Efektivitas Transmisi Moneter Konvensional di Tengah Intervensi Kebijakan: Studi VAR Suku Bunga, Inflasi, Nilai Tukar, dan Jumlah Uang Beredar Indonesia (2015–2024)
DOI:
https://doi.org/10.69693/ijmst.v4i3.14191Keywords:
Transmisi Moneter, Vector Autoregression, Suku Bunga, Inflasi, Nilai Tukar, Jumlah Uang BeredarAbstract
Penelitian ini bertujuan menganalisis secara komprehensif efektivitas jalur transmisi moneter konvensional, yaitu suku bunga dan nilai tukar, terhadap jumlah uang beredar (M2) di Indonesia serta peran intervensi kebijakan di luar jalur konvensional selama 2015–2024. Penelitian menggunakan pendekatan kuantitatif deskriptif-kausal dengan data sekunder bulanan dari Bank Indonesia berupa BI Rate/BI7DRR, inflasi, kurs rupiah terhadap dolar Amerika Serikat, dan M2. Analisis memakai model Vector Autoregression (VAR) pada data first difference dengan lag optimal dua dan variabel dummy eksogen untuk periode pandemi COVID-19 dan burden sharing 2020–2021, dilengkapi uji kausalitas Granger, Impulse Response Function, dan Forecast Error Variance Decomposition. Hasil menunjukkan bahwa kurs berpengaruh positif dan signifikan terhadap BI Rate (koefisien 2,476; t-statistik 2,864), sedangkan BI Rate dan kurs tidak berpengaruh signifikan terhadap M2. Variabel dummy signifikan memengaruhi M2 (koefisien 0,009; t-statistik 3,090), tetapi tidak memengaruhi BI Rate, inflasi, maupun kurs. Model dinyatakan stabil dan bebas autokorelasi. Dengan demikian, transmisi moneter konvensional bersifat terbatas dan tidak seragam antarjalur, sedangkan intervensi kebijakan yang efektif dan langsung melalui burden sharing menjadi determinan yang lebih dominan serta terkontrol bagi M2 pada periode gejolak ekonomi. Otoritas moneter perlu mengelola instrumen nonkonvensional secara hati-hati agar tidak menimbulkan risiko inflasi yang signifikan pada saat masa pemulihan.
References
1. Ascarya, “Alur transmisi dan efektifitas kebijakan moneter ganda di Indonesia,” Buletin Ekonomi Moneter dan Perbankan, vol. 14, no. 3, pp. 283–315, 2012. https://doi.org/10.21098/bemp.v14i3.360.
2. Bank Indonesia, “BI-Rate”. https://www.bi.go.id/id/fungsi-utama/moneter/bi-rate/default.aspx.
3. Bank Indonesia, “BI 7-Day Reverse Repo Rate tetap 5,25%,” Siaran Pers, Jakarta, 19 Agustus 2016. https://www.bi.go.id/id/publikasi/ruang-media/news-release/Pages/sp_186716.aspx.
4. Bank Indonesia, Peraturan Bank Indonesia Nomor 19/6/PBI/2017 tentang Perubahan Kelima atas Peraturan Bank Indonesia Nomor 15/15/PBI/2013 tentang Giro Wajib Minimum Bank Umum dalam Rupiah dan Valuta Asing bagi Bank Umum Konvensional. Jakarta: Bank Indonesia, 2017.
5. Bank Indonesia, Laporan Perekonomian Indonesia 2020. Jakarta: Bank Indonesia, 2021. https://www.bi.go.id/id/publikasi/laporan/Documents/4_LPI2020_BAB2.pdf.
6. Bank Indonesia, Laporan Perekonomian Indonesia 2021. Jakarta: Bank Indonesia, 2022. https://www.bi.go.id/id/publikasi/laporan/Documents/5_LPI2021_BAB3.pdf.
7. W. J. Baumol, “The transactions demand for cash: An inventory theoretic approach,” The Quarterly Journal of Economics, vol. 66, no. 4, pp. 545–556, 1952. https://doi.org/10.2307/1882104.
8. J. Cohen, “The earth is round (p < .05),” American Psychologist, vol. 49, no. 12, pp. 997–1003, 1994. https://doi.org/10.1037/0003-066X.49.12.997.
9. W. Enders, Applied Econometric Time Series, 4th ed. Hoboken, NJ, USA: John Wiley & Sons, 2014.
10. J. M. Fleming, “Domestic financial policies under fixed and under floating exchange rates,” IMF Staff Papers, vol. 9, no. 3, pp. 369–380, 1962. https://doi.org/10.2307/3866091.
11. M. Friedman, “The quantity theory of money: A restatement,” in Studies in the Quantity Theory of Money, M. Friedman, Ed. Chicago, IL, USA: University of Chicago Press, 1956, pp. 3–21.
12. M. S. Goeltom, Essays in Macroeconomic Policy: The Indonesian Experience. Jakarta, Indonesia: Gramedia Pustaka Utama, 2008.
13. F. A. Handayani and F. N. Kacaribu, “Asymmetric transmission of monetary policy to interest rates: Empirical evidence from Indonesia,” Bulletin of Monetary Economics and Banking, vol. 24, no. 1, pp. 119–150, 2021. https://doi.org/10.21098/bemp.v24i1.1201.
14. J. M. Keynes, The General Theory of Employment, Interest and Money. London, U.K.: Macmillan, 1936.
15. F. S. Mishkin, “The channels of monetary transmission: Lessons for monetary policy,” National Bureau of Economic Research, Cambridge, MA, USA, NBER Working Paper 5464, 1996. https://doi.org/10.3386/w5464.
16. F. S. Mishkin, The Economics of Money, Banking, and Financial Markets, 11th ed. Harlow, U.K.: Pearson, 2016.
17. M. S. Mohanty and M. Klau, “Monetary policy rules in emerging market economies: Issues and evidence,” Bank for International Settlements, Basel, Switzerland, BIS Working Paper 149, 2004.
18. B. J. Moore, Horizontalists and Verticalists: The Macroeconomics of Credit Money. Cambridge, U.K.: Cambridge University Press, 1988.
19. R. A. Mundell, “Capital mobility and stabilization policy under fixed and flexible exchange rates,” Canadian Journal of Economics and Political Science, vol. 29, no. 4, pp. 475–485, 1963. https://doi.org/10.2307/139336.
20. M. Obstfeld, “Can we sterilize? Theory and evidence,” The American Economic Review, vol. 72, no. 2, pp. 45–50, 1982.
21. K. R. Popper, The Logic of Scientific Discovery. London, U.K.: Hutchinson, 1959.
22. C. A. Sims, “Macroeconomics and reality,” Econometrica, vol. 48, no. 1, pp. 1–48, 1980. https://doi.org/10.2307/1912017.
23. J. B. Taylor, “The role of the exchange rate in monetary-policy rules,” The American Economic Review, vol. 91, no. 2, pp. 263–267, 2001. https://doi.org/10.1257/aer.91.2.263.
24. J. Tobin, “The interest-elasticity of transactions demand for cash,” The Review of Economics and Statistics, vol. 38, no. 3, pp. 241–247, 1956. https://doi.org/10.2307/1925776.
25. J. M. Wooldridge, Introductory Econometrics: A Modern Approach, 6th ed. Boston, MA, USA: Cengage Learning, 2015.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2026 Indonesian Journal of Multidisciplinary on Social and Technology
This work is licensed under a Creative Commons Attribution 4.0 International License.
