EFEKTIVITAS MEKANISME TRANSMISI KEBIJAKAN MONETER DI INDONESIA PERIODE 2005.3 - 2015.3

Abstract

Law No. 3 In 2004 states that the objective of Bank Indonesia as monetary authority is to achieve and sustain the stability of rupiah. Internally, the stability of rupiah is reflected by the rate of inflation. Since July 2005, Bank Indonesia implemented a monetary policy framework with inflation as the main target of monetary policy or recognized as Inflation Targeting Framework - ITF. The Implementation of ITF is forward looking, which means that the monetary policy implemented aims to meet the target of inflation in the future despite the existence of an interval or time lag on the effect of an economic variable to the others. With the time lag in a monetary policy, consequently, there is a transmission mechanism of its policy on the real sector, in which is divided into multiple paths or channels, including traditional interest rate channel, asset price channel and lines of credit. This study aims to analyze the effectiveness of monetary policy transmission in the interest rate channel, lines of credit and asset price channel. This study uses a quarterly time series data over the period 2005.3 - 2015.3. To answer the purpose of the study, the Granger Causality Test and Vector Autoregressive (VAR) are applied. The results estimation showed that the transmission mechanism of monetary policy through interest rate channel takes for approximately 35 quarters to get back to the point of equilibrium during a shock. In addition, for the lines of credit and the asset price channel show that the response of inflation to interbank rates takes more than 41 or more than a quarter of the study observation period. Therefore, the interest rate channel is more effective mechanism to respond toward inflation by using the interbank interest rates (PUAB).