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All Journal Diponegoro Journal of Economics EKO-REGIONAL JURNAL PENGEMBANGAN EKONOMI WILAYAH
Maruto Umar Basuki
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Economics, Econometrics & Finance

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Pembuktian Efek Fisher di Indonesia dalam Kerangka Inflation Targeting: Aplikasi Model Dinamis (Januari 2003 – Mei 2008) Maruto Umar Basuki; Teguh Santoso
EKO-REGIONAL Vol 4, No 2 (2009)
Publisher : Jurusan Ilmu Ekonomi dan Studi Pembangunan Universitas Jenderal Soedirman

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20884/1.erjpe.2009.4.2.418

Abstract

Since any the promulgation of the new central bank law, Act No. 23 of 1999 concerning Bank Indonesia,  this law subsequently amended by Act No.3 of 2004, which removed goal independence from Bank Indonesia. Under New law, the Government determines the inflation target after consultations with Bank Indonesia. This study investigated relationship between interest rate and nominal inflation on the Inflation Targeting Framework and extent to which The Fisher Effect Fisher hold. The Fisher Effect is one of the oldest and simplest ways to model the relationship between interest rate and expected inflation. In strong version (full Fisher effect ), the nominal interest rate (in this study nominal interest  rate can be represented with SBI) responds one-for-one to change in expected inflation, whereas in the weak version the expected has positive and statistically significant. The validity of the Fisher effect has important implications for monetary policy and needs to be considered by Bank Indonesia. Few studies have been conducted in Indonesia to validate this important hypothesis. The anaysis uses monthly data, the data is  the 3 month of SBI rate and actual inflation from January 2003 to May 2008. The data analysis using dinamaic model, Autodistributed lag (ADL) and error correction model (ECM). Using this model to avoid a spurious regressioan in non stationary data of time series. The statistical test suggest that inflation has positive and significant influence on the nominal interest rate (SBI). Howaver, this influence just on the short run period. Interesting finding in this research is that in short-run nominal interest rate (SBI) was it influenced by actual inflation rate at pertinent period with positive influence, the phenomenon as according to The Fisher Hypothesis. Thus, a weak version off Fisher effect and was found in Indonesia during the period.Keywords: Fisher effect, inflation, dynamic model
ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI INFLASI DI INDONESIA PERIODE 2000.1-2011.4 Primawan Wisda Nugroho; Maruto Umar Basuki
Diponegoro Journal of Economics Vol 1, No 1 (2012)
Publisher : Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (141.904 KB) | DOI: 10.14710/djoe.640

Abstract

One of the problems that often occur in developing countries in implementing the country's development is how to maintain stability and economic growth. Economic stability in terms of stability regarding the price level, the level of national income and employment growth. The main objective of this study was to analyze the factors affecting inflation in Indonesia in 2000.1-2011.4 period. The variables used are: gross domestic product (GDP), the money supply in a broad sense (M2), interest rate, Bank Indonesia certificates (SBI), and the exchange rate of rupiah against the U.S. dollar. The data used in this study is time series data in the quarterly period from 2000.1 to 2011.4, using multiple linear regression with the method of Ordinary Least Square (OLS). The results of this analysis states that the variable gross domestic product and the SBI rate are positive and significant effect on inflation. While exchange rate are positive and not significant effect on inflation. In the other hand, the variables in the money supply (M2) is negative and significant effect on inflation in the quarter a year of research.
Co-Authors Laksono Trisnantoro Primawan Wisda Nugroho