Analisis Pergeseran Tekanan Siklus Keuangan di Indonesia
DOI:
https://doi.org/10.46918/point.v4i2.1605Keywords:
gelombang keuangan, kredit perbankan, siklus keuangan, krisis keuangan, ed waves indexAbstract
Pergeseran gelombang siklus keuangan menjadi indikator dalam mengukur stabilitas keuangan dan pertumbuhan perekonomian, sehingga untuk mengetahui pergeseran tersebut diperlukan model yang tepat, melalui pengembangan model Ed Waves Index melalui data time series dari tahun 2019 hingga tahun 2022, hasil penelitian ditemukan bahwa terdapat 4 jenis pergeseran yaitu pergeseran jenis ?1’ dengan berat tekanan antara -0.015 A ke 0.010 A melalui durasi selama 12 bulan dengan efek positif pada pertumbuhan perekonomian, lalu pergeseran jenis ?2’ dengan berat tekanan antara 0.010 A ke -0.027 A melalui durasi 15 Bulan dengan efek negative pada stabilitas keuangan, kemudian pergeseran jenis ?3’ dengan berat tekanan antara -0.027 A ke -0.010 A melalui durasi selama 12 bulan dengan efek negative pada pertumbuhan perekonomian, adapun pergeseran jenis ?4’ dengan berat tekanan antara 0.010 A ke 0.025 A melalui durasi selama 14.5 bulan dengan efek negative pada stabilitas keuangan di Indonesia, sehingga dapat dikatakan bahwa penelitian ini dapat memberikan kontribusi pada efektifitas kinerja keuangan, khususnya sektor perbankan maupun Bank Indonesia dalam menetapkan kebijakan yang efektif bagi perekonomian di Indonesia.
References
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Ardila, D., Sornette, D., & Zurich, E. T. H. (2016). Dating the financial cycle?: a wavelet proposition 2 The Maximum Overlap Discrete Wavelet Transform ( MODWT ). 1–11.
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Basmar, E., Campbell-III, C. M., & Basmar, E. (2022). The Climate Changes In Banking Credit To The Financial Cycle During The Covid-19 Pandemic In Indonesia. 9(1), 173–182.
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Céspedes, L. F., Chang, R., & Velasco, A. (2013). Dollarization of Liabilities, Net Worth Effects, and Optimal Monetary Policy. In Preventing Currency Crises in Emerging Markets (Issue January). https://doi.org/10.7208/chicago/9780226185057.003.0013
Chen, Q., Filardo, A., He, D., & Zhu, F. (2015). Financial Crisis, US Unconventional Monetary Policy and International Spillovers. In IMF Working Papers (Vol. 15, Issue 85). https://doi.org/10.5089/9781475520668.001
Claessens, S., Kose, M. A., & Terrones, M. E. (2011). How Do Business and Financial Cycles Interact?; by Stijn Claessens, M. Ayhan Kose and Marco E. Terrones; IMF Working Paper 11/88; April 1, 2011. Journal of International Economics, 97, 178–190. https://www.imf.org/external/pubs/ft/wp/2011/wp1188.pdf
Cuciniello, V., & di Iasio, N. (2021). Determinants of the Credit Cycle: A Flow Analysis of the Extensive Margin. SSRN Electronic Journal, 2445. https://doi.org/10.2139/ssrn.3924740
Devereux, M. B., Lane, P. R., & Xu, J. (2006). Exchange rates and monetary policy in emerging market economies. Economic Journal, 116(511), 478–506. https://doi.org/10.1111/j.1468-0297.2006.01089.x
El Karfi, K., & Mentagui, D. (2020). Monetary policy and financial stability. Journal of Advanced Research in Dynamical and Control Systems, 12(5 Special Issue), 1453–1459. https://doi.org/10.5373/JARDCS/V12SP5/20201905
Erdem, M., & Tsatsaronis, K. (2013). Financial conditions and economic activity: a statistical approach. BIS Quarterly Review, March, 37–51.
Estrealla, A., & Mishkin, F. . (1998). Estrella, A., & Mishkin, F. S. ,(1998), Predicting US Recessions Financial Variables as Leading Indicators, Review of Economics and Statistics.PDF.
