Analisis Pengaruh Risiko dalam Mekanisme Transmisi Kebijakan Moneter terhadap Laju Inflasi dan Laju Pertumbuhan Ekonomi di Indonesia Periode 1999.01-2007.04
Harahap, Poltak Pramah Utama, Drs. M. Edhie Purnawan, M.A.
2008 | Skripsi | S1 EconomicsN.A.
The background underlying this research idea was the author's thought and hypothesis of the prevalence of risk influence in every monetary policy transmission mechanism. The monetary policy transmission mechanism analyzed in this study comprises five channels: (1) Direct Monetary Channel, (2) Interest Rate Channel, (3) Credit Channel, and (4) Exchange Rate Channel, (5) and Asset Price Channel. This research is naturally a positive study instead of a normative study. Hence, the research has two salient objectives: (1) to examine the influence of risk in monetary policy transmission mechanism on inflation rate and economic growth and (2) to analyze the responses of inflation rate and economic growth when shocks to risk variables in monetary policy transmission channels prevail. Variables in this study harness monetary indicators commonly utilized by the monetary authority to maintain monetary and economic stability. This research was begun by identifying risk in the five monetary policy transmission channels. Subsequently, the second phase was to measure value at risk (VaR) using variance-covariance risk measurement. Eventually, we used the VaR to prove this study's hypotheses. Basically, this study strives for analyzing monetary experiences in Indonesia. The complexity of monetary policy transmission mechanism requires an appropriate analysis to map the working processes of various monetary policy transmission channels. Econometric method applied in this research was the Vector Auto Regression (VAR). Keywords: VaR (Value at Risk), VAR (Vector Auto Regression), Monetary Policy Transmission, Direct Monetary Channel, Interest Rate Channel, Credit Channel, Exchange Rate Channel, Asset Price Channel, Granger Causality Test, IRF (Impulse Responsive Function), Variance Decomposition.
Kata Kunci : Pengaruh Risiko; Kebijakan Moneter; Mekanisme Kebijakan; Inflasi; Pertumbuhan Ekonomi; Indonesia
