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Perilaku Risiko Dalam Mekanisme Transmisi Kebijakan Moneter Di Indonesia

Author

Listed:
  • Doni Satria

    (Universitas Negeri Padang)

  • Solikin M. Juhro

    (Bank Indonesia)

Abstract

This study explores interconnections between risk behaviour in the financial sector, particularly banking sector, with monetary policy stance. Referring Bernanke and Blinder (1988) modified model for analyzing the bank credit behavior, we develop an empirical model to test the role of risk behaviour in monetary policy transmission mechanism. Vector Error Correction Model are applied to test the significance of interaction between risk variables and monetary policy stance in the short run dynamics of credit behavior around its long-run cointegration with real GDP. Some empirical results emerge from this preliminary study. First, there is early indication that risk taking channel in the monetary policy transmission mechanism exists in Indonesia during analysis period. Second, risk variables and credit tend to move procyclicalyl while monetary policy stance tends to a-cyclical. Third, pro-cyclical behavior of credit and risk variables reverses the effect of loose monetary policy stance, and there is an indication of asymmetric effect between tight monetary policy and loose monetary policy in Indonesian economy. These empirical findings bring about policy recommencations for better understanding on the risk behavior in the banking sector, as well as integration beetween monetary dan financial sector policies.

Suggested Citation

  • Doni Satria & Solikin M. Juhro, 2011. "Perilaku Risiko Dalam Mekanisme Transmisi Kebijakan Moneter Di Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 13(3), pages 251-280, January.
  • Handle: RePEc:idn:journl:v:13:y:2011:i:3a:p:251-280
    DOI: https://doi.org/10.21098/bemp.v13i3.262
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    More about this item

    Keywords

    Monetary Policy Transmission Mechanism; Monetary Policy Stance; Banking Risk Behavior; Risk Perception;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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