文章基本信息

标题：The response of asset prices to monetary policy shock in Indonesia: A structural VAR approach
本地全文：下载
作者：Indra Suhendra ; Cep Jandi Anwar
期刊名称：Banks and Bank Systems
印刷版ISSN：1816-7403
电子版ISSN：1991-7074
出版年度：2022
卷号：17
期号：1
页码：104-114
DOI：10.21511/bbs.17(1).2022.09
语种：English
出版社：LLC "CPC "Business Perspectives"
摘要：This paper aims to determine the effect of central bank monetary policy on financial asset prices in Indonesia from 1990 Q1 to 2020 Q4. Furthermore, this study measures the responses of three different asset prices: bond yield, stock price and exchange rate to central bank rate shocks using the structural vector autoregression model. The impulse response functions showed that tightening monetary policy in Indonesia appreciated the exchange rate in four periods, lowered stock prices in five periods, and increased bond yield in all periods. These results imply that an increase in monetary policy interest rate appreciates exchange rate, lowers the stock price, and reduces bond yield. The result of variance decomposition showed that the most dominant central bank rate prediction was in predicting forecast error variance of bond yield but the smallest in predicting forecast error variance of the exchange rate. These results corroborated the hypothesis that tightening monetary policy in Indonesia increases financial asset prices. It also highlighted the informational role of monetary policy interest rate in stabilizing financial asset prices.