The long-run analysis of monetary policy transmission channels on inflation: a VECM approach

2018 ◽  
Vol 23 (1) ◽  
pp. 17-30 ◽  
Author(s):  
Ngan Tran
Keyword(s):  
Monetary Policy ◽  
Monetary Policy Transmission ◽  
Transmission Channels ◽  
Long Run ◽  
Policy Transmission

scholarly journals Monetary policy transmission mechanisms in Indonesia: revisiting the role of Divisia money

2020 ◽  
Vol 185 (9-10) ◽  
pp. 91-98
Author(s):  
Maggie May-Jean Tang ◽  
◽  
Chin-Hong Puah ◽  
I Gusti Ayu Purnamawati ◽  
◽  
...  
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Monetary Policy Transmission ◽  
Vector Autoregressive ◽  
Transmission Mechanisms ◽  
Long Run ◽  
Svar Model ◽  
Policy Transmission ◽  
Structural Vector

This study examines the performance of monetary policy transmission mechanisms in Indonesia from the money view. The best choice of a monetary policy transmission channel has been a topic of debate for many years among researchers as well as central banks. This is mainly due to the inconsistent performance of different channels across countries and period of time. Therefore, it is crucial for policymakers to have a prior understanding of the strengths of the various monetary policy transmission channels. The role of Divisia money in the process of transmission mechanism has also been considered in the Structural Vector Autoregressive (SVAR) model of this study with eight variables and quarterly data from 1984Q1 to 2019Q4. In Indonesia, interest-rates are the major tool used by the central bank to achieve the targeted inflation rate. However, our empirical analysis has shown otherwise, suggesting that other channels are better in ensuring the transmission smoothness of the monetary policy. In addition, depending on whether a short- or long-run effect is desired, a different channel should be adopted to transmit the intended impact. This study has affirmed the superiority of Divisia money since most of the fluctuations in the key domestic macroeconomic variables in Indonesia can be explained by the monetary aggregate.

scholarly journals MONETARY POLICY TRANSMISSION IN A MACROECONOMIC AGENT-BASED MODEL

2017 ◽  
Vol 20 (08) ◽  
pp. 1850003 ◽  
Author(s):  
JOERI SCHASFOORT ◽  
ANTOINE GODIN ◽  
DIRK BEZEMER ◽  
ALESSANDRO CAIANI ◽  
STEPHEN KINSELLA
Keyword(s):  
Monetary Policy ◽  
Model Simulation ◽  
Macroeconomic Model ◽  
Interbank Market ◽  
Monetary Policy Transmission ◽  
Agent Based ◽  
Transmission Channels ◽  
Interest Rate Shocks ◽  
Policy Transmission ◽  
Simulation Results

In this paper we explore the variety of monetary policy transmission channels in an agent-based macroeconomic model. We identify eight transmission channels and present a model based on [Caiani et al., J. Econ. Dyn. Contr. 69 (2016) 375–480], extended with an interbank market. We then analyze model simulation results of interest rate shocks in terms of GDP and inflation for four of the transmission channels. We find these effects to be small, in line with the view that monetary policy is a weak tool to control inflation.

scholarly journals Efektivitas Jalur-Jalur Transmisi Kebijakan Moneter di Indonesia Dengan Sasaran Tunggal Inflasi

2016 ◽  
Vol 1 (1) ◽  
pp. 1-10
Author(s):  
Muhammad Yusuf
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Impulse Response ◽  
Variance Decomposition ◽  
Annual Reports ◽  
Monetary Policy Transmission ◽  
Transmission Channels ◽  
Policy Transmission ◽  
The Interest Rate ◽  
Interest Rate Channel

The purpose of this study is to examine the effectiveness of four monetary policy transmission channels, i.e. direct monetary, interest rate, credit, and exchange rate, on inflation rate in Indonesia as the single target, and to determine the most suitable variables for operational target on the most effective channel. The quantitative research method applied in this study used Vector Auto Regression (VAR) model to analyze the effectiveness of monetary policy transmission channels in Indonesia in the period from the first quarter of 2000 to the third quater of 2013. The data were taken from Indonesia Finance Statistics (SEKI), Bank Indonesia Annual Reports, IMF Finance Statistics, and Publication of the Central Bureau Statistics. The results show that the interest rate channel is the most effective method compared with the other channels. The analysis done through testing impulse response and variance decomposition tests indicates the reliability of interest rate channel in reaching the inflation target. The interest rate of the interbank money market is the most suitable indicator for operational target of the interest rate channel. Test results using path impluse response method indicates that shocks of RPUAB get a strong and fast response. Abstrak Tujuan Penelitian ini untuk mengetahui di antara keempat jalur transmisi kebijakan moneter, yaitu jalur moneter langsung, jalur suku bunga, jalur kredit, dan jalur nilai tukar yang lebih efektif dalam implementasi kebijakan moneter dengan sasaran tunggal inflasi di Indonesia dan mengetahui variabel yang paling cocok digunakan sebagai sasaran operasional pada jalur yang paling efektif. Metode penelitian yang digunakan adalah penelitian kuantitatif dengan menggunakan analisis Vector Autoregression (VAR). Penelitian ini merupakan studi kasus untuk Indonesia periode tahun 2000 triwulan I sampai dengan tahun 2013 triwulan III. Data bersumber dari Statistik Ekonomi dan Keuangan Indonesia (SEKI), Laporan Tahunan Bank Indonesia, IMF Finance Statistics, dan publikasi Badan Pusat Statistik. Hasil penelitian menunjukkan bahwa jalur suku bunga merupakan jalur yang paling efektif dibanding dengan jalur-jalur lainnya. Analisis yang dilakukan melalui uji impulse response dan uji variance decomposition menggambarkan keandalan penggunaan jalur suku bunga dalam mencapai sasaran akhir inflasi, terlihat dari respon yang diberikan oleh inflasi dan varians dari variabel-variabel yang terlibat dalam jalur ini. Pengujian pada jalur suku bunga menunjukkan bahwa shock RPUAB mendapatkan respon yang kuat dan juga cepat dari inflasi sehingga cocok digunakan sebagai sasaran operasional dalam mencapai sasaran akhir inflasi.

