ANALISIS EFEKTIVITAS JALUR EKSPEKTASI INFLASI DALAM MEKANISME TRANSMISI KEBIJAKAN MONETER DI INDONESIA: PENDEKATAN VECTOR AUTOREGRESSIVE (VAR)

2020 ◽  
Vol 1 (2) ◽  
Author(s):  
Nurita Hutagalung
Keyword(s):  
Monetary Policy ◽  
Investment Decisions ◽  
The Other ◽  
Inflation Expectations ◽  
Vector Autoregressive ◽  
Economic Agents ◽  
Random Shocks

Inflation expectations to be one of the main runway most economic agents in setting prices and wages, which in turn affect consumption and investment decisions. In relation to the aim of research is to look at the effectiveness of the path of inflation expectations by analyzing random kejutatan (shock) and the contribution of each variable to changes in another variable. The results of this study concluded that (1) all give each variable a random shocks to the other variables so as to achieve long-term equilibrium. This is shown by the results of the estimated IRF test on each variable, (2) all the variables together contribute to other variables as shown by the results of estimation VD test. From the estimation of inflation expectations can be concluded that monetary policy affects inflation.

Why Chinese central bank should focus on headline inflation

2014 ◽  
Vol 64 (Supplement-2) ◽  
pp. 39-51
Author(s):  
Zhifang Su
Keyword(s):  
Monetary Policy ◽  
Central Bank ◽  
Food Price ◽  
Inflation Expectations ◽  
Core Inflation ◽  
Term Trend ◽  
Dynamic Relationship ◽  
High Inflation ◽  
Long Term Trend

In this paper, we explore the change in short-term headline-core inflation dynamic relationship using threshold error correction model, and explain why the Chinese central bank should focus on headline inflation when conducting monetary policy. The results find that: (1) the deviation between core and headline inflation is eliminated mainly through reverting core inflation to headline inflation in high inflation period, indicating that headline inflation catches the long-term trend of inflation much better than core inflation does; (2) movements in food price have become a significant source of public’s inflation expectations and food inflation persistence is increasing, reflecting that the rising food price may not have been a transient phenomenon but has become a part of the long-term trend of inflation. The above conclusions imply Chinese central bank should not implement the monetary policy based on core inflation excluding food price but should make a certain response to the surging food price.

scholarly journals Development of Inflation Expectations in Serbia and a Comparative Analysis

2020 ◽  
Vol 9 (1) ◽  
pp. 61-79
Author(s):  
Vesna Martin
Keyword(s):  
Comparative Analysis ◽  
Trade Unions ◽  
Inflation Targeting ◽  
Inflation Expectations ◽  
Economic Agents ◽  
Inflation Expectation ◽  
Floating Exchange Rate ◽  
National Bank ◽  
Targeting Strategy

AbstractInflation expectations are very important when it comes to monetary policy and its decisions. In countries which are applying inflation targeting, inflation expectations reflect prediction of economic agents of movement of inflation rate in mid and long term. Anchored inflation expectations and their movements within target tolerance band are pointing to effectiveness of the inflation targeting strategy. Consistent with the best international practice, after introducing the inflation targeting regime in January 2009, the National Bank of Serbia began monitoring and analysing inflation expectations of economic agents (financial sector, corporate sector, trade unions, and households). The aim of this paper is to analyse inflation expectations in Serbia, but also to give a comparative analysis of inflation expectation of other countries which are using inflation targeting and floating exchange rate, as is the case of the National Bank of Serbia.

scholarly journals Business cycle synchronization: is it affected by inflation targeting credibility?

SERIEs ◽  
2019 ◽  
Vol 11 (2) ◽  
pp. 157-177
Author(s):  
Carlos Delgado ◽  
Iván Araya ◽  
Gabriel Pino
Keyword(s):  
Monetary Policy ◽  
Business Cycle ◽  
Inflation Targeting ◽  
Short Term Memory ◽  
Aggregate Demand ◽  
Credibility Measure ◽  
Inflation Expectations ◽  
Business Cycle Synchronization ◽  
Vector Autoregressive ◽  
The Impact

Abstract We empirically study the impact of inflation targeting credibility on business cycle synchronization with G-7 economies. To do this, we use a sample of 15 inflation targeting countries to develop and calculate a reputation-based credibility measure for long- and short-term memory. By using dynamic multipliers through a panel vector autoregressive model, our main findings indicate that greater credibility allows for greater anchoring of inflation expectations by economic agents. This would lead to a greater effectiveness of monetary policy in stabilizing the evolution of prices, allowing the output gap to be more sensitive to external aggregate demand shocks. Therefore, countries with inflation targeting regimes must develop and maintain credibility for their monetary policy if they want to encourage greater interactions with the rest of the world.

