scholarly journals Evaluation Of Macroprudential Policy On Credit Growth In Indonesia: Credit Registry Data Approach

ETIKONOMI ◽  
2018 ◽  
Vol 17 (2) ◽  
pp. 199-212
Author(s):  
Badara Shofi Dana
Keyword(s):  
Warning System ◽  
Registry Data ◽  
Structural Vector Autoregression ◽  
Analysis Method ◽  
Macroprudential Policy ◽  
Credit Growth ◽  
Systemic Risks ◽  
Structural Vector ◽  
Mitigation Policies ◽  
Prudential Policy

Macro-prudential policies have an essential role in mitigating the imbalances in the financial sector that stem from procyclical credit growth. This study aims to evaluate macro-prudential policy in mitigating risk on procyclical credit growth with a registry data approach. Structural Vector Autoregression (SVAR) analysis method is used to evaluate macro-prudential policy in influencing credit growth. The results show LTV instruments can reduce credit growth but not to procyclical mitigation. Dissimilar results in the implementation of CCB and GWM + LDR instruments are capable of procyclical credit mitigation. Policies that can be done by the central bank are the establishment of an early warning system in macro-prudential policy as well as strengthening of Countercyclical Buffer (CCB), Loan to Value (LTV) instruments and Minimum Reserve Requirement + Loan Funding Ratio (GWM + LFR) in capturing systemic risks from various sources which further strengthens the assessment and surveillance.DOI:10.15408/etk.v17i2.7324

scholarly journals MACRO-PRUDENTIAL POLICY: ESSENCE AND MEANING

2018 ◽  
pp. 148-152
Author(s):  
ELISO BERIDZE
Keyword(s):  
Financial Stability ◽  
Financial Sector ◽  
Macroprudential Policy ◽  
Market Participants ◽  
Exogenous Shocks ◽  
Systemic Risks ◽  
Banking Institutions ◽  
Policy Risk ◽  
Fiscal And Monetary Policy ◽  
Prudential Policy

Macro-prudential policy implies monitoring, evaluation and carrying out such a supervisory policy of financial stability which will be aimed at eradicating systemic risks and neutralizing pro-cyclic nature of the financial sector (growing to the cycle direction, pro-cyclical). To do this, it is necessary to carry out the supervisory policy: risk assessment; analysis of the activities of banking institutions and preparation of recommendations. Systemic risks include: exogenous shocks (economic fall, external shock, etc.), the second, so-called “contagious shocks” (contagion) that are due to the high integration of the financial sector internationally; the third category is the accumulation of financial imbalance that is the risk of endogenous nature and is often collected by the support of market participants. Against the background of the global crisis, Lehman Brothers’ bankruptcy in September 2009 clearly demonstrated those negative externalities which are linked to the bankruptcy of the systemic bank globally. Consequently, the macroprudential policy aims to reduce the probability of system banks’ bankruptcy and in case of bankruptcy to limit the system’s adverse effect. However, it is important to adequately implement the countercyclical fiscal and monetary policy.

scholarly journals FINANCING-TO-VALUE (FTV) POLICY AND ITS IMPACT ON RESIDENTIAL PROPERTY PRICES IN INDONESIA

2020 ◽  
Vol 6 (3) ◽  
Author(s):  
Imam Wahyudi Indrawan ◽  
Maya Puspa Rahman ◽  
Nurfatihah Ahmad Senusi
Keyword(s):  
Panel Data Analysis ◽  
Banking System ◽  
Residential Property ◽  
Analysis Method ◽  
Macroprudential Policy ◽  
Systemic Risks ◽  
Property Price ◽  
Islamic Financial Institutions ◽  
The Stability ◽  
The Impact

Financing-to-value (FTV) policy is a macroprudential policy currently used by the central banks to maintain the stability of financial systems and prevent systemic risks. In Indonesia this is particularly the case in relation to financing of the property sector by Islamic financial institutions. This paper aims to analyse the impact of FTV policy on the residential property price index (RPPI) in Indonesia using a panel data analysis method. Indonesia is chosen in this study as it is one of the countries implementing FTV policy in its Islamic banking system. There are three important findings to be drawn from the study. First, FTV policy ratios significantly affect RPPI.

scholarly journals Exiting from quantitative easing

2019 ◽  
Vol 10 (3) ◽  
pp. 1069-1107 ◽  
Author(s):  
Fumio Hayashi ◽  
Junko Koeda
Keyword(s):  
Monetary Policy ◽  
Regime Switching ◽  
Economic Conditions ◽  
Quantitative Easing ◽  
Structural Vector Autoregression ◽  
Policy Regime ◽  
State Of The Economy ◽  
Macroeconomic Effects ◽  
Structural Vector ◽  
Empirical Framework

We propose an empirical framework for analyzing the macroeconomic effects of quantitative easing (QE) and apply it to Japan. The framework is a regime‐switching structural vector autoregression in which the monetary policy regime, chosen by the central bank responding to economic conditions, is endogenous and observable. QE is modeled as one of the regimes. The model incorporates an exit condition for terminating QE. We find that higher reserves at the effective lower bound raise inflation and output, and that terminating QE may be contractionary or expansionary, depending on the state of the economy at the point of exit.

scholarly journals Inflasi Makanan dan Implikasinya terhadap Kebijakan Moneter di Indonesia