scholarly journals NFLASI DI INDONESIA PADA PERIODE 2011-2015: ANALISIS SERTIFIKAT BANK INDONESIA, SERTIFIKAT BANK INDONESIA SYARIAH, PASAR UANG ANTAR BANK, PASAR UANG ANTAR BANK SYARIAH, FINANCE TO DEPOSIT RATIO DAN LOAN TO DEPOSIT RATIO

2019 ◽  
Vol 5 (12) ◽  
pp. 1070
Author(s):  
Achmad Adnan Fauzi Wicaksana ◽  
Raditya Sukmana
Keyword(s):  
Monetary Policy ◽  
Financial Services ◽  
Inflation Rate ◽  
Secondary Data ◽  
Money Market ◽  
Monetary Policy Transmission ◽  
Long Run ◽  
Policy Transmission ◽  
Negative Effect ◽  
Effect Of Monetary Policy

This study aims to examine the effect of monetary policy transmission through conventional and sharia systems to the inflation rate in Indonesia from January 2011 to December 2015. The approach used is Vector Error Correction Model (VECM)quantitative method using Eviews 8 program. The data used was secondary data from the official website of Bank Indonesia and the Financial Services Authority (Otoritas Jasa Keuangan/OJK). The result of the research shows that in the long run, conventional monetary policy transmission has aneffect on inflation rate in Indonesia, namely the interest rate of Bank Indonesia Certificates which has a positive and significant effect to the inflation rate in Indonesia. Interbank money market variables have negative and significant influence on the inflation rate. While the loan to deposit ratio variable doesn't have any effect on inflation rate. On the sharia side, the results show that in the long run, the sharia monetary policy transmission has an effect on inflation in Indonesia, namely Bank Indonesia Sharia Certificate that has significant negative effect and sharia money market has significant positive effect,whilst finance to deposit ratio doesn't.

Monetary Policy Shocks and Effectiveness of Channels of Transmission in Nigeria: A Dynamic Stochastic General Equilibrium Approach

2019 ◽  
Vol 20 (2) ◽  
pp. 331-353 ◽  
Author(s):  
Akinlo Anthony Enisan ◽  
Apanisile Olumuyiwa Tolulope
Keyword(s):  
Monetary Policy ◽  
General Equilibrium ◽  
Dynamic Stochastic General Equilibrium ◽  
Monetary Policy Transmission ◽  
Monetary Policy Shocks ◽  
Transmission Channels ◽  
Policy Transmission ◽  
Policy Shocks ◽  
Dynamic Stochastic ◽  
Monetary Policy Shock

This study examines the effect of anticipated and unanticipated monetary policy shocks on the effectiveness of monetary policy transmission mechanism in Nigeria by estimating a sticky-price dynamic stochastic general equilibrium (DSGE) model using Bayesian estimation approach. Four major transmission channels (exchange rate, interest rate, credit and expectation) are considered due to the economic and financial conditions of Nigeria. The study employs quarterly data from 1986:1 to 2013:4 and data are sourced from World Development Indicator (online version). Results show that unanticipated monetary policy shock has short-run impact on monetary policy transmission channels, while anticipated monetary policy shock has long-run impact on the monetary policy transmission channels. The study, therefore, concluded that efforts should be directed at reducing the unanticipated monetary policy by announcing government policy at the beginning of the year so as to reduce people’s expectation.

Long-run and Short-run Monetary Policy Transmission Channels in Lebanon

2018 ◽  
Vol 14 (1) ◽  
Author(s):  
Ali Awdeh
Keyword(s):  
Monetary Policy ◽  
Private Sector ◽  
Interest Rates ◽  
Banking Sector ◽  
Foreign Currency ◽  
Monetary Policy Transmission ◽  
Long Run ◽  
Policy Transmission ◽  
Short Run ◽  
Pass Through

Abstract This research detects the existence of monetary policy transmission mechanisms in Lebanon through which the actions of the central bank propagate. By adopting co-integration analysis and VECM frameworks, and by exploiting monthly data between January 1994 and December 2016, the research revealed the existence of a long-run interest rate channel, affecting both resident private sector deposits and credit to the private sector. Another short-run capital channel was revealed, affecting total credit provided by the banking sector. Additionally, the empirical results show that (1) deposit inflows are not attracted by high interest rates, but stimulated by confidence provided by large foreign currency reserves held by the central banks; (2) non-residents deposit inflows could represent a substitute for local credit; (3) banks pass-through any increase in funding cost to borrowers; and (4) an increase in external interest rates may trigger deposit outflows.

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