TRANSMISSION MECHANISM OF MONETARY POLICY THROUGH ASSET PRICE IN INDONESIA IN THE PERIOD 2002-2011
The objective of this study is to identify the transmission mechanism of monetary policy through the assets price in Indonesia. In practice, Bank of Indonesia and the government implements monetary policies by reducing the Loan to Value ratio and by implementing expansionary policy through Housing F...
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| Format: | Article |
| Language: | English |
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University of Brawijaya
2016-12-01
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| Series: | Journal of Indonesian Applied Economics |
| Subjects: | |
| Online Access: | http://jiae.ub.ac.id/index.php/jiae/article/view/179 |
| _version_ | 1797715247352512512 |
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| author | Puspitasari Wahyu Anggraeni |
| author_facet | Puspitasari Wahyu Anggraeni |
| author_sort | Puspitasari Wahyu Anggraeni |
| collection | DOAJ |
| description | The objective of this study is to identify the transmission mechanism of monetary policy through the assets price in Indonesia. In practice, Bank of Indonesia and the government implements monetary policies by reducing the Loan to Value ratio and by implementing expansionary policy through Housing Finance Liquidy Facility. The method used in this study is the Vector Autoregression First Difference (DVAR). The specific variables used in this study include long-term mortgage interest rates, housing price index, composite stock price index, hot money, money supply and Gross Dometic Product with the observation period starting in 2002:1-2011:12. Some procedures that will be used to support VAR specification including stationary test, cointegration test, Impulse Response Function, and Variance Decompositiion. Based on the DVAR estimates, the asset prices affect the output through the money supply. These results suggest that asset prices do not directly affect output but through some transmission mechanism. The contraction monetary policy implemented by the monetary authority is therefore effective enough to anticipate economic heating caused by the change in asset price. |
| first_indexed | 2024-03-12T08:04:05Z |
| format | Article |
| id | doaj.art-9433e9c85cee446193ff6a638c6d5e83 |
| institution | Directory Open Access Journal |
| issn | 1907-7947 2541-5395 |
| language | English |
| last_indexed | 2024-03-12T08:04:05Z |
| publishDate | 2016-12-01 |
| publisher | University of Brawijaya |
| record_format | Article |
| series | Journal of Indonesian Applied Economics |
| spelling | doaj.art-9433e9c85cee446193ff6a638c6d5e832023-09-02T19:41:26ZengUniversity of BrawijayaJournal of Indonesian Applied Economics1907-79472541-53952016-12-016112314110.21776/ub.jiae.2016.006.01.7160TRANSMISSION MECHANISM OF MONETARY POLICY THROUGH ASSET PRICE IN INDONESIA IN THE PERIOD 2002-2011Puspitasari Wahyu Anggraeni0Faculty of Economics and Business, Brawijaya UniversityThe objective of this study is to identify the transmission mechanism of monetary policy through the assets price in Indonesia. In practice, Bank of Indonesia and the government implements monetary policies by reducing the Loan to Value ratio and by implementing expansionary policy through Housing Finance Liquidy Facility. The method used in this study is the Vector Autoregression First Difference (DVAR). The specific variables used in this study include long-term mortgage interest rates, housing price index, composite stock price index, hot money, money supply and Gross Dometic Product with the observation period starting in 2002:1-2011:12. Some procedures that will be used to support VAR specification including stationary test, cointegration test, Impulse Response Function, and Variance Decompositiion. Based on the DVAR estimates, the asset prices affect the output through the money supply. These results suggest that asset prices do not directly affect output but through some transmission mechanism. The contraction monetary policy implemented by the monetary authority is therefore effective enough to anticipate economic heating caused by the change in asset price.http://jiae.ub.ac.id/index.php/jiae/article/view/179Transmission mechanism, Monetary policy, DVAR |
| spellingShingle | Puspitasari Wahyu Anggraeni TRANSMISSION MECHANISM OF MONETARY POLICY THROUGH ASSET PRICE IN INDONESIA IN THE PERIOD 2002-2011 Journal of Indonesian Applied Economics Transmission mechanism, Monetary policy, DVAR |
| title | TRANSMISSION MECHANISM OF MONETARY POLICY THROUGH ASSET PRICE IN INDONESIA IN THE PERIOD 2002-2011 |
| title_full | TRANSMISSION MECHANISM OF MONETARY POLICY THROUGH ASSET PRICE IN INDONESIA IN THE PERIOD 2002-2011 |
| title_fullStr | TRANSMISSION MECHANISM OF MONETARY POLICY THROUGH ASSET PRICE IN INDONESIA IN THE PERIOD 2002-2011 |
| title_full_unstemmed | TRANSMISSION MECHANISM OF MONETARY POLICY THROUGH ASSET PRICE IN INDONESIA IN THE PERIOD 2002-2011 |
| title_short | TRANSMISSION MECHANISM OF MONETARY POLICY THROUGH ASSET PRICE IN INDONESIA IN THE PERIOD 2002-2011 |
| title_sort | transmission mechanism of monetary policy through asset price in indonesia in the period 2002 2011 |
| topic | Transmission mechanism, Monetary policy, DVAR |
| url | http://jiae.ub.ac.id/index.php/jiae/article/view/179 |
| work_keys_str_mv | AT puspitasariwahyuanggraeni transmissionmechanismofmonetarypolicythroughassetpriceinindonesiaintheperiod20022011 |