Abstract :
(ABSTRAKSI) Bank Indonesia telah aktif menerapkan berbagai macam komponen
kebijakan makroprudensial untuk memelihara stabilitas sistem keuangan di
samping menerapkan berbagai kebijakan moneter. Akan tetapi kebijakan ini
merupakan kebijakan baru dan perlu penelitian yang lebih lanjut dalam
menganalisis komponen kebijakan tersebut.
Penelitian ini menggunakan data runtut waktu dan panel dengan komponen
kebijakan makroprudensial seperti month holding period, posisi devisa neto, giro
wajib minimum, dan giro wajib minimum + loan to deposit ratio. Data yang
digunakan adalah data bulanan yang mencakup periode 2004.1- 2012.12,
sedangkan data antar ruang menggunakan 5 macam jenis bank yaitu bank
pemerintah, bank asing, bank swasta nasional, bank campuran, dan bank
pembangunan daerah. Hasil empiris yang diestimasi menggunakan Vector
Autoregressive Exogenous (VARX) dan event analysis menunjukkan bahwa
bahwa tingkat volatilitas nilai tukar menurun setelah penerapan kebijakan one
month holding period, six month holding period, dan posisi devisa neto. Namun
demikian, terhadap nilai tukar nominal, kebijakan-kebijakan tersebut tidak efektif.
Secara aggregat kebijakan giro wajib minimum + loan to deposit ratio efektif
menaikkan kredit bank. Selanjutnya, dampak kebijakan giro wajib minimum
primer sangat terbatas dalam menurunkan likuiditas perekonomian mengingat
pada saat yang bersamaan arus modal asing yang masuk sangat deras. (ABSTRACT) Bank Indonesia has been actively implementing various kinds of
components of macroprudential policy to maintain financial system stability in
addition to implementing various monetary policy. However, this policy is a new
policy and needs further research in analyzing the components of the policy.
This study uses time series and panel data with the components
macroprudential policy, such as month holding period, net open position, reserve
requirement and reserve requirement + loan to deposit ratio. The data used are
monthly data covering the period 2004.1- 2012.12. While the cross section data
use 5 different types of banks; those are the government banks, foreign banks,
private banks, joint venture banks, and regional development banks. The empirical
results are estimated using Vector Autoregressive Exogenous (VARX) and event
analysis show that the level of exchange rate volatility decreased after the
implementation of the policy one month holding period, a six-month holding
period and net open position. However, for the nominal exchange rate, these
policies are not effective. In aggregate reserve requirement + loan to deposit ratio
policy is effective to raise bank credit. Furthermore, the impact of primary reserve
policy is very limited to lower economy liquidity while at the same time the flow
of foreign capital comes into very heavy.