Pengaruh Penggabungan Mata Uang Di Uni Eropa Terhadap International Risk Sharing Dan Home Bias

International Risk Sharing (IRS) adalah pembagian risiko secara Internasional antar-negara dalam suatukawasan atau dalam kawasan berbeda yang disebabkan oleh adanya gejolak spesik terhadap suatuperekonomian yang menyebabkan pendapatan (konsumsinya) beruktuasi. Tujuan studi ini adalah untukmenganalisis pengaruh dari terjadinya penggabungan mata uang di negara-negara Uni Eropa terhadapperkembangan IRS dan home bias di negara-negara tersebut. Dengan melihat hubungan output danpendapatan suatu negara dengan output dan pendapatan rata-rata kawasan, menggunakan data sebelasnegara awal yang tergabung dalam mata uang tunggal Euro, studi ini menemukan bahwa penggabunganmata uang di wilayah negara-negara Uni Eropa meningkatkan risk sharing dan home bias secara signikan

Banks’ risk taking behavior and the optimization monetary policy

This study analyzes the behavior of risk taking on economic agents such as banks, households, and firms as a repond of monetary policy and macroprudential choices in Indonesia. The behavior of economic agents modeled in a DSGE models. In the model, the credit risk is modeled endogenously. Credit risk is a function of household and firm leverage ratio, bank leverage ratio, property market and general economy condition. Moreover, there are two types of bank in assessing the risks of credit. The results show that, endogenous credit risk, has an impact on the deepen procyclicality in credit. Furthermore, this research model contributes to a deeper understanding of the prudential policy framework. In the event of risk taking, analysis optimal policy responses using the loss function of central banks. The policy of lower interest rates should be combined with a loan to value ratio policy and increase CAR to generate the smallest lossespeer-reviewe

Optimal monetary and macroprudential policies under risk taking environment

The purpose of this study is to identify the existence of risk taking behavior in economic agents and optimal monetary and macro prudential policy options in Indonesia. Using the household and firm balance sheet data during the period 2002q1-2013q4, our approach found that risk taking behavior occurs both in households and firms in Indonesia. We develop a model whose economic agents consist of households, firms, banks and central banks by treating the bank credit risk as an endogenous variable. The performance of the model suggests that the monetary shock response drives an increase in credit growth. The same pattern occurs in the shock of increasing asset prices and increasing world GDP. Furthermore, this study model contributes to a deeper understanding of the prudential policy framework. In the even of risk taking, either shock by exogenous asset price or world economy shock, monetary policy alone nor macroprudential alone may not be optimal policy responses.peer-reviewe

Persitiwa Tekanan Finansial di Indonesia dan Dinamika Makroekonomi

In this study, we use a Markov-Switching Bayesian Vector AutoRegression model to investigate the episodic relationship between financial stress and the key macroeconomic variables in the case of Indonesia. We find different nature of relationships among Indonesia’s real sector variables (household consumption expenditure and consumer price index), financial sector variables (interbank money market rate) and the policy variable (broad money supply during the times of high and low financial stress). Regime changes occurred on several occasions, including during the 2008 global financial crisis period and at the beginning of the COVID-19 pandemic.Dalam tulisan ini, kami berusaha untuk memperkirakan secara dini  peristiwa tekanan keuangan di Indonesia menggunakan model Markov-switching Bayesian vector autoregression (MSBVAR). Penelitian ini terdiri  dua tahap: (1) membangun indeks tekanan keuangan (FSI) dan (2) membangun  model MSBVAR yang mengintegrasikan variabel FSI bersama dengan variabel makroekonomi lainnya (yaitu, pengeluaran konsumsi pribadi, indeks harga konsumen, suku bunga, dan jumlah uang beredar). FSI mampu menangkap 10 peristiwa  tekanan  keuangan besar di sistem keuangan Indonesia dari Januari 2003 hingga September 2020. Model MSBVAR  dapat   mendeteksi  dengan  benar   90% dari peristiwa tekanan keuangan tinggi yang terjadi  dalam sistem keuangan Indonesia selama periode pengamatan. Kami menemukan bahwa FSI, variabel sektor riil, dan variabel kebijakan moneter berubah ketika kondisi sistem keuangan Indonesia beralih dari rezim berisiko rendah ke rezim berisiko tinggi dan sebaliknya. Selain itu, perilaku agen ekonomi (terutama rumah tangga) berubah ketika rezim sistem keuangan beruba