The purpose of this research is to know and analyze about the comparative effectiveness of monetary policy transmission by interest rate channel and exchange rate channel in influencing inflation in Indonesia. Data used in this research is quarterly time series data from year 2005Q3 until 2017Q1. The variables used in this research are SBI interest rate, interbank call money interest rate, deposit interest rate, loan interest rate, investment, interest rate differential, capital inflow, exchange rate, net export and output gap. Data used in this research sourced by Bank Indonesia, Badan Pusat Statistik, and International Monetary Fund. The method used in this research is Vector Error Correction Model (VECM). The results of this research showed that in the long-term and the short-term in interest rate channel, interbank call money interest rate variables had a significant effect on inflation. Then the results of impulse response function test showed that the mechanism of monetary policy transmission requires outside lag to be able to influence inflation and indicate that the monetary policy transmission through interest rate in influencing the ultimate goal of inflation is more effective than exchange rate. In addition, variance decomposition results concluded that the rate of interbank call money interest rate variant is appropriately used as an operational target of monetary policy transmission for implementation in influencing inflation.
Tujuan penelitian ini untuk mengetahui dan menganalisis perbandingan efektivitas transmisi kebijakan moneter jalur suku bunga dan jalur nilai tukar dalam mempengaruhi inflasi di Indonesia. Data yang digunakan dalam penelitian ini adalah data time series triwulanan dari tahun 2005Q3 sampai dengan 2017Q1. Variabel yang digunakan dalam penelitian ini antara lain suku bunga SBI, suku bunga PUAB, suku bunga deposito, suku bunga kredit, investasi, interest rate differential, capital inflow, nilai tukar, ekspor neto dan output gap. Data penelitian ini berasal dari Bank Indonesia, Badan Pusat Statistik dan International Monetary Fund. Metode yang digunakan dalam penelitian ini adalah Vector Error Correction Model (VECM). Hasil penelitian menunjukkan bahwa pada jangka panjang dan jangka pendek dalam jalur suku bunga, suku bunga PUAB berpengaruh signifikan terhadap inflasi. Hasil uji impulse response function menyatakan bahwa mekanisme transmisi kebijakan moneter memerlukan time lag hingga mampu mempengaruhi inflasi dan menunjukkan bahwa mekanisme transmisi kebijakan moneter melalui jalur suku bunga efektif dalam mempengaruhi sasaran akhir inflasi. Kemudian hasil uji variance decomposition menyimpulkan bahwa varian suku bunga PUAB tepat digunakan sebagai sasaran operasional dari implementasi transmisi kebijakan moneter dalam mempengaruhi inflasi.
the Effectiveness of Monetary Policy Transmission to Inflation in Indonesia