RESPON KEBIJAKAN MONETER YANG OPTIMAL DI INDONESIA: The State-Contingent Rule?
Abstract
By developing a long-run macro structural model, The Structural Cointegrating Vector Autoregression (VAR), the optimality principle of monetary policy response in Indonesia is formulated. It accommodates not only long-run policy response and short-run dynamic errorcorrection mechanism, but also specific shocks emerged due to structural changes in the economy. In that context, the generated policy response basically reflects the optimal response of a “state-contingent rule”, different from common simple policy rules, such as Taylor rule and McCallum rule. This study captures several important aspects related to the implementation of “state-contingent rule” as an optimal monetary policy in Indonesia, namely: (i) the superiority of interest rate as a policy variable, or an operational target, against monetary base, (ii) the identification of monetary policy lag which is estimated averagely one-and-a half year, and (iii) the sub optimality of central bank monetary policy response, attributed by an over tight or loose policy response.
JEL Classification: C32, E52
Keywords: Kebijakan Moneter di Indonesia, Respon Kebijakan Moneter, Structural Cointegration Vector Autoregression(VAR).
Downloads
References
Bank Indonesia, Undang-undang Republik Indonesia Nomor 23 tahun 1999 tentang Bank Indonesia, Bank Indonesia, Jakarta, 1999, yang diamandemen dengan Undang-undang Republik Indonesia Nomor 3 Tahun 2004.
Bernanke, B. et al. (1999), Inflation Targeting: Lessons from International Experience, Princenton University Press.
Blake, Andrew P. (1998), et al., “Optimal Monetary Policy”, National Institute Economic Review.
Blake, Andrew P. (2000), “Optimality and Taylor Rules”, mimeo, National Institute of Economic and Social Research.
Boughton, James M. (2002), “Why White, Not Keyness? Inventing the Postwar International Monetary System”, IMF Working Paper, WP/02/52, Washington DC.
Clarida, R.H. (2001), “The Empirics of Monetary Policy rules in Open Economies”, on Seminar on Monetary Policy in Open Economics, IMF, June 2001.
Clarida, Richard, Jordi Gali, and Mark Gertler (1998), “Monetary Policy Rules in Practice: Some International Evidence,” European Economic Review, Vol. 42, pp. 1033-67.
Fischer, Stanley (1996), Central Banking: the Challenges Ahead - Maintaining Price Stability, Finance and Development.
Garratt, A., K. Lee, M.H. Pesaran, Y. Shin (1998), “A Long Run Structural Macroeconomic Model of the UK”, DAE Working Paper, University of Cambridge, June, Revised April 2001.
Garratt, A., K. Lee, M.H. Pesaran, Y. Shin (1999), “A Structural Cointegrating VAR Approach to Macroeconomic Modelling”, DAE Working Paper, University of Cambridge, January.
Goldfajn, Ilan and Poonam Gupta (2002), “Overshootings and Reversals: The Role of Monetary Policy”, in Banking, Financial Integration, and International Crises, edited by Hernandez and Klaus Schmidt-Hebbel, Central Bank of Chile.
Kaminsky, G. L. and Carmen M. Reinhart (1999), “The Twin Crises: The Causes of Banking and Balance of Payments Problems”, American Economic Review, Vol. 89, No. 3.
King, Menvyn (1997), “Changes in the UK Monetary Policy: rules and Discretion in Practice”, Journal of Monetary Economics, 39,.
McCallum, Bennett T. (1987), “Robustness Properties of a rule for Monetary Policy”, CarnegieRochester Conference Series on Public Policy, Autumn.
________ (2001), “Should Monetary Policy Respond Strongly to Output Gaps?”, NBER Working Paper No. 8226, April.
_________ and E. Nelson (1999), “Performance of operational Policy rules in an Estimated Semi-Classical Structural Model”, in Taylor, J.B. (ed) Monetary Policy rules, University of Chicago Press for NBER.
Muchlinski, Elke (2002), Against Rigid rules - Keynes»s Economic Theory, Discussion Paper, Frein Universitat Berlin.
Pesaran, MH, Y. Shin and RJ Smith (1998), “Structural Analysis of Error Correction Models”, DAE Working Paper, University Chambridge.
Pesaran, M.H. and Yongcheol Shin (1997), “Generalized Impulse Response Analysis in Linier Multivariate Models”, DAE Working Paper, University Chambridge, Mei, Revised July.
Rudebusch, G. D. and Lars E. O. Svensson (1998), “Policy rules for Inflation Targeting”, NBER Working Paper, No. 6512, April.
Sarwono, H.A. dan Warjiyo, P. (1998), “Mencari Paradigma Baru Manajemen Moneter dalam Sistem Nilai Tukar Fleksibel: Suatu Pemikiran untuk Penerapannya di Indonesia”, Buletin Ekonomi Moneter dan Perbankan, Vol. 1.
Shin, Hyung Song (2005), “Liquidity and Twin Crises”, Working Paper, London School of Economics, January.
Sims, Christoper A. (1992), “Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy”, Cowles Foundation Discussion Paper, No.1011.
_________ (1986), “Are Forecasting Models Usable for Policy Analysis?”, FRB of Minneapolis Quarterly Review, No.10.
Solikin (2005), “Analisis Kebijakan Moneter dalam Model Makroekonometrik Struktural Jangka Panjang: Structural Cointegrating Vector Autoregression”, Buletin Ekonomi Moneter dan Perbankan, Bank Indonesia, Vol. 8 (2).
________ (1998), “The Stability of Income Velocity, Demand for Money, and Money Multiplier in Indonesia, 1971-1996”, Unpublished Working Paper, Department of Economics, The University of Michigan, August.
Svensson, Lars E.O. (1997), “Optimal Inflation Targets, ‘Consevative’ Central Banks, and Linear Inflation Contracts”, The American Economic Review, March.
________ (1997), “Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets”, European Economic Review, Vol. 41.
________ (2002), “Inflation Targeting: Should It be Modeled as An Instrument rule or A Targeting rule?”, NBER Working Paper, No. 8925, May.
Taylor, J.B. (1993), “Discretion versus Policy rules in Practice”, Carnegie-Rochester Congferences Series on Public Policy, 39.
_________ (1996), “How Should Monetary Respond to Shocks While Maintaining Long-Run Price Stability - Conceptual Issues”, Conference Paper, Federal Reserve Bank of Kansas.
_________ (2000), “Using Monetary Policy rules in Emerging Market Economies”, Conference Paper, Banko de Mexico.
Woodford, Michael (2003), Interest and Prices: Foundations of A Theory of Monetary Policy, Princenton University Press, NJ.
Buletin Ekonomi Moneter dan Perbankan / Bulletin of Monetary Economics and Banking is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
