Indrawati, Yulia (2019) Keterkaitan Kebijakan Moneter Dan Makroprudensial Dalam Perekonomian Terbuka Kecil Di Indonesia. Doctor thesis, Universitas Brawijaya.
Abstract
Penelitian ini bertujuan untuk (1) menganalisis efektivitas kebijakan moneter dan makroprudensial dalam mencapai stabilitas harga dan stabilitas keuangan di Indonesia, (2) menghitung nilai kehilangan kesejahteraan minimum (welfare loss) untuk beberapa kemungkinan keterkaitan antara kebijakan moneter dan makroprudensial di Indonesia. Metode analisis yang digunakan adalah teknik estimasi Bayesian dengan data runtun waktu bulanan selama periode 2006.1 hingga 2017.12. Penyelesaian penurunan persamaan perilaku menggunakan Dynamic Stochastic General Equilibrium (DSGE). Sedangkan parameter dalam fungsi reaksi kebijakan moneter yang optimal dihitung dengan menggunakan Dynare 4.5.7 dan Mathlab. Hasil penelitian menunjukkan bahwa (1) Instrumen suku bunga efektif dalam merespon perubahan harga di Indonesia dalam model independent macroprudential policy rule, begitu pula dengan instrumen Loan to Value (LTV) dalam merespon pertumbuhan output dan kredit. Pengetatan kebijakan moneter dan makroprudensial secara simultan harus dilakukan secara berhati-hati dengan mempertimbangkan terjadinya trade-off terhadap kebijakan lainnya. (2) Model Taylor rule standar (plain vanilla Taylor rule) menjadi model policy rule terbaik di Indonesia dengan nilai kehilangan kesejahteraan yang paling minimum. Namun kerentanan terjadinya friksi dalam sistem keuangan dapat menjadi pertimbangan dalam menjaga stabilisasi makroekonomi melalui independent macroprudential rule dibandingkan dengan lean against the wind Taylor rule. Stabilitas harga menjadi tujuan tunggal (single objective) yang utama atau dominan dengan mempertimbangkan stabilitas sistem keuangan sesuai dengan Tinbergen principle.
English Abstract
The objectives of this research are (1) to analyze the effectiveness of monetary and macroprudential policies in achieving price and financial stability in Indonesia and (2) to calculate the minimum welfare loss value for several possibilities in the linkages between monetary and macroprudential policies in Indonesia. Bayesian estimation technique was used in this study to analyze monthly consecutive data from the first period of 2006 to the twelfth period of 2017, and Dynamic Stochastic General Equilibrium (DSGE) was used to derive behavior equation, while Dynare 4.5.7 and Mathlab were used to calculate the parameter in the optimal monetary policy reaction function. This study finds that interest rate is effective in responding to price changes in Indonesia in the independent macroprudential policy rule and that Loan to Value (LTV) is effective in responding to output and loan growth. The step of simultaneous monetary and macroprudential policy tightening must be taken carefully by considering the trade-off with other policies. Furthermore, plain vanilla Taylor rule becomes the best standard policy rule model since it produces the smallest welfare loss. Nevertheless, the high likeliness of frictions in the financial system should be taken into account in maintaining macroeconomic stability, which is through independent macroprudential rule rather than lean against the wind Taylor rule. Price stability become the main or dominant single objective by considering financial system stability according to Tinbergen principle.
Other obstract
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| Item Type: | Thesis (Doctor) |
|---|---|
| Identification Number: | DIS/332.6/IND/k/2019/062002752 |
| Uncontrolled Keywords: | MONETARY POLICY |
| Subjects: | 300 Social sciences > 332 Financial economics > 332.6 Investment |
| Divisions: | S2/S3 > Doktor Ilmu Ekonomi, Fakultas Ekonomi dan Bisnis |
| Depositing User: | Endang Susworini |
| Date Deposited: | 19 Feb 2021 04:27 |
| Last Modified: | 19 Feb 2021 04:27 |
| URI: | http://repository.ub.ac.id/id/eprint/183447 |
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