Asymmetric Transmission of the Monetary Policy: Empirical Evidence from the Consumer Credit Rates in Indonesia

Fitri Ami Handayani and Febrio Nathan Kacaribu ()
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Fitri Ami Handayani: Graduate School of Economic Science Faculty of Economics and Business Universitas Indonesia
Febrio Nathan Kacaribu: Institute for Economic and Social Research Faculty of Economics and Business Universitas Indonesia (LPEM FEB UI)

No 201938, LPEM FEBUI Working Papers from LPEM, Faculty of Economics and Business, University of Indonesia

Abstract: This paper empirically examines asymmetric transmissions from money market rates to various consumer rates throughout a sample period that comprises monetary policy shifting in Indonesia from 2011 to 2017. We adopt modification of Asymmetric Error Correction Models (AECM), which incorporate three-error correction term. This allows us to inspect the different adjustment when the disequilibria are: large-positive, large-negative, and small. Our findings shows that there are varying asymmetric adjustment in response to different shocks across products in lending market. Thus, the monetary authorities should notice that both easing and tightening monetary policy appear to have varying impact to different credit market.

Keywords: monetary; policy; —; asymmetric; adjustment; —; Indonesia (search for similar items in EconPapers)
JEL-codes: C22 E43 G21 (search for similar items in EconPapers)
Date: 2019-38, Revised 2019
New Economics Papers: this item is included in nep-cba, nep-mac, nep-mon, nep-ore and nep-sea
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