Analisis Transmisi Kebijakan Moneter Melalui Jalur Harga Aset dan Ekspektasi Inflasi di Indonesia

Abstract

This research aims to find out the effectiveness of monetary policy transmission mechanisms by reviewing the length of time required to achieve the last target of inflation using the channel of asset prices and inflation expectation. In addition, this research aims to find out which channel is the most effective in realizing the last target of inflation. This research uses Structural Vector Autoregression (SVAR) model in estimating the effects of monetary policy transmission on inflation through asset prices channel and inflation expectation channel; and also reviewing the length of time required to achieve the last target of inflation.

Data used in this research is secondary data using quarterly timeline from 2010 until 2021. Secondary data are taken from annual reports which have been published in legal website of Bank Indonesia (BI), Central Statistics Body, and Ministry of Investment/BKPM. The research variable used to estimate the effects of monetary policy transmission mechanisms on inflation through asset prices is in the form of BI rates, banks interest rates in money market, composite stock price index, real investment, output gap, and inflation. While the variable used to estimate the effects of monetary policy transmission mechanism on inflation through inflation expectation, namely BI rate, inflation expectation, output gap and inflation.

The result indicates that the effectiveness of monetary policy transmission mechanism through asset prices requires a quartal of 6 (six) months to achieve the last target of inflation. Meanwhile, the effectiveness of monetary policy transmission mechanism through inflation expectation requires a quartal of 4 (four) months to achieve the last target of inflation. The results also indicate that the channel of inflation expectation is more effective than the channel of asset prices in realizing the last target of inflation.