Analisis Penerapan Kebijakan Moneter Suku Bunga Jangka Pendek pada Variabel-variabel Endogen MakroEkonomi Indonesia

Authors

  • Sari Damayanti Bina Nusantara University

DOI:

https://doi.org/10.21512/bbr.v5i2.1187

Keywords:

Structural Vector Autoregressive (SVAR), liquidity shock, real GDP shock, inflation shock, variance decomposition

Abstract

This study analyzed the impact of the implementation of monetary policy through short-term interest rates setting on the variation that occurs in the endogenous variables of Indonesian macro economy in the period of 2000-2009 by implementing the Structural Vector Autoregressive approach (SVAR) which is the development of Vector Autoregressive (VAR) modelling with Eviews program. By careful examination of the results, this study indicates that the value of interest rate changes is significantly associated with shocks that are associated with monetary policy. The monetary sector is heavily influenced by real GDP shock, liquidity, and inflation shock. However, the monetary sector is only slightly affected by the decomposition of the variance of the exchange rate, which is very sensitive to the inflation shock. The study also indicates that the endogenous variables in the value of changes in interest rates and real exchange rate of rupiah will be close to convergence in the long term. The endogenous variables are more susceptible to changes in variables derived from domestic, such as the level of demand for domestic currency liquidity, compared to variables derived from international capital exposure. Thus, the value of the variable interest rate changes can be used to reduce the potential risks derived from domestic money demand shock.

Dimensions

Plum Analytics

Author Biography

Sari Damayanti, Bina Nusantara University

School of Business Management

References

Bank Indonesia. (2010). Laporan Kebijakan Moneter 2000-2009. Jakarta: Bank Indonesia.

______. (2010). Laporan Perekonomian Bank Indonesia 2000-2009. Jakarta: Bank Indonesia.

Enders, W. (2010). Applied Econometric Time Series. 3rd Ed. New York: Wiley.

Mirdala, R. (2009). Interest rate transmission mechanism of monetary policy in the selected EMU candidate countries. Munich: MPRA Paper 14072.

Takatoshi, I. and Kiyotaka, S. (2006) Exchange rate changes and inflation in post-crisis Asian economies. NBER Working Paper, 2395.

Taylor, J. B. (1995). The monetary transmission mechanis: An empirical framework. Journal of Economic Perspectives, 9(4), 11-26.

Warjiyo, P. (2004). Mekanisme Transmisi Kebijakan Moneter di Indonesia. Jakarta: PPSK Bank Indonesia.

Downloads

Published

2014-11-28
Abstract 563  .
PDF downloaded 408  .