Impact of Some Overseas Monetary Variables on Indonesia: SVAR Approach

Open access

Summary

This study aims to investigate how the influence of monetary variables from abroad to Indonesia’s monetary conditions. This study uses exchange rate variables, interest rates of U.S. central banks, world oil prices and interest rates of Indonesian banks. This study proposes a short-term SVAR analysis using FEVD and IRF as an additional analysis tool. From the research done in the explanation that with SVAR model that in the proposal is less precise, the result for IRF and FEVD analysis can not be made as additional material of analysis tool from SVAR model which in proposal.

1. Christiano L., M. Eichenbaum, and C. Evans, 1999, ‘Monetary policy shocks: What have we learned and to what end?’, in J. Taylor and M. Woodford (eds.), Handbook of Macroeconomics, Volume 1A, Elsevier Science: Amsterdam.

2. Clarida R., 2001, ‘The empirics of monetary policy rules in open economies’, International Journal of Finance and Economics, 6, 315-323.

3. Clarida R. and J. Gali, 1994, ‘Sources of real exchange rate fluctuations: How important are nominal shocks?’, Carnegie-Rochester Conferences Series on Public Policy, 41, 1-56.

4. Clarida R., J. Gali and M. Gertler, 1998, ‘Monetary policy rules in practice: Some international evidence’, European Economic Review, 42, 6, 1033-67.

5. Cushman D.O. and T. Zha, 1997, ‘Identifying monetary policy in a small open economy under flexible exchange rates’, Journal of Monetary Economics, 39, 3, 433-48.

6. Cooper R.N. and J.S. Little, 2001, ‘U.S. monetary policy in an integrating world: 1960 to 2000’, New England Economic Review, 3, 33-56.

7. Dornbusch R., 1976, ‘Expectations and exchange rate dynamics’, Journal of Political Economy, 84, 6, 1161-76.

8. Eichenbaum M. and C. Evans, 1995, ‘Some empirical evidence on the effects of shocks to monetary policy on exchange rates’, Quarterly Journal of Economics, 110, 4, 975- 1009.

9. Evans C., 1994, ‘Interest rate shocks and the dollar’, Economic Perspectives, Federal Reserve Bank of Chicago, 18, 11-24.

10. Faust J. and J.H. Rogers, 2003, ‘Monetary policy’s role in exchange rate behavior’, Journal of Monetary Economics, 50, 1403-24.

11. Frankel J.A., 1986, ‘The implications of mean-variance optimization for four questions in international macroeconomics’, Journal of International Money and Finance, 5, S53- 75.

12. Frenkel M., C. Pierdzioch, and G. Stadtmann, 2005, ‘Japanese and US interventions in the Yen/ US dollar market: Estimating the monetary authorities’ reaction functions’, Quarterly Review of Economics and Finance, 45, 680-98.

13. Froot K. and R. Thaler, 1990, ‘Anomalies: Foreign exchange’, Journal of Economic Perspectives, 4, 179-92.

14. Gordon D. and E. Leeper, 1994, ‘The dynamic impacts of monetary policy: An exercise in tentative identification’, Journal of Political Economy, 102, 228-47.

15. Hodrick R., 1987, The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets, Harwood Academic Publishers: London.

16. Jang K. and M. Ogaki, 2004, ‘The effects of monetary policy shocks on exchange rates: A structural vector error correction approach’, Journal of the Japanese and International Economics, 18, 99-114.

17. Kim S. and N. Roubini, 2000, ‘Exchange rate anomalies in the industrial countries: A solution with the structural VAR approach’, Journal of Monetary Economics, 45, 561-86.

18. Lewis K., 1995, ‘Are foreign exchange intervention and monetary policy related, and does it really matter?’, Journal of Business, 68, 185-214.

19. Lobo, B.J., A. Darrat and S. Ramchander, 2006, ‘The asymmetric impact of monetary policy on currency markets’, The Financial Review, 41, 289-303.

20. Obstfeld M. and K. Rogoff, 1996, Foundations of International Macroeconomics, MIT Press: Cambridge.

21. Rudebusch G., 1998, ‘Do measures of monetary policy in a VAR make sense?’, International Economic Review, 39, 907-31.

22. Sarno L. and M.P. Taylor, 2001, ‘Official intervention in the foreign exchange market: Is it effective and, if so, how does it work?’, Journal of Economic Literature, 39, 839- 68.

23. Sims C. and T. Zha, 1999, ‘Error bands for impulse responses’, Econometrica, 67, 5, 1113-55.

24. Weber A., 1996, ‘Foreign exchange intervention and international policy coordination: Comparing the G3 and EMS experience’, in: M.B. Canzoneri, W.J. Ethier and V. Grilli (eds.), The New Transatlantic Economy, Cambridge University Press: Cambridge.

ECONOMICS

Innovative and Economic Research Journal

Journal Information

Metrics

All Time Past Year Past 30 Days
Abstract Views 0 0 0
Full Text Views 91 91 33
PDF Downloads 26 26 11