scholarly journals Interest Rate Pass-Through and Monetary Transmission in Asia

2012 ◽  
Vol 4 (2) ◽  
Author(s):  
Pih Nee Tai ◽  
Siok Kun Sek ◽  
Wai Mun Har
Keyword(s):  
Interest Rate ◽  
Monetary Transmission ◽  
Pass Through

scholarly journals ALUR TRANSMISI DAN EFEKTIFITAS KEBIJAKAN MONETER GANDA DI INDONESIA

2012 ◽  
Vol 14 (3) ◽  
pp. 283-315
Author(s):  
Ascarya Ascarya
Keyword(s):  
Interest Rate ◽  
Central Bank ◽  
Negative Impact ◽  
Transmission Mechanism ◽  
Monetary Transmission ◽  
Monetary Transmission Mechanism ◽  
Monetary System ◽  
Data Form ◽  
Pass Through ◽  
The Interest Rate

This study aims to investigate transmission mechanism of dual monetary system from conventional and Islamic policy rates to inflation and output using Granger and VAR methods on monthly Indonesian banking data form January 2003 to December 2009. The result shows that conventional transmission mechanismsfrom conventional policy rate are all linked tooutput and inflation, while Islamic policy rate are not linked to output and inflation.In addition, the interest rate, credit and conventional interbank rate shocks give negative and permanent impacts to inflation and output, while PLS, financing and Islamic interbank PLS, as well as SBIS(Central Bank Shariah Certificate) as Islamic policy rate shocks give positive and permanent impacts to inflation and output. SBI (Central Bank Certificate) as conventional policy givespositive impact to inflation and negative impact to output.Keywords: Monetary transmission mechanism, Interest rate pass through, Conventional Banking, Islamic BankingJEL Classification: E43, E52, G21, G28

scholarly journals TRANSMISSION CHANNEL AND EFFECTIVENESS OF DUAL MONETARY POLICY IN INDONESIA

2012 ◽  
Vol 14 (3) ◽  
pp. 269-298 ◽  
Author(s):  
Ascarya Ascarya
Keyword(s):  
Interest Rate ◽  
Positive Impact ◽  
Transmission Mechanism ◽  
The Other ◽  
Monetary Transmission ◽  
Transmission Channel ◽  
Monthly Data ◽  
Monetary Transmission Mechanism ◽  
Monetary System ◽  
Pass Through

This paper investigates the transmission mechanism of dual monetary system from conventional and Islamic policy rates to inflation and output. We apply Granger Causality and VAR methods on monthly data of Indonesian banking, during the period of January 2003 to December 2009. The result shows that conventional policy rate is transmitted to output and inflation, while Islamic policy rate are not. In addition, the shock of conventional interest rate, credit and interbank rate give a negative and permanent impacts on inflation and output, except for SBI (Certificate of Bank Indonesia) with positive impact to inflation  though negatively affect the output. On the other hand, the shock of PLS, financing and Islamic interbank PLS, as well as SBIS (Central Bank Shariah Certificate) give positive and permanent impacts on inflation and output. Keywords: Monetary transmission mechanism, Interest rate pass through, Conventional Banking, Islamic BankingJEL Classification: E43, E52, G21, G28

scholarly journals MONETARY TRANSMISSION OF PERSISTENT SHOCK TO THE RISK PREMIUM: THE CASE OF INDONESIA

2011 ◽  
Vol 13 (4) ◽  
pp. 435-468
Author(s):  
Akhis R. Hutabarat
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Risk Premium ◽  
Nominal Exchange Rate ◽  
Monetary Transmission ◽  
Cost Channel ◽  
Long Run ◽  
Pass Through ◽  
Exchange Rate Pass Through

This paper investigates the relative importance of monetary transmission channel to inflation of passing persistent shock to the risk premium. The findings show that nominal exchange rate depreciation, triggered by a more persistent shock to interest risk premium, worsens the state of the economy in the short- and long-run. Such distinctive shocks effect is transmitted through the economy that typifies lack of response of consumer price disinflation to interest rate tightening caused by high real rigidity, strong cost channel of interest rate, strong cost channel of exchange rate pass-through and weak demand-side channel of exchange rate pass-through. This study suggests a proper monetary policy response, which is the smallest interest rate increases within the feasible set of monetary policy responses that the model recommends, to minimize the adverse effects of the shocks.Keywords: Exchange rate, Balance of Payment, Monetary transmission and policy, Dynamic General Equilibrium.JEL Classification: F41; E52; D58

scholarly journals MONETARY TRANSMISSION OF PERSISTENT SHOCK TO THE RISK PREMIUM: THE CASE OF INDONESIA

2011 ◽  
Vol 13 (4) ◽  
Author(s):  
Akhis R. Hutabarat
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Risk Premium ◽  
Nominal Exchange Rate ◽  
Monetary Transmission ◽  
Cost Channel ◽  
Long Run ◽  
Pass Through ◽  
Exchange Rate Pass Through

This paper investigates the relative importance of monetary transmission channel to inflation of passing persistent shock to the risk premium. The findings show that nominal exchange rate depreciation, triggered by a more persistent shock to interest risk premium, worsens the state of the economy in the short- and long-run. Such distinctive shocks effect is transmitted through the economy that typifies lack of response of consumer price disinflation to interest rate tightening caused by high real rigidity, strong cost channel of interest rate, strong cost channel of exchange rate pass-through and weak demand-side channel of exchange rate pass-through. This study suggests a proper monetary policy response, which is the smallest interest rate increases within the feasible set of monetary policy responses that the model recommends, to minimize the adverse effects of the shocks.Keywords: Exchange rate, Balance of Payment, Monetary transmission and policy, Dynamic General Equilibrium.JEL Classification: F41; E52; D58

The Role of Different Channels in Transmitting Monetary Policy into Output and Price in Vietnam

2015 ◽  
pp. 20-40
Author(s):  
Vinh Nguyen Thi Thuy
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Monetary Transmission ◽  
Impulse Response Functions ◽  
Short Run ◽  
The Exchange Rate ◽  
The Interest Rate ◽  
Interest Rate Channel

The paper investigates the mechanism of monetary transmission in Vietnam through different channels - namely the interest rate channel, the exchange rate channel, the asset channel and the credit channel for the period January 1995 - October 2009. This study applies VAR analysis to evaluate the monetary transmission mechanisms to output and price level. To compare the relative importance of different channels for transmitting monetary policy, the paper estimates the impulse response functions and variance decompositions of variables. The empirical results show that the changes in money supply have a significant impact on output rather than price in the short run. The impacts of money supply on price and output are stronger through the exchange rate and credit channels, but however, are weaker through the interest rate channel. The impacts of monetary policy on output and inflation may be erroneous through the equity price channel because of the lack of an established and well-functioning stock market.

Empirical Evidence of Asymmetric Interest Rate Pass-Through in Vietnam

2013 ◽  
Vol 218 ◽  
pp. 78-93
Author(s):  
NGUYEN KHAC QUOC BAO ◽  
NGUYEN HUU HUY NHUT
Keyword(s):  
Interest Rate ◽  
Empirical Evidence ◽  
Pass Through
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