MENGUKUR TIME INCONSISTENCY KEBIJAKAN MONETER DI INDONESIA
Abstract
This study measured the time inconsistency of monetary policy in Indonesia using the asymmetric preference parameter in linear exponential loss function of the central bank. Asymmetric central bank preference becomes an important issue since many of the results on the time inconsistency problem under symmetric preferences may no longer hold under asymmetric preferences. Using two sub-samples, i.e. before and after the implementation of central bank independence act, the conditional mean and the conditional variance of the output gap were estimated and then proceed to estimate the reduced form of the model. The results showed the existence of an asymmetric preference parameter before the Bank Indonesia independence act, which indicated the presence of a time inconsistency problem of monetary policy. This finding implies Bank Indonesia put a negative weight instead of positive weight on the output gap prior to its independency. However, after the implementation of central bank independence, the monetary policy of Bank Indonesia has been consistent with symmetric policy preference over price stability and output. Keywords: Time inconsistency, discretionary, monetary policy, asymmetric central bank preference, output gap, inflation bias.JEL Classification : E52, E58Downloads
Download data is not yet available.
References
Alamsyah, Halim, 2008, Persistensi Inflasi dan Dampaknya terhadap Pilihan dan Respon Kebijakan Moneter di Indonesia. Disertasi. FEUI.
Bank Indonesia. Laporan Tahunan (Beberapa Periode).
Barro. RJ dan Gordon D., 1983. Rules, Discretion and Reputation in a Model of monetary Policy. NBER Working Paper.
Bofinger, Peter., 2001. Monetary Policy: Goals, Institution, Strategies and Instrument. Oxford University Press.
Budiyanti, Eka. 2009. Time Inconsistency dalam Kebijakan Moneter Kasus Indonesia: Sebelum dan Sesudah Krisis. Tesis. FEUI.
Cukierman, Alex, 2000. The Inflation Bias Result Revisited. Tel-Aviv University.
Goeltom, Miranda S, 2005. Perspectives of Time Consistency and Credibility in Monetary Policy: The Case of Indonesia. Paper for Bank Indonesia International Conference on Marrying Time Consistence in Monetary Policy with Financial Stability. Dalam Essay in Macroeconomic Policy: The Indonesian Experience. Gramedia Pustaka Utama. Jakarta
Gredig, Fabián, 2007.Asymmetric Monetary Policy Rules and The Achievement of The Inflation Target:The Case of Chile. Gerencia De Investigación Económica, Banco Central De Chile.
Greene, William H. 2008. Econometric Analysis. 6th Edition. Pearson International Edition. Pearson Education.
Harmanta, M. Barik Bathaluddin, dan Jati Waluyo, 2010, Inflation Targeting under Imperfect Credibility based on ARIMBI (Aggregate Rational Inflation – Targeting Model for Bank Indonesia); Lessons from Indonesian Experience. Economic Research Bureau Bank Indonesia.
Harmanta, 2009, Kredibilitas Kebijakan Moneter dan Dampaknya Terhadap Persistensi Inflasi dan Strategi Disinflasi di Indonesia: Dengan Model DSGE. Disertasi. FEUI.
Ikeda, Taro, 2009, The Time-Varying Preference of Monetary Policy in The Euro Area: Evaluation with An Asymmetric Loss Function. Graduate School of Economics, Kobe University. Kobe. Japan.
Ireland, Peter N., 1998, Does The Time-Consistency Problem Explain The Behavior of Infation in The United States? Working Paper in Economic. Economics Department Boston College.
Kim, Sokwon dan Seo, Byeongseon, 2007, Nonlinear Monetary Policy Reaction with Asymmetric Central Bank Preferences: Some Evidence for Korea. Hitotsubashi Journal of Economics 49 (2008). Hitotsubashi University.
Kydland, F dan Prescott E., 1977, Rules Rather Than Discretion: The Inconsistency of Optimal Plans. Journal of Political Economy.
Mc Callum, 1997, Crucial Issues Concerning Central Bank Independence, Journal of Monetary Economics.
Nachrowi, D.N, dan Usman, Hardius, 2006, Pendekatan Populer dan Praktis Ekonometrika Untuk Analisis Ekonomi dan Keuangan. Lembaga Penerbit Fakultas Ekonomi Universitas Indonesia.
Ozlale, Umit dan Ozkan Kivilcim M., 2003, Does The Time Inconsistency Problem Apply for Turkish Monetary Policy? Discussion Paper, Turkish Economic Association.