Gumata, N., Ndou, E., & Klein, N. (2012). A Financial Conditions Index for South Africa. IMF Working Papers, 12(196), 1. https://doi.org/10.5089/9781475505450.001
Hafstead, M., & Smith, J. (2012). Financial shocks, bank intermediation, and monetary policy in a DSGE model. Unpublished Manucript, September. http://www.rff.org/Documents/HafsteadSmith_September2012.pdf
Hamouda, F. (2021). Identifying economic shocks with stock repurchase programs. Cogent Economics and Finance, 9(1). https://doi.org/10.1080/23322039.2021.1968112
Harun, C. A., Taruna, A. A., Nattan, R. R., & Surjaningsih, N. (2014). Financial cycle of Indonesia – Potential forward looking. BI Working Paper, 9, 1–44.
Horvath, R., & Baxa, J. (2011). Time-Varying Monetary Policy Rules and Financial Stress. January.
Iacoviello, M. (2015). Financial business cycles. Review of Economic Dynamics, 18(1), 140–163. https://doi.org/10.1016/j.red.2014.09.003
Issing, O. (2011). Federal Reserve Bank of Dallas Lessons for Monetary Policy: What Should the Consensus Be? IMF Working Papers, No. 81(81). http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.405.4400#?
Jermann, U., & Quadrini, V. (2012). Macroeconomic effects of financial shocks. American Economic Review, 102(1), 238–271. https://doi.org/10.1257/aer.102.1.238
Laxton, J., Ermolaev, I., Freedman, C., Kamenik, O., Juillard, M., Laxton, D., Carabenciov, I., & Korshunov, D. (2008). A Small Quarterly Multi-Country Projection Model. In IMF Working Papers (Vol. 08, Issue 279). https://doi.org/10.5089/9781451871371.001
Lim, C. Y. (2015). Economic growth and exchange rate: A new road ahead for Indonesia. Singapore Economic Review, 60(2), 1–6. https://doi.org/10.1142/S0217590815500101
Liu, Z., Waggoner, D. F., & Zha, T. (2011). Sources of macroeconomic fluctuations: A regime-switching DSGE approach. Quantitative Economics, 2(2), 251–301. https://doi.org/10.3982/qe71
Ma, Y., & Zhang, J. (2016). Financial Cycle, Business Cycle and Monetary Policy: Evidence from Four Major Economies. International Journal of Finance and Economics, 21(4), 502–527. https://doi.org/10.1002/ijfe.1566
McCallum, B. T. (2001). Monetary Policy Analysis in Models Without Money. Review, 83(4), 145–160. https://doi.org/10.20955/r.83.145-160
Moore, J. (2008). Credit Cycles. 105(2), 211–248.
Mostaghimi, M. (2004). Monetary policy, composite leading economic indicators and predicting the 2001 recession. Journal of Forecasting, 23(7), 463–477. https://doi.org/10.1002/for.923
Nasreen, S., & Anwar, S. (2019). Financial Stability and Monetary Policy Reaction Function for South Asian Countries: An Econometric Approach. Singapore Economic Review, 1–30. https://doi.org/10.1142/S0217590819500395
Nolan, C., & Thoenissen, C. (2009). Financial shocks and the US business cycle. Journal of Monetary Economics, 56(4), 596–604. https://doi.org/10.1016/j.jmoneco.2009.03.007
Orphanides, A. (2001). Monetary Policy Rules, Macroeconomic Stability and Inflation: A View from the Trenches Board of Governors of the Federal Reserve System. December.
Paradiso, A., Kumar, S., & Rao, B. B. (2013). A New Keynesian IS curve for Australia: Is it forward looking or backward looking? Applied Economics, 45(26), 3691–3700. https://doi.org/10.1080/00036846.2012.718068
Pisani-ferry, J., & Ramos, M. (2011). Macroeconomic Policy Interdependence and the G-20 Rethinking Central Banking Committee on Rethinking Central Banking Committee on.
