SVAR MODEL TO EXAMINE THE SHORT AND LONG TERM MONETARY POLICY IN INDONESIA

Teguh Sugiarto ()
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Teguh Sugiarto: Budi luhur university

International Journal of Economic Sciences, 2015, vol. 4, issue 4, 66-77

Abstract: This research was conducted by the author to see the impact of monetary policy on the domestic macro-economic variables is important in Indonesia using a structural model of the short and long term, contained in a structural model of vectorAutoregressions (SVAR). The author uses the effects of macroeconomic policy is the key in this research, by applying the matrix model SVAR initiated by Bernanke & Mihov (1998) short term and Blancard & Quah (1989) long term. Research conducted using the 4 variables, consisting of two domestic variables, namely the interest rate of Bank Indonesia (SBI), the consumer price index (CPI) and two non-domestic variables, namely the interest rate the central bank United States(FFF), the rate of inflation in the United States (INF_USA). From the research that has been done can be inferred that the SVAR models used in this study can be used as a reference to the theoretical expectations in order to show that the rise in interest rates and the central bank of the United States could affect Indonesia's domestic variables.

Keywords: SVAR; restricted short-term; restrictions long-term; IRF; FEVD; SBI; CPI; FFF; Inflation USA. (search for similar items in EconPapers)
JEL-codes: B49 C01 C39 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:sek:jijoes:v:4:y:2015:i:4:p:66-77

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