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Solikin M. Juhro
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ANALISIS KEBIJAKAN MONETER DALAM MODEL MAKROEKONOMETRIK STRUKTURAL JANGKA PANJANG: STRUCTURAL COINTEGRATING VECTOR AUTOREGRESSION Solikin M. Juhro
Buletin Ekonomi Moneter dan Perbankan Vol 8 No 2 (2005)
Publisher : Bank Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (232.883 KB) | DOI: 10.21098/bemp.v8i2.134

Abstract

The paper analyzes the monetary policy behavior by developing a long-run structural macroeconometric model; the Structural Cointegrating Vector Autoregression. The model is empirically proposed by Garratt et. al. (1998 and 1999) and adopted to suit the indonesian case.The result shows that the model perform well in explaining the monetary policy behavior in Indonesia. However, due to the limitation of data, and a re-orientation of monetary policy, we should carefully examine and interpreting the magnitude of parameters used on the model.Keywords: Kebijakan Moneter di Indonesia, Model Makro Struktural Jangka Panjang, Structural Cointegration Vector Autoregression (VAR).JEL Classification: C32, C51, E52, E58 
KARAKTERISTIK TEKANAN INFLASI DI INDONESIA: PENGARUH DINAMIS SISI PERMINTAAN-PENAWARAN DAN PROSPEK KE DEPAN Solikin M. Juhro
Buletin Ekonomi Moneter dan Perbankan Vol 9 No 3 (2007)
Publisher : Bank Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (193.913 KB) | DOI: 10.21098/bemp.v9i3.209

Abstract

This preliminary study is aimed to look into characteristics of inflation and sources of shocks triggering inflation pressures in Indonesia. A focus will be directed to find a better measurement about the role of supply and demand shocks. Based on parsimonious model estimation, it can be concluded that the contribution of supply shocks predominant demand shocks ‘proportionally’, implying that a prudent monetary policy is still feasible and can be implemented effectively along with the structural efforts to combat inflation in Indonesia. A further preliminary exercise shows that the prospect of inflation pressures in two year ahead will be statistically the same with the 2006 inflation pressures. However, cautious policy response should be taken in the second year as inflation pressures from supply side will be potentially greater.Keywords: Characteristics of inflation, supply shock, demand shock, inflation, Indonesia.JEL Classification:  JEL Classification: E31, P24
RESPON KEBIJAKAN MONETER YANG OPTIMAL DI INDONESIA: The State-Contingent Rule? Solikin M. Juhro
Buletin Ekonomi Moneter dan Perbankan Vol 10 No 4 (2008)
Publisher : Bank Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (246.411 KB) | DOI: 10.21098/bemp.v10i4.229

Abstract

By developing a long-run macro structural model, The Structural Cointegrating Vector Autoregression (VAR), the optimality principle of monetary policy response in Indonesia is formulated. It accommodates not only long-run policy response and short-run dynamic errorcorrection mechanism, but also specific shocks emerged due to structural changes in the economy. In that context, the generated policy response basically reflects the optimal response of a “state-contingent rule”, different from common simple policy rules, such as Taylor rule and McCallum rule. This study captures several important aspects related to the implementation of “state-contingent rule” as an optimal monetary policy in Indonesia, namely: (i) the superiority of interest rate as a policy variable, or an operational target, against monetary base, (ii) the identification of monetary policy lag which is estimated averagely one-and-a half year, and (iii) the sub optimality of central bank monetary policy response, attributed by an over tight or loose policy response.JEL Classification: C32, E52Keywords: Kebijakan Moneter di Indonesia, Respon Kebijakan Moneter, Structural Cointegration Vector Autoregression(VAR).
PERILAKU RISIKO DALAM MEKANISME TRANSMISI KEBIJAKAN MONETER DI INDONESIA Doni Satria; Solikin M. Juhro
Buletin Ekonomi Moneter dan Perbankan Vol 13 No 3 (2011)
Publisher : Bank Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (237.254 KB) | DOI: 10.21098/bemp.v13i3.262

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.
RISK BEHAVIOR IN THE TRANSMISSION MECHANISM OF MONETARY POLICY IN INDONESIA Doni Satria; Solikin M. Juhro
Buletin Ekonomi Moneter dan Perbankan Vol 13 No 3 (2011)
Publisher : Bank Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (182.398 KB) | DOI: 10.21098/bemp.v13i3.393

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.
Co-Authors Doni Satria