Revenna F., 2005, Inflation Targeting with Limited Policy Credibility. University of CaliforniaSanta Cruz April.
Rogoff, Kenneth, 1985, The Optimal degree of Commitment to an Intermediate Monetary Target. The Quarterly Journal of Economics.
Ruge-Murcia, Fransisco J., 2002, Does The Barro Gordon Model Explain The Behavior of The US Inflation? A Reexamination of The Empirical Evidence. Journal of Monetary Economics 50 (2003). Elsevier.
Sachida, Adolfo. Divino, Jose A dan Cajueiro, Daniel O., 2005, Inflation, Unemployment, and The Time Inconsistency of The US Monetary Policy. Working Paper Series Department of Economics and Finance, The University of Texas Pan American No.09/2007.
Solikin, 2005, Fluktuasi Makroekonomi dan Kebijakan Moneter yang (Sub)Optimal: Studi Kasus di Indonesia. Disertasi. FEUI.
___________, 2004, Kurva Philips dan Perubahan Struktural di Indonesia: Keberadaan, Linearitas, dan Pembentukan Ekspektasi. Buletin Ekonomi Moneter dan Perbankan (Maret). Bank Indonesia.
Solikin dan I Sugema, 2004, Rigiditas Harga Upah dan Implikasinya pada Kebijakan Moneter di Indonesia. Buletin Ekonomi Moneter dan Perbankan Vol.7 No.2.
Tambakis, Demosthenes N., 2004, Inflation Bias With A Convex Short-Run Phillips Curve and No Time-Inconsistency. Pembroke College. Cambridge.
Tjahjono, Endy Dwi, Munandar H, dan Waluyo J., 2010, Revisiting Estimasi Potential Output dan Output Gap Indonesia: Pendekatan Fungsi Produksi berbasis Model. Working Paper Bank Indonesia. WP/02/2010.
Walsh, Carl E., 2000, Monetary Policy and Theory. MIT Press.
Warjiyo, Perry dan Solikin, 2004, Kebijakan Moneter, dalam Bank Indonesia Bank Sentral Republik Indonesia: Sebuah Pengantar. Editor: Perry Warjiyo, Pusat Pendidikan dan Studi Kebanksentralan. Bank Indonesia.
Warjiyo, Perry, 2011 dan 2005, Modul Kuliah Ekonomi Moneter dan Perbankan. Program Pascasarjana Ilmu Ekonomi. FEUI.
Yanuarti, Tri , 2007, Persistensi Inflasi di Indonesia. Working Paper Bank Indonesia.
___________ , 2007, Has Inflation Persistence in Indonesia Changed?. Working Paper, Bank Indonesia
Bank Indonesia. Laporan Tahunan (Beberapa Periode).
Barro. RJ dan Gordon D., 1983. Rules, Discretion and Reputation in a Model of monetary Policy. NBER Working Paper.
Bofinger, Peter., 2001. Monetary Policy: Goals, Institution, Strategies and Instrument. Oxford University Press.
Budiyanti, Eka. 2009. Time Inconsistency dalam Kebijakan Moneter Kasus Indonesia: Sebelum dan Sesudah Krisis. Tesis. FEUI.
Cukierman, Alex, 2000. The Inflation Bias Result Revisited. Tel-Aviv University.
Goeltom, Miranda S, 2005. Perspectives of Time Consistency and Credibility in Monetary Policy: The Case of Indonesia. Paper for Bank Indonesia International Conference on Marrying Time Consistence in Monetary Policy with Financial Stability. Dalam Essay in Macroeconomic Policy: The Indonesian Experience. Gramedia Pustaka Utama. Jakarta
Gredig, Fabián, 2007.Asymmetric Monetary Policy Rules and The Achievement of The Inflation Target:The Case of Chile. Gerencia De Investigación Económica, Banco Central De Chile.
Greene, William H. 2008. Econometric Analysis. 6th Edition. Pearson International Edition. Pearson Education.
Harmanta, M. Barik Bathaluddin, dan Jati Waluyo, 2010, Inflation Targeting under Imperfect Credibility based on ARIMBI (Aggregate Rational Inflation – Targeting Model for Bank Indonesia); Lessons from Indonesian Experience. Economic Research Bureau Bank Indonesia.
Harmanta, 2009, Kredibilitas Kebijakan Moneter dan Dampaknya Terhadap Persistensi Inflasi dan Strategi Disinflasi di Indonesia: Dengan Model DSGE. Disertasi. FEUI.
