Analisis Mekanisme Kebijakan Moneter melalui Jalur Suku Bunga terhadap Stock Market (IHSG) di Indonesia

Abstract

The research aims to find out the effectiveness of monetary policy mechanism through interest rate on stock market (IHSG) in Indonesia, and to find out the power of variables in the interest rate path in facing the stock market (IHSG) condition in Indonesia. This research employs Vector Error Correction Model to estimate the effects of monetary policy transmission mechanism through interest rate path on the stock market (IHSG) in Indonesia.

Secondary data collected monthly from 2015 through 2022 are used in this research and are taken from the official annual report published in Bank Indonesia website. The research variables used to estimate the effects of monetary policy transmission mechanism through interest rate path on the stock market (IHSG) in the form of Bl rate, interest rate of interbank money market (PUAB), deposit interest, Covid-19, and stock exchange composite price index.

The result indicates the effectiveness of monetary policy mechanism through interest rate on stock market (IHSG) in Indonesia. The effectiveness is shown based on both short-term and long-term response changes of IHSG as the result of shock in interest rate path. However, it is essential to know that Covid-19 gives big effect in the long term on IHSG followed by deposit interest rate. It is also found that monetary policy transmission of interest rate path has a strong power which is responded by stock market (IHSG). The powers in interest rate path come from the deposit interest rate shock which effecting IHSG.