scholarly journals EFEKTIFITAS MEKANISME TRANSMISI KEBIJAKAN MONETER PADA JALUR SUKU BUNGA PERIODE 2005:07-2010:06

Media Ekonomi ◽  
2017 ◽  
Vol 19 (1) ◽  
pp. 89
Author(s):  
Muhammad Alfian
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Granger Causality ◽  
Time Lag ◽  
Rate Data ◽  
Monetary Aggregate ◽  
Disturbance Factor ◽  
Vector Auto Regression ◽  
Auto Regression ◽  
Interest Rate Channel

Vector Auto Regression (VAR) is an analysis or statistic method which can be used to predict time series variable and to analyst dynamic impact of disturbance factor in the variable system. In addition, VAR analysis is very usefull to assess the interrelationship between economics variable. This research through the following test phases: unit root test, optimal lag test, granger causality test, and form a vector auto regression model (VAR). The data used in this research is the Bank Indonesia Certificate rate data (SBI), interbank offered rate data (PUAB), deposit rate data (DEP), loan rate data (KDRT) and credit aggregate data (AGKDRT) of Indonesia in the period 2005:07-2010:06. The effectiveness was measured by two indicators. They are: (1). how fast or how many time lag needed since the shock of monetary instruments (rSBI) until the realisation of intermediary target of monetary policy (monetary aggregate). (2). How strong the variables of Interest Rate Channel response the shock of SBI interest rate and other variable. This study used secondary data issued by Bank Indonesia. The result of the study shows that response velocity of variable in Interest Rate Channel towards shock instrument of monetary policy (SBI) until reach the final target about 4 months. While impulse response function of variables in this channel to the shock instrument of monetary policy (SBI) is quiet weak and the main variable in interest rate money market among bank (PUAB) able to explain diversity intermediary target of monetary policy (Monetary Aggregate) about 2,82%. This result once shows a weak Granger causality and predictive power between PUAB as the operational target with monetary aggregate as the intermediary target of monetary policy. Thus we can conclude that mechanism of monetary policy transmission through Interest Rate Channel is not effective to reach the intermediary target of monetary policy of Indonesia period of 2005:072010:06. Keyword: Vector Auto Regression (VAR), The Monetary Transmission Mechanism (MTKM), The Interest Rate Channel.

scholarly journals PERBANDINGAN EFEKTIVITAS MEKANISME TRANSMISI KEBIJAKAN MONETER ANTARA JALUR SUKU BUNGA DENGAN JALUR NILAI TUKAR TERHADAP SASARAN AKHIR INFLASI

Media Ekonomi ◽  
2019 ◽  
Vol 25 (1) ◽  
pp. 1
Author(s):  
Martin Simanjuntak ◽  
Budi Santosa
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Time Lag ◽  
Transmission Mechanism ◽  
Monetary Policy Transmission ◽  
Policy Transmission ◽  
Monetary Policy Transmission Mechanism ◽  
The Interest Rate ◽  
Interest Rate Channel

<em>This result discusses the effectiveness of the transmission mechanism of monetary policy by comparing the interest rate channel with the exchange rate channel towards the final inflation taget. </em><em>This study using regression method Vector Error Correction Model (VECM). In the study of this monetary policy transmission mechanism using secondary data based on monthly time series, namely from January 2011 to December 2015. The data is obtained from Bank Indonesia Financial Economic Statistics (SEKI).</em> <em>From the results of this research, the transmission mechanism of monetary policy exchange rate channel is more effective than monetary policy transmission mechanism interest rate channel; it is proven through the test impulse responses and variance decomposition test. In the exchange rate channel time lag until reach the final target of monetary policy (inflation) is 4 months while for the interest rate channel time lag until reach the final target of monetary policy is 5 months. RPUAB very suitable for use as an operational target in the monetary policy transmission mechanism cause rapid and strong response from RPUAB in responding the shock of monetary policy. RPUAB is the biggest variable that dominates the formation of inflation.</em>

scholarly journals ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI PENYALURAN PENGARUH TINGKAT SUKU BUNGA, NISBAH BAGI HASIL DEPOSITOMUDHARABAH, DAN PERTUMBUHAN EKONOMI TERHADAPPERTUMBUHAN DEPOSITO MUDHARABAH DI BANK SYARIAH MANDIRI PERIODE 2006:01-2011:12

Media Ekonomi ◽  
2017 ◽  
Vol 20 (3) ◽  
pp. 73
Author(s):  
Iqra Aulia
Keyword(s):  
Interest Rate ◽  
Unit Root Test ◽  
Secondary Data ◽  
Dynamic Impact ◽  
Causality Test ◽  
Var Analysis ◽  
Disturbance Factor ◽  
Vector Auto Regression ◽  
The Interest Rate ◽  
Auto Regression