Rafique, A., Quddoos, M. U., Ali, S., Aslam, F., & Ahmad, M. (2021). Monetary policy transmission: Balance sheet channel and investment behavior of firms in Pakistan. Economic Journal of Emerging Markets, 13(1), 1–12. https://doi.org/10.20885/ejem.vol13.iss1.art1
Riet, A. Van. (2017). A new era for monetary policy: Challenges for the european central bank. Singapore Economic Review, 62(1), 57–86. https://doi.org/10.1142/S0217590817400033
Samad, G., & Manzoor, R. (2015). Green growth: Important determinants. Singapore Economic Review, 60(2). https://doi.org/10.1142/S0217590815500149
Shen, C. H., Ren, J. Y., Huang, Y. L., Shi, J. G., & Wang, A. Q. (2018). Creating Financial Cycles in China and Interaction with Business Cycles on the Chinese Economy. In Emerging Markets Finance and Trade (Vol. 54, Issue 13). https://doi.org/10.1080/1540496X.2017.1369402
Afonso, O., & Alves, R. H. (2015). Economic growth effects of an international crisis. Singapore Economic Review, 60(2), 1–16. https://doi.org/10.1142/S0217590815500125
Agénor, P.-R., & Pereira da Silva, L. A. (2013). Inflation targeting and financial stability: A perspective from the developing world. Working Paper Series, 324(September), 1–116. http://www.bc.gov.br/pec/wps/ingl/wps324.pdf
Agénor, P. R., McDermott, C. J., & Prasad, E. S. (2000). Macroeconomic fluctuations in developing countries: Some stylized facts. In World Bank Economic Review (Vol. 14, Issue 2, pp. 251–285). https://doi.org/10.1093/wber/14.2.251
Ajello, A. (2016). Financial intermediation, investment dynamics, and business cycle fluctuations. American Economic Review, 106(8), 2256–2303. https://doi.org/10.1257/aer.20120079
Albulescu, C. T., Goyeau, D., & Pépin, D. (2013). Financial instability and ecb monetary policy. Economics Bulletin, 33(1), 388–400.
Ardila, D., Sornette, D., & Zurich, E. T. H. (2016). Dating the financial cycle?: a wavelet proposition 2 The Maximum Overlap Discrete Wavelet Transform ( MODWT ). 1–11.
Aysan, A. F., Disli, M., & Ozturk, H. (2017). Financial crisis, macroprudential policies and depositor discipline. Singapore Economic Review, 62(1), 5–25. https://doi.org/10.1142/S021759081740001X
Basmar, E., Campbell-III, C. M., & Basmar, E. (2022). The Climate Changes In Banking Credit To The Financial Cycle During The Covid-19 Pandemic In Indonesia. 9(1), 173–182.
Basmar, E., III, C. M. C., & Basmar, E. (2021). Is an Indonesia the right investment environment after Covid-19? IOP Conference Series: Earth and Environmental Science, 737(1). https://doi.org/10.1088/1755-1315/737/1/012021
Basmar, E., Zain, M. Y., & Paddu, A. H. (2017). Do Bank Credits Cause the Financial Crisis in Indonesia? Scientific Research Journal (SCIRJ), V(X), 36. www.scirj.org
Bernanke, B. S., & Gertler, M. (1995). Inside the Black Box: The Credit Channel of Monetary Policy Transmission. Journal of Economic Perspectives, 9(4), 27–48. https://doi.org/10.1257/jep.9.4.27
Bernanke, B. S., Gertler, M., & Gilchrist, S. (1999). Chapter 21 The financial accelerator in a quantitative business cycle framework. Handbook of Macroeconomics, 1(PART C), 1341–1393. https://doi.org/10.1016/S1574-0048(99)10034-X
Bible, T. (2015). Financial Cycles 1. 1–2.
Borio, C. (2012). The financial cycle and macroeconomics: What have we learnt? BIS Working Papers No 395. ISSN 1682-7678 (online). BIS Working Papers, 395.
Borio, C., Drehmann, M., & Xia, D. (2018). The Financial Cycle and Recession Risk. BIS Quarterly Review, December, 59–71.
