Food commodity prices in Aceh Province do not fluctuate independently but may influence one another through price shock spillover mechanisms across commodities. This study aims to identify Granger causality relationships, estimate the price spillover structure using a VAR-based Static Connectedness Index and a TVP VAR-based Dynamic Connectedness Index, analyze the direction and duration of price responses during a normal period using TV-GIRF, and examine the robustness of the results across different forecast horizons. The data consist of daily prices of shallots, curly red chili, broiler chicken meat, and chicken eggs in Aceh Province obtained from the National Food Agency for the period from March 14, 2021, to March 31, 2026, with 1,844 observations. The Granger causality test based on the VAR(6) model identifies seven significant predictive causality relationships, consisting of three bidirectional relationships and one unidirectional relationship. The Static Connectedness Index produces a TCI of 12.50%; with chicken eggs identified as the only net transmitter. Meanwhile, the TVP-VAR approach generates an average dynamic TCI of 18.87%; with curly red chili and broiler chicken meat identified as net transmitters, while shallots and chicken eggs are identified as net receivers. The TV GIRF analysis shows that shocks from curly red chili generate more persistent positive responses in broiler chicken meat and chicken eggs. The sensitivity analysis indicates that the roles of curly red chili, broiler chicken meat, and shallots remain relatively stable across forecast horizons of 5; 10; and 20.