<p>Vector Auto Regression (VAR) is an analysis or statistic method which can be used to predict time series variable and to analyst dynamic impact of disturbance factor in the variable system. In addition, VAR analysis is very usefull to assess the interrelationship between economics variable. This research through the following test phases: unit root test, optimal lag test, granger causality test, and form a vector auto regression model (VAR). The data used in this research is interest rate (i), profit low sharing of mudharabah deposits (nBH), economic growth (gGDP, growth of mudharabah deposits volume (gVM) in the period 2006:01-2011:12. The effectiveness was measured by two indicators. This study used secondary data issued by Syariah Mandiri Bank &amp; Bank Indonesia. The result of the study shows that response velocity of variable in growth of mudharabah deposits volume (gVM) towards shock instrument of interest rate(i) until reach the final target about 4 months. Thus we can conclude that growth of mudharabah deosits volume through Interest Rate is not effective in Indonesia period of 2006:01-2011:12. Keyword: Vector Auto Regression (VAR), growth of mudharabah deposits volume (gVM), The Interest Rate.</p>

scholarly journals PENGUJIAN KAUSALITAS ANTARA VARIABEL MAKROEKONOMI DENGAN RETURN PASAR DI BURSA EFEK INDONESIA : SEBUAH PENDEKATAN VECTOR AUTO

Media Ekonomi ◽  
2017 ◽  
Vol 19 (3) ◽  
pp. 23
Author(s):  
Anggi Hapsari Nurullita
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Granger Causality ◽  
Unit Root ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Causality Test ◽  
Market Return ◽  
Vector Auto Regression ◽  
Auto Regression

<p>Indicators of macroeconomic have major impact on capital markets in general and stocks in particular. Influence of these indicators can be positive or negative. Vector Auto Regression (VAR) is a method of analysis used to predict the time series variable and analyze the dynamic impact factor interference in a system variable. VAR analysis is very useful to assess the linkages between economic variables. This research aims to see the influence of iIndicators of macroeconomic such as the exchange rate (EXCHANGE), interest rate Bank Central of Indonesia Certificates (SBI) and rate of inflation (INFLATION) to market return (REIHSG) in Indonesian Stock Exchange in the period 2004:1-2011:10. Data obtained from the Monthly Stock Price Index Statistics JSX. This research appllying several stages of testing as follows: unit root test, the optimal lag test, Granger causality test and Vector Auto Regression model (VAR). The results of unit root test in this study suggests that the data used for processing in the first degree and VAR Granger test because only the stationary stock index return variable in zero degree (level). On the test results suggested the optimal lag is the lag 3. On the Granger causality test is known that the Granger test variable rate (EXCHANGE) has a one-way impact or the exchange rate (EXCHANGE) affect market return (REIHSG) interest rate of Bank Central of Indonesia Certificates (SBI) and the rate of inflation (INFLATION) has a two direction or impact mutual Causality. These results indicate that there is a weak Granger causality between interest rates Bank Central of Indonesia Certificates (SBI) and rate of inflation (INFLATION) to market return (REIHSG).<br />Keywords: Vector Auto Regressive (VAR), Macroeconomic, Granger Causality, IHSG stock return</p>

The Role of Different Channels in Transmitting Monetary Policy into Output and Price in Vietnam

2015 ◽  
pp. 20-40
Author(s):  
Vinh Nguyen Thi Thuy
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Monetary Transmission ◽  
Impulse Response Functions ◽  
Short Run ◽  
The Exchange Rate ◽  
The Interest Rate ◽  
Interest Rate Channel

The paper investigates the mechanism of monetary transmission in Vietnam through different channels - namely the interest rate channel, the exchange rate channel, the asset channel and the credit channel for the period January 1995 - October 2009. This study applies VAR analysis to evaluate the monetary transmission mechanisms to output and price level. To compare the relative importance of different channels for transmitting monetary policy, the paper estimates the impulse response functions and variance decompositions of variables. The empirical results show that the changes in money supply have a significant impact on output rather than price in the short run. The impacts of money supply on price and output are stronger through the exchange rate and credit channels, but however, are weaker through the interest rate channel. The impacts of monetary policy on output and inflation may be erroneous through the equity price channel because of the lack of an established and well-functioning stock market.

scholarly journals The Time-Varying Effects of Monetary Policy on House Prices in China: An Application of TVP-VAR Model with Stochastic Volatility

2018 ◽  
Vol 13 (4) ◽  
pp. 149 ◽  
Author(s):  
Weina Cai ◽  
Sen Wang
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
House Prices ◽  
Var Model ◽  
Time Varying ◽  
Credit Channel ◽  
Monetary Policy Shocks ◽  
Time Varying Parameter ◽  
Policy Shocks ◽  
Interest Rate Channel

