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Analisis Kebijakan Moneter Dalam Model Makroekonometrik Struktural Jangka Panjang: Structural Cointegrating Vector Autoregression

Author

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  • Solikin M. Juhro

    (Bank Indonesia)

Abstract

The paper analyzes the monetary policy behavior by developing a long-run structural macroeconometric model; the Structural Cointegrating Vector Autoregression. The model is empirically proposed by Garratt et. al. (1998 and 1999) and adopted to suit the indonesian case. The result shows that the model perform well in explaining the monetary policy behavior in Indonesia. However, due to the limitation of data, and a re orientation of monetary policy, we should carefully examine and interpreting the magnitude of parameters used on the model

Suggested Citation

  • Solikin M. Juhro, 2005. "Analisis Kebijakan Moneter Dalam Model Makroekonometrik Struktural Jangka Panjang: Structural Cointegrating Vector Autoregression," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 8(2), pages 199-237, September.
    • Handle: RePEc:idn:journl:v:8:y:2005:i:2c:p:199-237
    DOI: https://doi.org/10.21098/bemp.v8i2.134
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    More about this item

    Keywords

    Kebijakan Moneter di Indonesia; Model Makro Struktural Jangka Panjang; Structural Cointegration Vector Autoregression (VAR);
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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