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Analisis Dampak Kebijakan Moneter terhadap Variabel Makroekonomi di Indonesia Tahun 1983.1 - 2003.2

Author

Listed:
  • Umi Julaihah

    (Gadjah Mada University)

  • Insukindro

    (Gadjah Mada University)

Abstract

The objectives of this study are to analyze the effect of monetary policy on Indonesian economy and which monetary instruments can explain the variability of macroeconomic variables better. We apply Vector Error Correction Model on quarterly Indonesian economic data during period of 1983.1 - 2003.2. We observe monetary policy variables namely base money, SBI interest rate, one month commercial bank deposit interest rate, and macroeconomic variables namely consumer price index, gross domestic product, and exchange rate (rupiah/dollar). The model approach provide us two quantitative measurements, (i) impulse response function that can trace the response of one endogenous variable caused by shock/ innovation of other variables in the model; (ii) variance decomposition to show the relative contribution of certain endogenous variable variability. The result of impulse response function shows that economic growth did not response the shock of base money while on the other hand the base money has significant effect on inflation. This leaves a price puzzle and liquidity puzzle. The use of SBI as policy variable gives better result than base money as price puzzle and liquidity puzzle vanish. The result of variance decomposition shows that base money contributes only 5% on inflation but it did not give any contribution on economic growth fluctuation. While SBI has better capability in explaining the economic growth fluctuation until 14%. The interesting result is policy variables (base money and SBI) have best contribution in explain the fluctuation on exchange rate. These findings assert that policy shock is well responded by exchange rate rather than other economic variables.

Suggested Citation

  • Umi Julaihah & Insukindro, 2004. "Analisis Dampak Kebijakan Moneter terhadap Variabel Makroekonomi di Indonesia Tahun 1983.1 - 2003.2," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 7(2), pages 323-341, September.
  • Handle: RePEc:idn:journl:v:7:y:2004:i:2e:p:323-341
    DOI: https://doi.org/10.21098/bemp.v7i2.112
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    More about this item

    Keywords

    Monetary Policy; Impulse Response Function; Variance Decomposition;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies

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