Abstract:
This paper aims to investigate the role of each aggregate spending component in the monetary policy transmission in Indonesia. It assesses the relative strength of the role of each spending component in the monetary policy transmission. In so doing, this study employs the contribution analysis, which is calculated based on the cumulative impulse response of each component of GDP to a monetary policy tightening shock estimated from structural vector autoregressive (SVAR) models. This paper finds that on average consumption spending plays predominant role in the monetary policy transmission.
Machine summary:
In so doing, this study employs the contribution analysis, which is calculated based on the cumulative impulse response of each component of GDP to a monetary policy tightening shock estimated from structural vector autoregressive (SVAR) models.
For instance, the different relative dominance of consumption and investment in responding to a monetary policy shock across different countries could be due to different institutional or legal constraints arising from structural differences in financial or labour markets, or in the degree of social security insurance.
(2003) calls contribution, which is calculated based on the cumulative impulse response of each component of GDP to a monetary policy tightening shock estimated from structural vector autoregressive (SVAR) models.
1. Contribution Analysis Based on SVAR Model This study employs the contribution analysis, which is calculated based on the cumulative impulse response of each component of GDP to a monetary policy tightening shock estimated from the selected SVAR model.
Table 2: Estimated Non-recursive Structure of SVAR(1) Matrix A0 of 9-Variable VAR with k = 1 Endogenous variables: LPCONS LGFCF LY_PC_INV LCPI LM2 LRCWCRP RWC R1 LE Exogenous variables: C SD98 SD99; Sample: 1984Q4 2003Q4 (Observations: 73) (به تصویر صفحه مراجعه شود) LR Test: χ2 (12) = 13.
Table 3: Estimated Non-recursive Structure of SVAR(2) Matrix A0 of 9-Variable VAR with k = 2 Endogenous variables: LPCONS LGFCF LY_PC_INV LCPI LM2 LRCWCRP RWC R1 LE Exogenous variables: C SD98 SD99; Sample: 1984Q4 2003Q4 (Observations: 73) (به تصویر صفحه مراجعه شود) PCONS GFCF Y_PC_I CPI M2 RCWCRP RWC R1 E b11 b22 b33 b44 b55 b66 b77 b88 b99 0.