INVESTIGASI REAKSI INFLASI INDONESIA TERHADAP EXCHANGE RATE PASS-THROUGH DENGAN THRESHOLD REGIME US MONETARY POLICY RATE: STUDI KASUS ANALISIS NONLINEAR TAR MODEL
ARIF AGUNG WIBOWO, Sekar Utami Setiastuti S.E., M.Sc., Ph.D.
2024 | Skripsi | ILMU EKONOMI
The
Fed telah beberapa kali menetapkan perubahan kebijakan moneter untuk menjaga
stabilitas makroekonomi Amerika Serikat. Perubahan kebijakan moneter AS dapat
memberikan tekanan suku bunga terhadap perekonomian negara berkembang melalui exchange
rate pass-through. Penelitian ini menggunakan TAR model untuk meninjau
lebih lanjut reaksi inflasi terhadap exchange rate pass-through dengan
memberikan threshold rezim EFFR rendah dan rezim EFFR tinggi. Oleh sebab
itu, penelitian investigasi reaksi inflasi terhadap exchange rate
pass-through dengan menimbang rezim EFFR rendah dan tinggi. Hasil
penelitian ini menunjukkan bahwa Exchange Rate Pass-Through dapat
mempengaruhi inflasi domestik Indonesia secara efektif ketika menghadapi rezim
EFFR tinggi dan tidak mempengaruhi secara efektif ketika menghadapi rezim EFFR
rendah. Penelitian ini juga menemukan bahwa, apresiasi real effective
exchange rate Rupiah dapat meningkatkan inflasi Indonesia ketika menghadapi
rezim EFFR tinggi.
The
Fed has made several changes to monetary policy to maintain the macroeconomic
stability of the United States. Changes in US monetary policy can pressure
interest rates on developing country economies through exchange rate
pass-through. This research uses the TAR model to further review inflation
against exchange rate pass-through by providing thresholds for low EFFR regimes
and high EFFR regimes. Therefore, research investigating inflation on exchange
rates considers low and high EFFR regimes. The results of this research
indicate that the Exchange Rate Pass-Through can affect Indonesia's domestic
inflation effectively when facing a high EFFR regime and does not affect it
effectively when facing a low EFFR regime. This
research also finds that appreciation of the real effective exchange rate of
the Rupiah can increase Indonesia's inflation when facing a high EFFR regime.
Kata Kunci : Exchange Rate Pass-Through, rezim EFFR, Inflasi, TAR Model.