THE ROLE OF MACROPRUDENTIAL POLICY TO MANAGE EXCHANGE RATE VOLATILITY, EXCESS BANKING LIQUIDITY, AND CREDITS
Keywords:
macroprudential policy, VARX, event analysis, holding period, net open position, reserve requirement, banking
Abstract
This paper analyzes the macroprudential policy by the central bank to maintain the financial system stability. Using panel data of the government banks, foreign, private, joint venture, and regional development banks during 2004- 2012, we employ Vector Autoregressive Exogenous (VARX) and event analysis method and find that the level of exchange rate volatility decrease after the implementation of the one month holding period, six-month holding period and net open position policies. However, for the nominal exchange rate, these policies are not effective. In aggregate the reserve requirement plus loan to deposit ratio policy is effective to raise the bank credit allocation. Furthermore, the impact of the primary reserve policy is very limited to lower the liquidity of the economy; while at the same time the flow of foreign capital comes into very heavy
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References
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Quint, Dominic dan Pau Rabanal. (2011). Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area. 12th Jacques Polak Annual Research Conference, November.
Schoenmaker, Dirk dan Peter Wierts. (2011). Macroprudential Policy: The Need for a Coherent Policy Framework. Duisenberg School Finance Policy Paper Series, No. 13, Juli.
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Working Group G-30. (2010). Enhancing Financial Stability and Resilience: Macroprudential Policy, Tools, and Systems for the Future. Working Paper G-30
Angelini, Paolo, Stefano Neri , dan Fabio Panetta. (2012). Monetary and Macroprudential Policies. Working Paper Series, No 1449, European Central Bank.
Arnold, Bruce, Claudio Borio, Luci Ellis, dan Fariborz Moshirian. (2012). Syatemic Risk, Macroprudential Policy Frameworks, Monitoring Financial System, and the Evolution of Capital Adequacy. Journal of Banking and Finance, vol.36: 3125-3132.
Arregui, Nicolas, Jaromir Banes, Ivo Krznar, Srobona Mitra, dan Andre Oliveira Santos. 2013. Evaluating the Net Benefit of Macroprudential Policy: A Cookbook. IMF Working Paper, WP/13/167.
Bank of England. (2009). The Role of Macroprudential Policy. A Discussion Paper, November.
_____________. (2011). Instrument of Macroprudential Policy. A Discussion Paper, Desember
Beau, Denis, Laurent Clerc dan Benoit Mojon. (2012). Macro-Prudential Policy and the Conduct of Monetary Policy. Banque de France Working Paper, No.390.
Bierens, Herman J. (2004). VAR Models with Exogenous Variables. http://www.econ.psu.edu/~hbierens/EasyRegTours/VAR_Tourfiles/VARX.PDF, diunduh Februari 2014
Biorn, Erik. (2011). Estimation of ARX and VARX Models by ML. Advanced Econometrics-Time Series, Lecture note No. 6, Februari.
Bruno, Valentina dan Hyun Song Shin. (2013). Assessing Macroprudential Policies: Case of Korea. Prepared for the Symposium Issue of the Scandinavian Journal of Economics on
Capital Flow, April.
Buncic, Daniel, dan Martin Melecky. (2013). Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers. Journal of Financial Stabilty, No. 9: 347-370.
Bustamante, C., Gonzales, A., dan Perez, J. (2012). Macroprudential Policy, External Shocks and Financial Intermediation on a Small Open Economy. Borradores de Economica, No. 716I.
Claessens, Stijn dan Swati R. Ghosh. (2012). Macro-Prudential Policies: Lesson for and from Emerging Markets. Prepared for the East-West Center and the Korea Development Institute Conference.
Claessens, Stijn, Swati R. Ghosh, dan Roxana Mihet. (2012). Macro-Prudential Policies to Mitigate Financial System Vulnerabilities. Prepared for the NIPFP-DEA-JIMF conference Rajasthan, India, November.
Clemment, P. (2010). The Term “Macroprudential”: Origins and Evolution. Quarterly Review, Bank for International Settlement, Maret.
Committee on the Global Financial System. (2010). Macroprudential Instruments and Frameworks: A Stocktaking of Issues and Experiences. CGFS Papers, No.38. Bank for International Settlements, Mei.
Committee on the Global Financial System. (2012). Operationalising the Selection and Application of Macroprudential Instruments. CGFS Papers, No. 48. Bank for International Settlements, Desember.
Cui, Yuhu, dan Ansgar Belke. (2008). Monetary Policy Interdependence between the ECB and The Fed: VARX Model versus VEC Model. International Conference on Applied Economics, Mei.
Delgado, Fernando L., dan Mynor Meza. (2011). Developments in Financial Supervision and The Use of Macroprudential Measures in Central America. IMF Working Paper, WP/11/299, Desember.
