SVAR MODEL TO EXAMINE THE SHORT AND LONG TERM MONETARY POLICY IN INDONESIA
TEGUH SUGIARTO
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.
DOI: 10.52950/ES.2015.4.4.005
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APA citation:
TEGUH SUGIARTO (2015). SVAR MODEL TO EXAMINE THE SHORT AND LONG TERM MONETARY POLICY IN INDONESIA. International Journal of Economic Sciences, Vol. IV(4), pp. 66-77. , DOI: 10.52950/ES.2015.4.4.005
Data:
Received: 8 Oct 2015
Revised: 21 Nov 2015
Accepted: 6 Dec 2015
Published: 20 Dec 2015
Copyright © 2015, Teguh Sugiarto et al, teguh_cpconsulting@yahoo.com