Analisis dampak kebijakan moneter terhadap variabel makroekonomi di Indonesia tahun 1983.1 - 2003.2

Julaihah, Umi and Insukindro, Insukindro (2004) Analisis dampak kebijakan moneter terhadap variabel makroekonomi di Indonesia tahun 1983.1 - 2003.2. Buletin Ekonomi Moneter dan Perbankan, 7 (2). pp. 323-341. ISSN p-ISSN: 1410 8046, e-ISSN: 2460 9196

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Abstract

The objectives of this study are to analyze the effect of monetary policy on Indonesian economy and which monetary instruments can explain the variability of macroeconomic variables better. We apply Vector Error Correction Model on quarterly Indonesian economic data during period of 1983.1 - 2003.2. We observe monetary policy variables namely base money, SBI interest rate, one-month commercial bank deposit interest rate, and macroeconomic variables namely consumer price index, gross domestic product, and exchange rate (rupiah/dollar). The model approach provide us two quantitative measurements, (i) impulse response function that can trace the response of one endogenous variable caused by shock/ innovation of other variables in the model; (ii) variance decomposition to show the relative contribution of certain endogenous variable variability. The result of impulse response function shows that economic growth did not response the shock of base money while on the other hand the base money has significant effect on inflation. This leaves a price puzzle and liquidity puzzle. The use of SBI as policy variable gives better result than base money as price puzzle and liquidity puzzle vanish. The result of variance decomposition shows that base money contributes only 5% on inflation but it did not give any contribution on economic growth fluctuation. While SBI has better capability in explaining the economic growth fluctuation until 14%. The interesting result is policy variables (base money and SBI) have best contribution in explain the fluctuation on exchange rate. These findings assert that policy shock is well responded by exchange rate rather than other economic variables.

Item Type:	Journal Article
Keywords:	monetary policy; impulse response function; variance decomposition
Subjects:	14 ECONOMICS > 1402 Applied Economics > 140207 Financial Economics 14 ECONOMICS > 1402 Applied Economics > 140212 Macroeconomics (incl. Monetary and Fiscal Theory) 14 ECONOMICS > 1403 Econometrics > 140305 Time-Series Analysis
Divisions:	Faculty of Tarbiyah and Teaching Training > Department of Social Science Education
Depositing User:	Umi Julaihah
Date Deposited:	16 Oct 2024 10:22

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