2016 ◽  
Vol 17 (1) ◽  
pp. 58-74
Author(s):  
Rulyusa Pratikto ◽  
Mohamad Ikhsan
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Vector Autoregression ◽  
Spillover Effect ◽  
Structural Vector Autoregression ◽  
Inflation Stabilization ◽  
Effect Of Food ◽  
Food Inflation ◽  
Structural Vector ◽  
Effectiveness Of Monetary Policy

Food Inflation and Monetary Policy Implication in IndonesiaControlling food inflation in Indonesia is essential mainly caused by its persistent and relatively significant impact on the poor’s purchasing power compare to other commodities. Thus, the main purpose of this study is to determine the effectiveness of monetary policy on food inflation stabilization in Indonesia. By utilizing Structural Vector Autoregression, the empirical results provided here show that monetary policy does eectively prevent the spillover effect of food to non-food inflation. In addition to that, the exchange rate may play some role in the longer period to affect the volatility of food inflation.Keywords: Monetary Policy; Food Inflation; Structural Vector Autoregression AbstrakPengendalian inflasi makanan penting untuk dilakukan di Indonesia terutama karena dua hal, yaitu sifat inflasi makanan yang persisten dan dampaknya terhadap penurunan daya beli keluarga miskin yang relatif tinggi dibandingkan dengan komoditas lainnya. Dengan demikian, tujuan utama penelitian ini adalah untuk mengetahui efektivitas dari kebijakan moneter terhadap pengendalian inflasi makanan di Indonesia. Dengan menggunakan metode Structural Vector Autoregression, hasil empiris menunjukkan bahwa kebijakan moneter secara efektif dapat mencegah dampak spillover inflasi makanan ke inflasi non-makanan. Selain itu, stabilitas nilai tukar dapat memiliki peran untuk mengurangi volatilitas inflasi makanan terutama pada jangka panjang.

scholarly journals Financial Stability Indicators – The Case of Croatia

2016 ◽  
Vol 5 (1) ◽  
pp. 113-140 ◽  
Author(s):  
Mirna Dumičić
Keyword(s):  
Principal Component Analysis ◽  
Systemic Risk ◽  
Financial Stability ◽  
Principal Component ◽  
Small Open Economies ◽  
Macroprudential Policy ◽  
Policy Makers ◽  
The Public ◽  
Systemic Risks ◽  
Accumulation Index

Abstract This paper considers financial stability through the processes of accumulation and materialisation of systemic risks. To this end, the method of principal component analysis on the example of Croatia has been used to construct two composite indicators – a systemic risk accumulation index and an index reflecting the consequences of systemic risk materialisation. In the construction of the indices, the features and risks specific to small open economies were considered. Such an approach to systemic risk analysis facilitates the monitoring and understanding of the degree of financial stability and communication of macroprudential policy makers with the public.

scholarly journals The Effect Of Credit Growth On Profitability With Credit Turnover Rate As Moderator Variable At Lpd In Kecamatan Kediri Period 2013-2016

2018 ◽  
pp. 1771
Author(s):  
A.A. Ngr. Manik Yuda Pramartha ◽  
I Wayan Pradnyantha Wirasedana
Keyword(s):  
Data Analysis ◽  
Rotation Rate ◽  
Hypothesis Test ◽  
Coefficient Of Determination ◽  
Public Confidence ◽  
Analysis Method ◽  
Moderator Variable ◽  
Credit Growth ◽  
Important Indicator ◽  
Data Analysis Method

LPD health level is an important indicator, and will be able to cultivate public confidence, so people feel safe to save money in LPD either in the form of savings and deposits. This research is a kind of explanatory research that is research that analyze the relationship between one variable with other variable or how a variable influence other variable. Data analysis method used is descriptive method and quantitative method consist of classical assumption test, multiple linear regression test, hypothesis test consist of F-test and t-test, and test of coefficient of determination. Work on data analysis method using SPSS 16.0 for Windows. The data used are primary and secondary data. This research uses 14 LPD as research sample. The results showed that Credit Growth has positive and significant impact on Profitability, Credit rotation rate does not significantly affect Profitability and credit rotation rate does not moderate credit growth to profitability.

Assessing the Macroeconomic Effects of Quantitative Easing: Empirical Evidence from the Federal Reserve’s Experience

2019 ◽  
Vol 67 (3-4) ◽  
pp. 233-245
Author(s):  
Achille Dargaud Fofack ◽  
Ahmet Aker ◽  
Husam Rjoub ◽  
Amin Sokhanvar
Keyword(s):  
Stock Prices ◽  
Economic Activity ◽  
The United States ◽  
Quantitative Easing ◽  
Structural Vector Autoregression ◽  
Monthly Data ◽  
Svar Model ◽  
The Us ◽  
Us Dollar ◽  
Structural Vector

This article aims at assessing the effects of the Federal Reserve’s quantitative easing (QE) programmes on both economic activity and prices in the United States. Using a structural vector autoregression (SVAR) model on monthly data from January 2007 to March 2017, it is assumed that a substantial fraction of the liquidity injected under the Federal Reserve’s quantitative easing programmes was used to artificially inflate stock prices. Furthermore, QE is assumed to be a competitive devaluation programme. The findings reveal that QE helps support economic activity, while its effect on inflation is rather small and insignificant. Besides, it is also found that QE boosts stock prices but does not have a significant effect on the US dollar.

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