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Rizqianisa Septiani
Centre of Economic Studies Parahyangan Catholic University
Economics, Econometrics & Finance

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Interest Rate Pass-Through: The Case of Indonesia Chandra Utama; Rizqianisa Septiani
Signifikan: Jurnal Ilmu Ekonomi Vol 6, No 2 (2017)
Publisher : Faculty of Economic and Business Syarif Hidayatullah State Islamic University of Jakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (619.936 KB) | DOI: 10.15408/sjie.v6i2.4819

Abstract

This paper examines the direct and indirect interest rate pass-trough (IRPT) from policy interest rate (BI rate) to banks’ retail interest rates in Indonesia during a full-fledged inflation-targeting regime. We use montly data of policy interest rate (BI rate) as well as interest rates for interbank money market (interbank), deposit, and loan during July 2005 to May 2015. We employ Error Correction Mechanism (ECM) and Ordinary Least Square (OLS) to find the significant of IRPT and the speed of adjustment process of IRPT. The study suggests the existence of direct and indirect IRPT in Indonesia. The change of policy rate is transmitted quicker in the direct channel compared to the indirect channel. However, indirect channel is more stable than the direct channel. We conclude that the direct and indirect IRPT are complementary.DOI: 10.15408/sjie.v6i2.4819
Co-Authors Chandra Utama