GENTLEMEN PREFER LIQUIDITY: EVIDENCE FROM KEYNES

2013 ◽  
Vol 35 (3) ◽  
pp. 397-422 ◽  
Author(s):  
SYLVIE RIVOT
Keyword(s):  
Monetary Policy ◽  
The Other ◽  
Second Step ◽  
Direct Control ◽  
Liquidity Premium ◽  
Ancient Times ◽  
The One ◽  
Monetary Assets ◽  
Weakly Dependent

This paper deals with the concept of liquidity in Keynes’ theoretical and political writings. First of all, liquidity, according to Keynes, is a concept much more comprehensive than commonly held nowadays: for Keynes, liquidity means more than an easy convertibility, a high marketability (land might have been highly liquid in ancient times). In short, an asset is highly liquid when its value is weakly dependent on a change in our long-term state of expectations. In a second step, this reassessment of liquidity is applied to Keynes’ political writings, in particular to monetary policy and also to the ‘buffer-stock’ scheme. On the one hand, our investigation shows that in a context of ‘uncertainty,’ monetary policy basically aims to encourage the private sector to have confidence in long-term expectations. Private wealth owners should accordingly ask for lower and lower ‘liquidity premium.’ On the other hand, Keynes’ ‘buffer stocks’ of commodities are not intended for a direct control of prices. Rather, their proper purpose is to confer more liquidity to commodities; i.e., to transform them to ‘monetary assets.’ All in all, monetary policy and buffer-stocks schemes prove to be two basic rationales of Keynes’ concept of liquidity still worth being investigated—today as before.

Central bank’s perception on inflation and inflation expectations of experts

2015 ◽  
Vol 42 (6) ◽  
pp. 1142-1158 ◽  
Author(s):  
Gabriel Caldas Montes ◽  
Rodolfo Tomás da Fonseca Nicolay
Keyword(s):  
Monetary Policy ◽  
Central Bank ◽  
Inflation Targeting ◽  
Generalized Method Of Moments ◽  
Ordinary Least Squares ◽  
Response Analysis ◽  
Inflation Expectations ◽  
Content Type ◽  
Vector Autoregressive ◽  
Central Bank Communication

Purpose – Due to the fact that studies on central bank communication in emerging countries are still scarce and there are few studies related to the influence that central bank’s perspectives about the state of the economy have on inflation expectations in emerging economies, the purpose of this paper is to contribute to the literature in the following aspects: it proposes an indicator of the central bank’s perception of inflation based on the minutes of the COPOM meetings, and, it analyzes the influence of central bank communication on expert inflation expectations through such indicator. Design/methodology/approach – Due to the fact that the perception of the Central Bank of Brazil is not directly observable, it is measured through the fuzzy set theory by an indicator that captures the informational content of the minutes of the COPOM meetings. The empirical analysis uses ordinary least squares, the generalized method of moments and vector-autoregressive through impulse-response analysis. Findings – The findings suggest that the expectations of financial market experts react according to the content of the information provided by the central bank, i.e., announcements cause deterioration of expectations in times of instability, and reduce inflation expectations when inflation is controlled. The results also support the idea that the credibility of inflation targeting plays a key role in determining inflation expectations. Practical implications – This paper suggests a new approach on studies about central bank communication. The focus here is not on the effect of the announcements in terms of future monetary policy, but on the perception of the central bank in terms of inflation. This central bank’s perception reflects the optimistic or pessimistic view about the economic outlook and risk of inflation and this perception is considered by experts of financial markets. Originality/value – For Brazil, there are no studies about the influence of communication through the minutes of the Brazilian Monetary Policy Committee meetings on inflation expectations. The authors develop an indicator in order to measure central bank’s perception of inflation based on the minutes of COPOM meetings.

scholarly journals Analysis of the Effectiveness of Monetary Policy Transmission through a Line of Credit and Inflation Expectations in Indonesia

2021 ◽  
Vol 8 (5) ◽  
pp. 299-309
Author(s):  
Suti Masniari ◽  
Sirojuzilam . ◽  
Dede Ruslan
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Regression Model ◽  
Interest Rates ◽  
Secondary Data ◽  
Transmission Mechanism ◽  
Output Gap ◽  
Inflation Expectations ◽  
Policy Transmission

This study aims to determine the effectiveness of the transmission mechanism of monetary policy by reviewing the amount of the deadline that required the transmission mechanism of monetary policy in achieving the goals of the final form of the output gap and inflation by using the channel of credit and inflation expectations. In addition, this study also aims to determine the relationship long-term and short against the target output gap and inflation. This study uses a regression model Vector Error Correction Model (VECM) to estimate the influence of the transmission mechanism of monetary policy to the output gap and inflation through the channel of credit and the regression model of Vector Autoregression (VAR) to estimate the influence of the transmission mechanism of monetary policy to the output gap and inflation through the channel of inflation expectations. The Data used in this research is the data series time quarter from 2008 to 2018. Data peneliltian used to estimate the influence of the transmission mechanism of monetary policy to the output gap and inflation through the channel of credit in the form of secondary data consisting of the benchmark interest rate of Bank Indonesia, the interest rates on the interbank money market 1 month, loan interest rates, money supply (M2) and the amount of working capital loans disbursed. While the data used to estimate the influence of the transmission mechanism of monetary policy to the output gap and inflation through the channel of inflation expectations in the form of secondary data consisting of the benchmark interest rate of Bank Indonesia, inflation expectations. The secondary Data used is sourced from the annual reports that are published from the official website of the Bank of Indonesia, the data of the Central Bureau of Statistics and the International Monetary Fund. The results of this study showed that the effectiveness of the transmission mechanism of monetary policy through the credit channels require the deadline each of the 8 (eight) of the quarter and 10 (ten) quarter in achieving the goals of the end of the output gap and inflation. While the effectiveness of the transmission mechanism of monetary policy through the channel of inflation expectations require the deadline each of the 4 (four) quarter and 6 (six) quarter in achieving the goals of the end of the output gap and inflation. The results also showed only policy transmission mechanism built rmelalui credit lines that have long-term relationships against inflation while the transmission mechanism of monetary policy through the channel of inflation expectations have short-term relationship strong. Keywords: The Transmission Mechanism Of Monetary Policy, Output Gap, Inflation.