G20 Finance Ministers and Central Bank Governors. (2011). Macroprudential Policy Tools and Frameworks. Financial Stability Board, International Monetary Fund, dan Bank for International Settlements, Februari.
Galati, Gabriele dan Richhild Moessner. (2011). Macroprudential Policy – A Literature Review. Working Paper No. 337. Bank for International Settlements, Februari.
Gauthier, Celine, Alfred Lehar, dan Moez Souissi. (2012). Macroprudential Capital Requirements and Systemic Risk. Journal of Financial Intermediation, No. 21: 594-618.
Gersbach, Hans, dan Jean-Charles Rochet. (2012). Aggregate Investment Externalities and Macroprudential Regulation. Journal of Money, Credit, and Banking, Vol. 44, No. 2: 73-109.
Hahm, Joon-Ho, Frederic S. Mishkin, Hyun Song Shin, dan Kwanho Shin. (2011). Macroprudential Policies in Open Emerging Economies. Asia Economic Policy Conference. Februari.
Horvath, Csilla, Peter S.H. Leeflang, Jaap E. Wieringa, Dick R. Wittink. (2005). Competitive Reaction and Feedback Effects Based on VARX Models of Pooled Store Data. International Journal of Research in Marketing 22: 415-426.
International Monetary Fund. (2011). Macroprudential Policy: An Organizing Framework. Prepared by the Monetary and Capital Markets Department.
International Monetary Fund. (2013). Key Aspects of Macroprudential Policy. Juni.
Lim, C., F. Columba, A. Costa, P. Kongsamut, A. Otani, M. Saiyid, T. Wezel, dan X. Wu. (2011). Macroprudential Policy: What Instruments and How to Use Them? Lessons from Country Experiences. IMF Working Paper, WP/11/238.
Lima, Diana, Paul Levine, dan Joseph Pearlman. (2012). Optimal Macro-Prudential and Monetary Policy. UK: University of Surrey.
Mendicino, Caterina. (2012). Collateral Requirements: Macroeconomic Fluctuations and Macroprudential Policy. Working Paper No. 11, Banco de Portugal, April.
Milne, Alistair. (2009). Macro-prudential Policy: Is It Really So New?. Draft Paper for Oxford Review of Economic Policy. Desember.
Peraturan Bank Indonesia No.12/10 /PBI/2010 Tentang Perubahan Ketiga atas Peraturan Bank Indonesia. Nomor 5/13/PBI/2003
Peraturan Bank Indonesia Nomor 15/7/ PBI /2013 Tentang Perubahan Kedua Atas
Peraturan Bank Indonesia Nomor 12/19/ PBI /2010 Tentang Giro Wajib Minimum Bank Umum Pada Bank Indonesia Dalam Rupiah Dan Valuta Asing.
Peraturan Bank Indonesia Nomor: 12/19/ PBI /2010 Tentang Giro Wajib Minimum Bank Umum Pada Bank Indonesia Dalam Rupiah Dan Valuta Asing
Peraturan Bank Indonesia Nomor: 5/13/PBI/2003 Tentang Posisi Devisa Neto Bank Umum
Peraturan Bank Indonesia. Nomor: 12/ 11 / PBI /2010 Tentang. Operasi Moneter
Progress Report to G20. 2011. Macroprudential Policy Tools and Frameworks. Financial Stability Board, International Monetary Fund, Bank for International Settlements, Oktober.
Quint, Dominic dan Pau Rabanal. (2011). Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area. 12th Jacques Polak Annual Research Conference, November.
Schoenmaker, Dirk dan Peter Wierts. (2011). Macroprudential Policy: The Need for a Coherent Policy Framework. Duisenberg School Finance Policy Paper Series, No. 13, Juli.
Tovar, Camilo E., Mercedes Garcia-Escribano, and Mercedes Vera Martin. (2012). Credit Growth and the Effectiveness of Reserve Requirements and Other Macroprudential Instruments in Latin America. IMF Working Paper, WP/12/142, Juni.
Utari, Diah dan Arimurti, Trinil. (2011). A Macro-Prudential Assessment For Indonesia. Bank Indonesia. http://www.seacen.org/file/file/RP88/framework%20chap3.pdf. diunduh Desember 2013
Working Group G-30. (2010). Enhancing Financial Stability and Resilience: Macroprudential Policy, Tools, and Systems for the Future. Working Paper G-30
Published
2015-11-09
How to Cite
Purnawan, M., & Nasir, M. (2015). THE ROLE OF MACROPRUDENTIAL POLICY TO MANAGE EXCHANGE RATE VOLATILITY, EXCESS BANKING LIQUIDITY, AND CREDITS. Buletin Ekonomi Moneter Dan Perbankan, 18(1), 21-44. https://doi.org/10.21098/bemp.v18i1.511
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Buletin Ekonomi Moneter dan Perbankan / Bulletin of Monetary Economics and Banking is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
