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Kebijakan Moneter dan Volatilitas Pasar Keuangan
[Monetary Policy and the Financial Market's Volatility]

Author

Listed:
  • Mansur, Alfan

Abstract

Sejak Bank Sentral (BI) menerapkan Inflation Targeting Framework untuk kebijakan moneternya sejak 2005, hasil Rapat Dewan Gubernur BI tentang besaran suku bunga acuannya (BI rate) selalu dinantikan oleh para investor. Tulisan ini bertujuan untuk mengukur volatilitas di pasar keuangan yang disebabkan oleh keputusan terkait BI rate yang tidak sesuai dengan ekspektasi pasar dengan menggunakan binary heteroskedastic regression model. Pengetatan kebijakan moneter secara tak terduga memiliki dampak yang bervariasi terhadap instrumen di pasar keuangan. Obligasi jangka menengah – panjang menjadi aset yang justru sedikit diuntungan atas keputusan pengetatan suku bunga kebijakan moneter yang tidak terduga. Sementara itu, volatilitas di pasar saham dan pasar uang mengalami peningkatan yang cukup tajam ketika ada kejadian pengetatan kebijakan moneter yang tidak terduga. Oleh karena itu, hal penting yang patut menjadi perhatian otoritas kebijakan moneter adalah bagaimana mengomunikasikan formulasi kebijakannya kepada para pelaku pasar dengan baik agar tidak menimbulkan gejolak yang berlebihan.

Suggested Citation

  • Mansur, Alfan, 2016. "Kebijakan Moneter dan Volatilitas Pasar Keuangan [Monetary Policy and the Financial Market's Volatility]," MPRA Paper 93880, University Library of Munich, Germany, revised 15 Sep 2016.
    • Handle: RePEc:pra:mprapa:93880
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    References listed on IDEAS

    as
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    Cited by:

    1. Mansur, Alfan & Nizar, Muhammad Afdi, 2019. "Mengukur Perkembangan Sektor Keuangan di Indonesia dan Faktor – Faktor yang Mempengaruhi [Assessing the Measurement and Determinants of Financial Sector Development in Indonesia]," MPRA Paper 96265, University Library of Munich, Germany, revised 30 Sep 2019.

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    Keywords

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    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • 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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