scholarly journals INFLATION TARGETING UNDER IMPERFECT CREDIBILITY: LESSONS FROM INDONESIAN EXPERIENCE

2011 ◽  
Vol 13 (3) ◽  
pp. 271-306
Author(s):  
Harmanta Harmanta ◽  
M. Barik Bathaluddin ◽  
Jati Waluyo
Keyword(s):  
Monetary Policy ◽  
Inflation Targeting ◽  
Policy Instrument ◽  
Jel Classification ◽  
Inflation Target ◽  
Sacrifice Ratio ◽  
Economic Agents ◽  
Inflation Expectation ◽  
Imperfect Credibility

This paper try to assess role of credibility in the implementation of inflation targeting framework in Indonesia. It illustrates how credibility may play an important role in the evolution of the Indonesian monetary policy. Knowing the degree of credibility would beneficial for Bank Indonesia (BI) to understand how to adjust policy instrument to achieve a long-term inflation target. Scaled from zero (purely not credible) to one (perfect credibility), our quantitative measurements found that credibility index for Indonesian monetary policy converge to around 0.5. Refer to projection and simulation results in this paper, the study shows expectation inflation of economic agents is strongly influenced by monetary policy credibility. The more credible the monetary policy, the faster inflation expectation would anchor to its target. In addition, high credibility also increase the efficiency of the monetary policy transmission since the disinflation cost represented by sacrifice ratio is lower. Under imperfect credibility the central bank prefer to attain its inflation target gradually, and if the credibility stock is doubled, then achieving its long-term inflation target required a lot shorter time (approximately 0.4 periods than the baseline). JEL Classification: E31, E52, E58, E61Keywords: Disinflation, Monetary Policy, Imperfect Credibility, Sacrifice Ratio

scholarly journals Monetary Policy And Long-Term Interest Rates In South Africa

2010 ◽  
Vol 9 (10) ◽  
Author(s):  
Lumengo Bonga-Bonga
Keyword(s):  
South Africa ◽  
Monetary Policy ◽  
Interest Rates ◽  
Impulse Response Functions ◽  
Monetary Policy Shocks ◽  
Vector Autoregressive ◽  
Supply Shock ◽  
Policy Shocks ◽  
Structural Vector Autoregressive Model

This paper examines how short-term and long-term interest rates react to supply, demand and monetary policy shocks in South Africa. Use is made of the impulse response functions obtained from the structural vector autoregressive model with long-term restrictions. We find a positive correlation between the two interest rates after a monetary and demand shock and a negative correlation after a supply shock. The finding of this paper is that the operation of the monetary transmission mechanism should be effective in South Africa. Furthermore, this paper provides an approach to identify supply shocks in the South African business cycle.

scholarly journals DAMPAK PENINGKATAN PEMBAYARAN NON-TUNAI TERHADAP PEREKONOMIAN DAN IMPLIKASINYA TERHADAP PENGENDALIAN MONETER DI INDONESIA

2009 ◽  
Vol 11 (4) ◽  
pp. 369-402
Author(s):  
Ferry Syarifuddin ◽  
Ahmad Hidayat ◽  
Tarsidin Tarsidin
Keyword(s):  
Monetary Policy ◽  
Money Demand ◽  
Banking System ◽  
The Other ◽  
Gdp Growth ◽  
Cash Holding ◽  
Money Stock ◽  
Economic Agents ◽  
Cash Payment ◽  
Efficiency Effects

Non-cash payments have been increasing significantly, followed by its substitution and efficiency effects. Cash payment is substituted, inducing decrease of cash holding by economic agents, while on the other hand more money enters the banking system. The increase of non-cash payments also cuts transaction costs, and the economy runs more efficiently.Using Structural Cointegrating VAR, its impacts on the economy are investigated. The result shows that cash holding decrease, while money stock M1 and M2 increase. The increase of non-cash payments also induces GDP growth and slight price decrease. Its implication to monetary policy is also analyzed, showing decrease of BI rate and monetary policy cost.JEL Classification: E41, E51, E58Keywords: non-cash, payment system, money demand

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