ABSTRAK Mekanisme transmisi kebijakan moneter melalui saluran

ADLN Perpustakaan Universitas Airlangga
ABSTRAK
Mekanisme transmisi kebijakan moneter melalui saluran suku bunga
dimulai dari perubahan suku bunga jangka pendek yang akan ditransmisikan
terhadap suku bunga jangka menengah dan jangka panjang melalui mekanisme
keseimbangan dari sisi permintaan dan penawaran di pasar keuangan.Perubahan
suku bunga nominal jangka pendek yang ditetapkan oleh bank sentral akan
berdampak terhadap perubahan suku bunga riil jangka pendek dan panjang yang
diakibatkan oleh adanya kekakuan harga. Hal ini menunjukkan bahwa, dengan
adanya kekakuan harga, kebijakan moneter yang ekspansif akan menurunkan suku
bunga riil jangka pendek yang selanjutnya menyebabkan penurunan suku bunga
riil jangka panjang. Sehingga pada akhirnya akan berdampak terhadap sektor
keuangan, sektor riil, dan inflasi.
Penelitian ini bertujuan untuk menganalisis mekanisme transmisi
kebijakan moneter melalui saluran suku bunga di Indonesia. Hal ini dilakukan
dengan menganalisis bagaimana suku bunga PUAB berdampak terhadap
komponen cost of capital (biaya modal) yaitu suku bunga kredit investasi dan
investasi (model 1 [satu]) serta bagaimana suku bunga PUAB berdampak terhadap
komponen substitution/income effect (efek substitusi/pendapatan) yaitu suku
bunga deposito 3 bulan dan konsumsi (model 2 [dua]).
Hubungan antara suku bunga jangka pendek dan variabel sektor riil akan
diinvestigasi dengan menggunakan uji kausalitas Granger dan analisis VECM
(Vector Error Correction Model). Penelitian ini menggunakan data kuartalan
dengan periode 2000-2007. Variabel yang digunakan dalam penelitian ini antara
lain (1) suku bunga PUAB, (2) suku bunga kredit investasi, (3) investasi, (4) suku
bunga deposito 3 bulan, dan (5) konsumsi.
Berdasarkan hasil analisis impulse response menunjukkan bahwa pada
model 1 (satu), shock suku bunga PUAB direspon cepat dan positif suku bunga
kredit investasi dan direspon negatif permanen investasi. Pada model 2 (dua),
shock suku bunga PUAB direspon positif permanen suku bunga deposito 3 bulan
dan direspon negatif konsumsi. Sedangkan hasil analisis variance decomposition
menunjukkan bahwa pada model 1 (satu), suku bunga PUAB paling berkontribusi
terhadap suku bunga kredit investasi; suku bunga kredit investasi paling
berkontribusi terhadap investasi. Pada model 2 (dua), suku bunga PUAB paling
berkontribusi terhadap suku bunga deposito 3 bulan dan paling berkontribusi
terhadap konsumsi.
Kata kunci: Kebijakan moneter, suku bunga, uji kausalitas granger dan VECM,
impulse respon, variance decomposition.
vii
skripsi
Analisis mekanisme transmisi kebijakan ....
Langgeng Wahyudi
ADLN Perpustakaan Universitas Airlangga
Abstract
The monetary transmission mechanism through interest rate channel starts
from a change in short term interest rate which will then be transmitted to
medium and long term interest rate through the balancing mechanism of supply
and demand in the financial markets. The change in short term nominal interest
rate set by the central bank can induce changes in real short and long term
interest rate with the existence of sticky price notion. This means that, with such
price stickiness, an expansive monetary policy will drive down short term real
interest rate, the lower short term real interest rate will cause a decrease in short
term real interest rate. All these movements are expected to influence price
variabels in the financial markets, real sector variables, and finnaly, inflation.
The objectives of this study are to analyze the monetary transmission
mechanism through interest rate channel in Indonesia. This matter is down by
analisys how do money market interbank rate (PUAB) affect to component cost of
capital that is investment and investment loan rate (first model) and also how do
money market interbank rate (PUAB) affect to component substitution/income
effect that is three month deposit interest rate and consumption (second model).
Relationship between short term interest rate and real sector variable will
investigation by using Granger causality test and VECM (Vector Error
Correction Model). This research use the time series data during the periode of
2000 2007. The variable used in this research are (1) money market interbank
rate (PUAB), (2) investment loan rate, (3) invesment, (4) three month deposit
interest rate, and (5) consumption.
Based on the result impulse response analysis indicate that on the first
model, investment loan rate has responseded quickly and positively to the shock
money market interbank rate, however, investment has responded permanent
negatively to the shock money market interbank rate. On the second model, three
month deposit interest rate has responded permanent positively to the shock
money market interbank rate, however, consumption has responded negatively to
the shock money market interbank rate. Meanwhile, the result variance
decomposition analysis indicate that on the first model, money market interbank
rate most contibute to the investment loan rate; investment loan rate most
contibute to the investment. On the second model, money market interbank rate
most contibute to the three month deposit interest rate and consumption.
Key word: Monetary policy, interest rate, Granger causality test and VECM,
impulse respon, variance decomposition.
viii
skripsi
Analisis mekanisme transmisi kebijakan ....
Langgeng Wahyudi