Borio, C., Furfine, C., & Lowe, P. (2001). Procyclicality of the financial system and financial stability: issues and policy options. BIS Papers Chapters, 01(1), 1–57. http://ideas.repec.org/h/bis/bisbpc/01-01.html
Caldara, D., Fuentes-Albero, C., Gilchrist, S., & Zakrajsek, E. (2016). The Macroeconomic Impact of Financial and Uncertainty Shocks. International Finance Discussion Paper, 2016(1166), 1–41. https://doi.org/10.17016/ifdp.2016.1166
Carlstrom, C. T., & Fuerst, T. S. (1997). Agency Costs, Net Worth, and Business Fluctuations. American Economic Review, 87(5), 893–910. http://www.jstor.org/stable/10.2307/2951331
Caruana, J. (2011). Central banking between past and future: which way forward after the crisis? Speech at the South African Reserve Bank 90th …, 1–5. http://scholar.google.com/scholar?hl=en&btnG=Search&q=intitle:Central+banking+between+past+and+future+:+which+way+forward+after+the+crisis+?#0
Céspedes, L. F., Chang, R., & Velasco, A. (2013). Dollarization of Liabilities, Net Worth Effects, and Optimal Monetary Policy. In Preventing Currency Crises in Emerging Markets (Issue January). https://doi.org/10.7208/chicago/9780226185057.003.0013
Chen, Q., Filardo, A., He, D., & Zhu, F. (2015). Financial Crisis, US Unconventional Monetary Policy and International Spillovers. In IMF Working Papers (Vol. 15, Issue 85). https://doi.org/10.5089/9781475520668.001
Claessens, S., Kose, M. A., & Terrones, M. E. (2011). How Do Business and Financial Cycles Interact?; by Stijn Claessens, M. Ayhan Kose and Marco E. Terrones; IMF Working Paper 11/88; April 1, 2011. Journal of International Economics, 97, 178–190. https://www.imf.org/external/pubs/ft/wp/2011/wp1188.pdf
Cuciniello, V., & di Iasio, N. (2021). Determinants of the Credit Cycle: A Flow Analysis of the Extensive Margin. SSRN Electronic Journal, 2445. https://doi.org/10.2139/ssrn.3924740
Devereux, M. B., Lane, P. R., & Xu, J. (2006). Exchange rates and monetary policy in emerging market economies. Economic Journal, 116(511), 478–506. https://doi.org/10.1111/j.1468-0297.2006.01089.x
El Karfi, K., & Mentagui, D. (2020). Monetary policy and financial stability. Journal of Advanced Research in Dynamical and Control Systems, 12(5 Special Issue), 1453–1459. https://doi.org/10.5373/JARDCS/V12SP5/20201905
Erdem, M., & Tsatsaronis, K. (2013). Financial conditions and economic activity: a statistical approach. BIS Quarterly Review, March, 37–51.
Estrealla, A., & Mishkin, F. . (1998). Estrella, A., & Mishkin, F. S. ,(1998), Predicting US Recessions Financial Variables as Leading Indicators, Review of Economics and Statistics.PDF.
Gumata, N., Ndou, E., & Klein, N. (2012). A Financial Conditions Index for South Africa. IMF Working Papers, 12(196), 1. https://doi.org/10.5089/9781475505450.001
Hafstead, M., & Smith, J. (2012). Financial shocks, bank intermediation, and monetary policy in a DSGE model. Unpublished Manucript, September. http://www.rff.org/Documents/HafsteadSmith_September2012.pdf
Hamouda, F. (2021). Identifying economic shocks with stock repurchase programs. Cogent Economics and Finance, 9(1). https://doi.org/10.1080/23322039.2021.1968112
Harun, C. A., Taruna, A. A., Nattan, R. R., & Surjaningsih, N. (2014). Financial cycle of Indonesia – Potential forward looking. BI Working Paper, 9, 1–44.
Horvath, R., & Baxa, J. (2011). Time-Varying Monetary Policy Rules and Financial Stress. January.
Iacoviello, M. (2015). Financial business cycles. Review of Economic Dynamics, 18(1), 140–163. https://doi.org/10.1016/j.red.2014.09.003
Issing, O. (2011). Federal Reserve Bank of Dallas Lessons for Monetary Policy: What Should the Consensus Be? IMF Working Papers, No. 81(81). http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.405.4400#?
