TRANSMISI KEBIJAKAN MONETER BANK INDONESIA KE PASAR UANG PADA MASA KETIDAKPASTIAN EKONOMI GLOBAL PERIODE NOVEMBER 2008 – NOVEMBER 2012

PASITHESA PUTRI J, Prof. Dr. Sri Adiningsih, M.Sc.

2013 | Skripsi | ILMU EKONOMI

Penelitian ini bermaksud untuk melihat hubungan yang terjadi antara suku bunga official (BI Rate) dengan suku bunga overnight di pasar uang antar bank (suku bunga PUAB overnight pagi, suku bunga PUAB overnight sore, dan JIBOR overnight). Dengan menggunakan data bulanan sejak November 2008 hingga November 2012, pengujian hubungan dilakukan untuk memastikan adanya keberhasilan transmisi kebijakan moneter di pasar uang pada masa ketidakpastian ekonomi global. Alat analisis yang digunakan dalam penelitian ini meliputi uji kointegrasi Johansen, estimasi VAR/ VECM, impulse response function, hingga dekomposisi varians. Hasil penelitian ini menunjukkan bahwa pada masa ketidakpastian ekonomi global, transmisi kebijakan moneter tahap awal di pasar uang berjalan cukup baik. Terdapat hubungan jangka panjang dan jangka pendek antara BI Rate dengan berbagai suku bunga overnight di pasar uang antar bank. Selain itu, shock pada BI Rate segera direspon oleh suku bunga overnight, dimana respon yang terjadi adalah positif. Dari analisis dekomposisi varians, dapat disimpulkan bahwa dalam jangka pendek, variasi BI Rate dipengaruhi oleh own effect. Sementara itu, dalam jangka panjang, kontribusi perubahan suku bunga overnight di pasar uang semakin besar. Di sisi lain, kontribusi perubahan BI Rate dalam menjelaskan variabilitas perubahan beberapa suku bunga overnight tetap ada, walaupun kuantitasnya cukup kecil.

This study intends to know the relationships between official rate (BI Rate) to various overnight rates in interbank money market (overnight interbank call money rate in the morning, overnight interbank call money rate in the afternoon, and overnight JIBOR). Using monthly data since November 2008 until November 2012, examining the relationship helped to ensure the success of monetary policy transmission in money market, necessarily in uncertain global economic condition. This study used various analytical tools, started from Johansen cointegration test, VAR/ VECM, impulse response function, to forecast error variance decomposition. This study found long and short run relationships between BI Rate and various overnight rates in interbank money market. Thus, the first step of monetary policy transmission in money market has been done successfully, although uncertain global economic condition existed. Furthermore, shocks in BI Rate immediately responded by overnight rates, and those responses were positive. From forecast error variance decomposition analysis, the writer concluded that in the short run, BI Rate variation was influenced by its own effect. On the other hand, in the long run, the contributions of overnight rates were getting bigger. The contribution of BI Rate in explaining overnight rates variability remained exists, although the percentages were small.

Kata Kunci : transmisi kebijakan moneter, kointegrasi, VAR/ VECM, impulse response function, dekomposisi varians