INTERNALISASI SEKTOR PERBANKAN DALAM MODEL DSGE
Keywords:
monetary policy, DSGE with banking sector, macroprudential policy
Abstract
We build DSGE model for small open economy with financial friction in the form of collateral constrain on banking sector, designed for Indonesian economy. The constructed model is capable to simulate the monetary policy (Bank Indonesia rate) and macroprudential policy (reserve requirement, capital adequacy ratio – CAR, and loan to value – LTV). By internalizing banking sector into the model, this model also enable us to simulate the impact of any shock originated from banking sector.Downloads
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References
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Angelini, Paolo &Andrea Enria&Stefano Neri&Fabio Panetta &Mario Quagliariello, 2010. “Procyclicality of capital regulation: is it a problem? How to fix it?”, Questioni di Economia e Finanza (Occasional Papers) 74, Bank of Italy, Economic Research and International Relations Area.
Angelini, Paolo &Stefano Neri &Fabio Panetta, 2011.”Monetary and macroprudential policies”, Temi di discussione (Economic working papers) 801, Bank of Italy, Economic Research and International Relations Area.
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Brzoza-Brzezina, MichaÅ‚ &Krzysztof Makarski, 2011, “Credit crunch in a small open economy,” Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1406-1428.
Camilo E Tovar, 2008. “DSGE models and central banks,” BIS Working Papers 258, Bank for International Settlements.
Gerali, Andrea & Stefano Neri & Luca Sessa & Federico M. Signoretti, 2010,”Credit and banking in a DSGE model of the euro area,”Temi di discussione (Economic working papers) 740,Bank of Italy, Economic Research and International Relations Area.
Gunadi, Iman&Advis Budiman ,2011, “Optimalisasi Komposisi Portfolio Bank di Indonesia”, Kajian Stabilitas Keuangan No. 17, September.
Harmanta & Nur Purwanto, 2012, “Stickiness Suku Bunga retail Perbankan di Indonesia “, Catatan Riset No. 14/ 39 /DKM/BRE/CR, Bank Indonesia, Desember.
Iacoviello, M. ,2005, “House Prices, Borrowing Constraints and Monetary Policy in the Business Cycle” American Economic Review, Vol. 95(3), pp. 739-764.
Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 2005. “Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy,” Journal of Political Economy, University of Chicago Press, vol. 113(1), pages 1-45, February.
Liu, Zheng & Pengfei Wang & Tao Zha, 2010. “Do credit constraints amplify macroeconomic fluctuations?”, Working Paper 2010-01, Federal Reserve Bank of Atlanta.
Vlcek, Jan & Scott Roger, 2012. “Macrofinancial Modeling at Central Banks: Recent Developments and Future Directions,” IMF Working Papers 12/21, International Monetary Fund.
Zhang, X. & Verikios, G. ,2006, “A rmington Parameter Estimation for a Computable General Equilibrium Model: A Database Consistent Approach”, Economics Discussion Working Papers No. 06–10, The University of Western Australia,Department of Economics.
Agung, Juda ,2010.”Mengintegrasikan Kebijakan Moneter dan Makroprudential: Menuju Paradigma Baru Kebijakan Moneter di Indonesia Pasca Krisis Global”. Bank Indonesia Working Paper No.WP/07/2010.
Angelini, Paolo &Andrea Enria&Stefano Neri&Fabio Panetta &Mario Quagliariello, 2010. “Procyclicality of capital regulation: is it a problem? How to fix it?”, Questioni di Economia e Finanza (Occasional Papers) 74, Bank of Italy, Economic Research and International Relations Area.
Angelini, Paolo &Stefano Neri &Fabio Panetta, 2011.”Monetary and macroprudential policies”, Temi di discussione (Economic working papers) 801, Bank of Italy, Economic Research and International Relations Area.
Bank Indonesia, 2006, “General Equilibrium Model Bank Indonesia 2006,” Bank Indonesia Working Paper.
Bank Indonesia .2009, “Bank Indonesia Structural Macromodel” Bank Indonesia Working Paper.
BIS, 2010. “Macroprudential instruments and frameworks: A stocktaking of issues and experiences. Committee on The Global Financial System.
Brzoza-Brzezina, MichaÅ‚ &Krzysztof Makarski, 2011, “Credit crunch in a small open economy,” Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1406-1428.
Camilo E Tovar, 2008. “DSGE models and central banks,” BIS Working Papers 258, Bank for International Settlements.
Gerali, Andrea & Stefano Neri & Luca Sessa & Federico M. Signoretti, 2010,”Credit and banking in a DSGE model of the euro area,”Temi di discussione (Economic working papers) 740,Bank of Italy, Economic Research and International Relations Area.
Gunadi, Iman&Advis Budiman ,2011, “Optimalisasi Komposisi Portfolio Bank di Indonesia”, Kajian Stabilitas Keuangan No. 17, September.
Harmanta & Nur Purwanto, 2012, “Stickiness Suku Bunga retail Perbankan di Indonesia “, Catatan Riset No. 14/ 39 /DKM/BRE/CR, Bank Indonesia, Desember.
Iacoviello, M. ,2005, “House Prices, Borrowing Constraints and Monetary Policy in the Business Cycle” American Economic Review, Vol. 95(3), pp. 739-764.
Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 2005. “Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy,” Journal of Political Economy, University of Chicago Press, vol. 113(1), pages 1-45, February.
Liu, Zheng & Pengfei Wang & Tao Zha, 2010. “Do credit constraints amplify macroeconomic fluctuations?”, Working Paper 2010-01, Federal Reserve Bank of Atlanta.
Vlcek, Jan & Scott Roger, 2012. “Macrofinancial Modeling at Central Banks: Recent Developments and Future Directions,” IMF Working Papers 12/21, International Monetary Fund.
Zhang, X. & Verikios, G. ,2006, “A rmington Parameter Estimation for a Computable General Equilibrium Model: A Database Consistent Approach”, Economics Discussion Working Papers No. 06–10, The University of Western Australia,Department of Economics.
Published
2014-12-22
How to Cite
Harmanta, H., Purwanto, N. M. A., & Oktiyanto, F. O. (2014). INTERNALISASI SEKTOR PERBANKAN DALAM MODEL DSGE. Buletin Ekonomi Moneter Dan Perbankan, 17(1), 23-60. https://doi.org/10.21098/bemp.v17i1.43
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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.
