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Asymmetric Transmission of the Monetary Policy: Empirical Evidence from the Consumer Credit Rates in Indonesia

Author

Listed:
  • Fitri Ami Handayani

    (Graduate School of Economic Science Faculty of Economics and Business Universitas Indonesia)

  • Febrio Nathan Kacaribu

    (Institute for Economic and Social Research Faculty of Economics and Business Universitas Indonesia (LPEM FEB UI))

Abstract

This paper empirically examines asymmetric transmissions from money market rates to various consumer rates throughout a sample period that comprises monetary policy shifting in Indonesia from 2011 to 2017. We adopt modification of Asymmetric Error Correction Models (AECM), which incorporate three-error correction term. This allows us to inspect the different adjustment when the disequilibria are: large-positive, large-negative, and small. Our findings shows that there are varying asymmetric adjustment in response to different shocks across products in lending market. Thus, the monetary authorities should notice that both easing and tightening monetary policy appear to have varying impact to different credit market.

Suggested Citation

  • Fitri Ami Handayani & Febrio Nathan Kacaribu, 2019. "Asymmetric Transmission of the Monetary Policy: Empirical Evidence from the Consumer Credit Rates in Indonesia," LPEM FEBUI Working Papers 201938, LPEM, Faculty of Economics and Business, University of Indonesia, revised 2019.
    • Handle: RePEc:lpe:wpaper:201938
    as

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    File URL: https://www.lpem.org/repec/lpe/papers/WP201938.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    monetary policy — asymmetric adjustment — Indonesia;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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