Efektivitas Bauran Kebijakan di 7 Negara Emerging Market dalam Stabilitas Sistem Keuangan dan Stabilitas Ekonomi

Abstract

The global financial crisis left the global economic impact to date, proving that financial system risk management through macroeconomic, monetary and fiscal policies alone is not enough to prevent financial crises and maintain financial system stability. The global economic and financial crisis provides experience that macroeconomic instability is increasingly stemming from the disruption of balance in the financial sector, for that an effective policy mix is needed in stabilizing the financial sector as well as the macroeconomic sector. This research aims to analyze the effectiveness of the policy mix in financial system stability and economic stability in 7 emerging market countries in both the short, medium and long term. Analyze the ability of the policy mix in finding leading indicators of financial system stability and economic stability of each country China, India, Indonesia, Russia, Brazil, Turkey, and Egypt. The analysis model uses the Structur Vector Autoregression (SVAR) and the Auto Regression Distribution Lag (ARDL) Panel model. The study was conducted in 7 emerging market countries. Data sources from panel data are time series data (2010 to 2019) and cross section data (China, India, Indonesia, Russia, Turkey, Brazil and Egypt). The results of the SVAR model show that the effective policy mix of maintaining financial system stability is economic stability through Gross Domestic Product, fiscal policy through tax revenues and government expenditures, monetary policy through interest rate and money supply, and macroprudential policy through Loan to Deposit Ratio. An effective policy mix maintaining economic stability (GDP and inflation) is financial system stability through exchange rate stability, fiscal policy through government spending, monetary policy through money supply and macroprudential policy through Loan to Deposit Ratio and Non Performance Loan. The results of the ARDL Panel model study showed that the leading indicators of financial system stability based on countries namely China, India and Brazil, while variable-based Gross Domestic Product (economic stability) as the best leading indicator of financial system stability. Leading indicators of state-based economic stability are Indonesia and Russia, while variable-based Loan to Deposit Ratio (macroprudential policy) as the best leading indicator of economic stability.

Krisis keuangan global meninggalkan dampak perekonomian global hingga saat ini, hal tersebut membuktikan bahwa pengelolaan risiko sistem keuangan melalui kebijakan ekonomi makro, moneter dan fiskal saja tidak cukup untuk mencegah krisis keuangan dan menjaga stabilitas sistem keuangan. Krisis ekonomi dan keuangan global memberi pengalaman bahwa ketidakstabilan ekonomi makro semakin banyak bersumber dari adanya gangguan keseimbangan di sektor keuangan, untuk itu diperlukan bauran kebijakan yang efektif dalam menstabilkan sektor keuangan sekaligus sektor ekonomi makro. Penelitian ini bertujuan menganalisis efektivitas bauran kebijakan dalam stabilitas sistem keuangan dan stabilitas ekonomi di 7 negara emerging market baik dalam jangka pendek, menengah dan panjang. Menganalisis kemampuan bauran kebijakan dalam menemukan leading indicator stabilitas system keuangan dan stabilitas ekonomi masing-masing negara China, India, Indonesia, Rusia, Brazil, Turki, dan Mesir. Model analisis menggunakan Structur Vector Autoregression (SVAR) dan model Panel Auto Regression Distribution Lag (ARDL). Penelitian ini dilakukan tarhadap 7 negara Emerging Market. Sumber data dari data panel yaitu data time series (2010 s/d tahun 2019) dan data cross section (China, India, Indonesia, Rusia, Turki, Brazil dan Mesir). Hasil penelitian model SVAR menunjukkan bauran kebijakan yang efektif menjaga stabilitas sistem keuangan adalah stabilitas ekonomi melalui Gross Domestic Product, kebijakan fiskal melalui penerimaan pajak dan pengeluaran pemerintah, kebijakan moneter melalui interest rate dan jumlah uang beredar, dan kebijakan makroprudensial melalui Loan to Deposit Ratio. Bauran kebijakan yang efektif menjaga stabilitas ekonomi (GDP dan inflasi) adalah stabilitas sistem keuangan melalui stabilitas nilai tukar, kebijakan fiskal melalui pengeluaran pemerintah, kebijakan moneter melalui jumlah uang beredar dan kebijakan makroprudensial melalui Loan to Deposit Ratio dan Non Performance Loan. Hasil penelitian model Panel ARDL menunjukkan bahwa leading indikator stabilitas sistem keuangan berbasis negara yaitu negara China, India dan Brazil, sedangkan berbasis variabel yaitu Gross Domestic Product (stabilitas ekonomi) sebagai best leading indicator stabilitas sistem keuangan. Leading indikator stabilitas ekonomi berbasis negara yaitu Indonesia dan Rusia, sedangkan berbasis variabel yaitu Loan to Deposit Ratio (kebijakan makroprudensial) sebagai best leading indicator stabilitas ekonomi.