Ikeda, Taro, 2009, The Time-Varying Preference of Monetary Policy in The Euro Area: Evaluation with An Asymmetric Loss Function. Graduate School of Economics, Kobe University. Kobe. Japan.
Ireland, Peter N., 1998, Does The Time-Consistency Problem Explain The Behavior of Infation in The United States? Working Paper in Economic. Economics Department Boston College.
Kim, Sokwon dan Seo, Byeongseon, 2007, Nonlinear Monetary Policy Reaction with Asymmetric Central Bank Preferences: Some Evidence for Korea. Hitotsubashi Journal of Economics 49 (2008). Hitotsubashi University.
Kydland, F dan Prescott E., 1977, Rules Rather Than Discretion: The Inconsistency of Optimal Plans. Journal of Political Economy.
Mc Callum, 1997, Crucial Issues Concerning Central Bank Independence, Journal of Monetary Economics.
Nachrowi, D.N, dan Usman, Hardius, 2006, Pendekatan Populer dan Praktis Ekonometrika Untuk Analisis Ekonomi dan Keuangan. Lembaga Penerbit Fakultas Ekonomi Universitas Indonesia.
Ozlale, Umit dan Ozkan Kivilcim M., 2003, Does The Time Inconsistency Problem Apply for Turkish Monetary Policy? Discussion Paper, Turkish Economic Association.
Revenna F., 2005, Inflation Targeting with Limited Policy Credibility. University of CaliforniaSanta Cruz April.
Rogoff, Kenneth, 1985, The Optimal degree of Commitment to an Intermediate Monetary Target. The Quarterly Journal of Economics.
Ruge-Murcia, Fransisco J., 2002, Does The Barro Gordon Model Explain The Behavior of The US Inflation? A Reexamination of The Empirical Evidence. Journal of Monetary Economics 50 (2003). Elsevier.
Sachida, Adolfo. Divino, Jose A dan Cajueiro, Daniel O., 2005, Inflation, Unemployment, and The Time Inconsistency of The US Monetary Policy. Working Paper Series Department of Economics and Finance, The University of Texas Pan American No.09/2007.
Solikin, 2005, Fluktuasi Makroekonomi dan Kebijakan Moneter yang (Sub)Optimal: Studi Kasus di Indonesia. Disertasi. FEUI.
___________, 2004, Kurva Philips dan Perubahan Struktural di Indonesia: Keberadaan, Linearitas, dan Pembentukan Ekspektasi. Buletin Ekonomi Moneter dan Perbankan (Maret). Bank Indonesia.
Solikin dan I Sugema, 2004, Rigiditas Harga Upah dan Implikasinya pada Kebijakan Moneter di Indonesia. Buletin Ekonomi Moneter dan Perbankan Vol.7 No.2.
Tambakis, Demosthenes N., 2004, Inflation Bias With A Convex Short-Run Phillips Curve and No Time-Inconsistency. Pembroke College. Cambridge.
Tjahjono, Endy Dwi, Munandar H, dan Waluyo J., 2010, Revisiting Estimasi Potential Output dan Output Gap Indonesia: Pendekatan Fungsi Produksi berbasis Model. Working Paper Bank Indonesia. WP/02/2010.
Walsh, Carl E., 2000, Monetary Policy and Theory. MIT Press.
Warjiyo, Perry dan Solikin, 2004, Kebijakan Moneter, dalam Bank Indonesia Bank Sentral Republik Indonesia: Sebuah Pengantar. Editor: Perry Warjiyo, Pusat Pendidikan dan Studi Kebanksentralan. Bank Indonesia.
Warjiyo, Perry, 2011 dan 2005, Modul Kuliah Ekonomi Moneter dan Perbankan. Program Pascasarjana Ilmu Ekonomi. FEUI.
Yanuarti, Tri , 2007, Persistensi Inflasi di Indonesia. Working Paper Bank Indonesia.
___________ , 2007, Has Inflation Persistence in Indonesia Changed?. Working Paper, Bank Indonesia
Published
2013-09-23
How to Cite
Rahmahdian, R., & Warjiyo, P. (2013). MENGUKUR TIME INCONSISTENCY KEBIJAKAN MONETER DI INDONESIA. Buletin Ekonomi Moneter Dan Perbankan, 15(4), 335-366. https://doi.org/10.21098/bemp.v15i4.71
Issue
Section
Articles
Buletin Ekonomi Moneter dan Perbankan / Bulletin of Monetary Economics and Banking is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