The boom of housing market in China in recent years has attracted great concerns from all over the world. How monetary policy affects house prices in China becomes an essential topic. This paper studies the time-varying effects of monetary policy on house prices in China during 2005.7-2017.10, by using a time-varying parameter VAR model. This paper obtains three interesting results. First, there are time-varying features of the responses of house prices to monetary policy shocks half-year and 1-year ahead, no matter through interest rate channel or through credit channel. Second, interest rate channel and credit channel have been enhanced since financial crisis in 2008. Third, the responses of nominal house prices to monetary policy in China are mainly driven by the responses of real house prices, instead of inflation. Finally, this paper gives proper suggestions for each finding respectively to central bank in China.

scholarly journals Monetary Transmission through Interest Rate Channel in Vietnam Before and After the Crisis

2014 ◽  
Vol 222 ◽  
pp. 51-75
Author(s):  
Hương Trầm Thị Xuân ◽  
Vinh Võ Xuân ◽  
CẢNH NGUYỄN PHÚC
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Monetary Transmission ◽  
Var Model ◽  
Macroeconomic Theory ◽  
Cost Channel ◽  
Before And After ◽  
The Cost ◽  
The Impact ◽  
Interest Rate Channel

The paper employs the VAR model to examine the impact of monetary policy on the economy through interest rate channel (IRC) and levels of transmission before and after the 2008 crisis. The results indicate that in the period before the financial crisis, IRC exists in accordance with macroeconomic theory; however, the crisis period, in which increases in SBV monetary policy rates lead to increased inflation, has proved the existence of the cost channel of monetary transmission in Vietnam.

scholarly journals Demand for Money Function in Case of Philippines: An Empirical Analysis

2020 ◽  
Vol 11 (1) ◽  
pp. 220
Author(s):  
Chayanan Kerdpitak
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Granger Causality ◽  
Money Demand ◽  
Demand Function ◽  
Time Window ◽  
Asset Price ◽  
Unit Root Test ◽  
Money Demand Function ◽  
Macroeconomic Indicators

An effective formulation of monetary policy provides an empirical and coherent model of money related with demand. In order for the monetary authorities to understand the demand for the purpose of money function, the steadiness of money demand is important as it leads towards an application of efficient monetary policy. In order to examine the stability of money demand function of Philippines, following study was conducted with broad money, real asset price index, GDP deflator, real GDP, long-term interest rate and short-term interest rate. For empirical investigation, unit root test, cointegration, and Granger-Causality tests were used. However, the findings of the cointegration suggests that cointegration reveals there is presence of linear combinations, and results shows that there are four cointegrating equations present. Therefore, it is evident that there are at least 4 cointegrating relations between the variables. Hence, some of macroeconomic indicators can be used to predict the broad money due to presence of vector. However, the Granger-Causality shows that no macroeconomic variable granger cause broad money (M1). Therefore, the selected macroeconomic indictors RS, LS, CPI, GDP deflator, RGDP and AP/P cannot be used to predict the variation in the broad money (M1) in case of Philippines. This means the money demand function in Philippines is not stable, and for this purpose further investigation is suggested by increasing sample size and time window in quarterly or semi-annually.

scholarly journals العلاقة السببية بين التضخم وحجم ودائع القطاع الخاص ومؤشر سوق عمان المالي. (حالة الأردن للفترة 1999-2017)

2019 ◽  
Vol 25 (115) ◽  
pp. 415-431
Author(s):  
صلاح تركي الرواشدة ◽  
زينب حسان النابلسي ◽  
احمد محمود عبكل
Keyword(s):  
Granger Causality ◽  
Response Function ◽  
Variance Decomposition ◽  
Johansen Cointegration ◽  
Vector Auto Regression ◽  
Auto Regression

هدفت البحث إلى إظهار العلاقة التبادلية بين معدلات التضخم وحجم ودائع القطاع الخاص في الأردن من جهة ومؤشر سوق عمان المالي من جهة أخرى للمدة 1999-2017 وقد استعملت الدراسة نموذج VAR) )Vector Auto) Regression)، وقد تم تطبيق اختبار جوهانسون للتكامل المشترك (Johansen Cointegration) وكذلك اختبار جرانجر للسببية ( (Granger causality  وتحليل مكونات التباين Variance Decomposition)) كما تم تطبيق دالة الاستجابة لردة الفعلImpulse response function) ) . وقد بينت نتائج البحث وجود تأثير ايجابي سببي أحادي الاتجاه يتجه من مؤشر سوق عمان المالي إلى معدلات التضخم، ووجود تأثير سببي أحادي الاتجاه يتجه من مؤشر سوق عمان المالي إلى حجم ودائع القطاع الخاص، بالمقابل لم تتحقق علاقة سببية تتجه من معدلات التضخم إلى مؤشر سوق عمان المالي وعدم تحقق علاقة سببية الاتجاه تتجه من حجم ودائع القطاع الخاص إلى مؤشر سوق عمان المالي وكانت النتائج غير دالة إحصائيا.

Sign in / Sign up

Export Citation Format

Share Document