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Svar Model To Examine The Short And Long Term Monetary Policy In Indonesia

Author

Listed:
  • Teguh Sugiarto

    (Budi luhur university)

Abstract

This research was conducted by the author to see the impact of monetary policy on the domestic macro-economic variables is important in Indonesia using a structural model of the short and long term, contained in a structural model of vectorAutoregressions (SVAR). The author uses the effects of macroeconomic policy is the key in this research, by applying the matrix model SVAR initiated by Bernanke & Mihov (1998) short term and Blancard & Quah (1989) long term. Research conducted using the 4 variables, consisting of two domestic variables, namely the interest rate of Bank Indonesia (SBI), the consumer price index (CPI) and two non-domestic variables, namely the interest rate the central bank United States(FFF), the rate of inflation in the United States (INF_USA). From the research that has been done can be inferred that the SVAR models used in this study can be used as a reference to the theoretical expectations in order to show that the rise in interest rates and the central bank of the United States could affect Indonesia's domestic variables.

Suggested Citation

  • Teguh Sugiarto, 2015. "Svar Model To Examine The Short And Long Term Monetary Policy In Indonesia," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 4(4), pages 66-77, December.
    • Handle: RePEc:sek:jijoes:v:4:y:2015:i:4:p:66-77
    as

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    References listed on IDEAS

    as
    1. Christiano, Lawrence J & Eichenbaum, Martin & Evans, Charles, 1996. "The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 16-34, February.
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    4. Frederic S. Mishkin, 2009. "Monetary Policy Strategy," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262513374, December.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    SVAR; restricted short-term; restrictions long-term; IRF; FEVD; SBI; CPI; FFF; Inflation USA.;
    All these keywords.

    JEL classification:

    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • B49 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Other

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