Analisis transmisi kebijakan moneter syariah dalam rangka itf dengan metode VAR

Zein, Aliman Syahuri (2016) Analisis transmisi kebijakan moneter syariah dalam rangka itf dengan metode VAR. Al-Masharif: Jurnal Ilmu Ekonomi dan Keislaman, 4 (1). pp. 1-23. ISSN 2356-4628

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Abstract

Based on the results of the study concluded that the stationary test result data by
using the ADF was found that the variable INF and LnBMBB stationary without
differentiation. Meanwhile, TBHP stationary with differentiation.While based on
the optimum lag test criteria SC found that the optimal lag length is at lag 2.
Granger causality test found a one-way relationship of LnBMBB to INF, TBHP to
INF, and TBHP to LnBMBB. These findings suggest that changes in the past
BMBB have an influence on the level of inflation at the present time, TBHP
change the past affects the present rate of inflation. TBHP change the past affects
the present rate of inflation. For cointegration test, it was found that the variable
contains cointegration studies, so that the method used for the study is the method
VECM.Based on the VECM estimation, the long-term effect on INF BMBB
significant, whereas no significant effect on INF to TBHP. Meanwhile, for the
short term, the only significant variable TBHP to BMBB.IRF test results
concluded that the turmoil/response of inflation to BMBB positive impact and
volatile and stable from period 13. While INF against d(TBHP) negative and
volatile, stable from period 15.The LnBMBB response to d(TBHP), or otherwise
negatively. Referring to the VD, concluded that the inflation rate is influenced
most by himself in the first period by 100 %, then by LnBMBB at 1:16 % in the
period to 6, and the last is influenced by d ( TBHP ) is very small, in the period to
2 only for 0:47 % .

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