Jermann, U., & Quadrini, V. (2012). Macroeconomic effects of financial shocks. American Economic Review, 102(1), 238–271. https://doi.org/10.1257/aer.102.1.238
Laxton, J., Ermolaev, I., Freedman, C., Kamenik, O., Juillard, M., Laxton, D., Carabenciov, I., & Korshunov, D. (2008). A Small Quarterly Multi-Country Projection Model. In IMF Working Papers (Vol. 08, Issue 279). https://doi.org/10.5089/9781451871371.001
Lim, C. Y. (2015). Economic growth and exchange rate: A new road ahead for Indonesia. Singapore Economic Review, 60(2), 1–6. https://doi.org/10.1142/S0217590815500101
Liu, Z., Waggoner, D. F., & Zha, T. (2011). Sources of macroeconomic fluctuations: A regime-switching DSGE approach. Quantitative Economics, 2(2), 251–301. https://doi.org/10.3982/qe71
Ma, Y., & Zhang, J. (2016). Financial Cycle, Business Cycle and Monetary Policy: Evidence from Four Major Economies. International Journal of Finance and Economics, 21(4), 502–527. https://doi.org/10.1002/ijfe.1566
McCallum, B. T. (2001). Monetary Policy Analysis in Models Without Money. Review, 83(4), 145–160. https://doi.org/10.20955/r.83.145-160
Moore, J. (2008). Credit Cycles. 105(2), 211–248.
Mostaghimi, M. (2004). Monetary policy, composite leading economic indicators and predicting the 2001 recession. Journal of Forecasting, 23(7), 463–477. https://doi.org/10.1002/for.923
Nasreen, S., & Anwar, S. (2019). Financial Stability and Monetary Policy Reaction Function for South Asian Countries: An Econometric Approach. Singapore Economic Review, 1–30. https://doi.org/10.1142/S0217590819500395
Nolan, C., & Thoenissen, C. (2009). Financial shocks and the US business cycle. Journal of Monetary Economics, 56(4), 596–604. https://doi.org/10.1016/j.jmoneco.2009.03.007
Orphanides, A. (2001). Monetary Policy Rules, Macroeconomic Stability and Inflation: A View from the Trenches Board of Governors of the Federal Reserve System. December.
Paradiso, A., Kumar, S., & Rao, B. B. (2013). A New Keynesian IS curve for Australia: Is it forward looking or backward looking? Applied Economics, 45(26), 3691–3700. https://doi.org/10.1080/00036846.2012.718068
Pisani-ferry, J., & Ramos, M. (2011). Macroeconomic Policy Interdependence and the G-20 Rethinking Central Banking Committee on Rethinking Central Banking Committee on.
Rafique, A., Quddoos, M. U., Ali, S., Aslam, F., & Ahmad, M. (2021). Monetary policy transmission: Balance sheet channel and investment behavior of firms in Pakistan. Economic Journal of Emerging Markets, 13(1), 1–12. https://doi.org/10.20885/ejem.vol13.iss1.art1
Riet, A. Van. (2017). A new era for monetary policy: Challenges for the european central bank. Singapore Economic Review, 62(1), 57–86. https://doi.org/10.1142/S0217590817400033
Samad, G., & Manzoor, R. (2015). Green growth: Important determinants. Singapore Economic Review, 60(2). https://doi.org/10.1142/S0217590815500149
Shen, C. H., Ren, J. Y., Huang, Y. L., Shi, J. G., & Wang, A. Q. (2018). Creating Financial Cycles in China and Interaction with Business Cycles on the Chinese Economy. In Emerging Markets Finance and Trade (Vol. 54, Issue 13). https://doi.org/10.1080/1540496X.2017.1369402
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2022-12-27
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Analisis Pergeseran Tekanan Siklus Keuangan di Indonesia. (2022). POINT: Jurnal Ekonomi Dan Manajemen, 4(2), 30-45. https://doi.org/10.46918/point.v4i2.1605
