| dc.description.abstract | Disertasi ini menganalisis keterhubungan dan dinamika suku bunga di Indonesia. Penelitian berlatar belakang oleh karakteristik Indonesia sebagai negara dengan perekonomian terbuka kecil dan sistem keuangan yang masih didominasi sektor perbankan. Dalam struktur tersebut, suku bunga memegang peranan strategis sebagai mekanisme utama dalam penghimpunan dan penyaluran dana, sehingga sangat menentukan efektivitas intermediasi keuangan dan ketersediaan pembiayaan bagi perekonomian. Selain itu, suku bunga merupakan instrumen kebijakan yang digunakan oleh otoritas moneter dan regulator untuk mencapai berbagai sasaran makroekonomi, seperti menjaga stabilitas harga, memelihara stabilitas sistem keuangan hingga mendukung pertumbuhan ekonomi.
Disertasi ini memiliki empat tujuan penelitian yang disajikan dalam empat artikel. Artikel pertama menganalisis keterhubungan antar suku bunga domestik, baik yang berdenominasi rupiah maupun dolar Amerika Serikat (USD). Analisis keterhubungan suku bunga domestik dilakukan terhadap BI rate, suku bunga Pasar Uang antarbank (PUAB), suku bunga deposito, suku bunga kredit, suku bunga penjaminan Lembaga Penjamin Simpanan (LPS) dan imbal hasil Surat Berharga Negara (SBN) dengan menggunakan pendekatan Diebold-Yilmaz Generalized Vector Autoregression (DY-GVAR) selama Oktober 2005 hingga Juli 2025. Penelitian menemukan bahwa keterhubungan suku bunga (Total Connectedness Index/TCI) berdenominasi rupiah lebih kuat dibandingkan berdenominasi USD. Dalam sistem rupiah, BI rate berperan sebagai net transmitter utama yang menegaskan bahwa keterhubungan suku bunga rupiah bersifat policy-driven. Sebaliknya, pada sistem USD, PUAB merupakan net transmitter yang dominan, mencerminkan karakter transmisi market-driven. Penelitian juga menemukan bahwa yield SBN berperan sebagai net transmitter terhadap BI rate. Dinamika keterhubungan menunjukkan bahwa tingkat keterhubungan meningkat pada periode krisis. Pada suku bunga rupiah, TCI tertinggi terjadi pada Juli 2013 saat pengumuman rencana pengurangan belanja aset oleh the Fed (tapering off) sedangkan pada suku bunga USD terjadi pada September 2022 yang bertepatan dengan perang Rusia dan Ukraina.
Bagian kedua dari disertasi ini fokus pada analisis spillovers faktor global terhadap keterhubungan suku bunga domestik. Faktor global yang dianalisis adalah suku bunga lima negara sistemik (Amerika Serikat/AS, Uni Eropa/UE, Jepang, Inggris dan China), indeks volatilitas pasar keuangan global (VIX), indeks harga energi dunia (IHED), dan indeks risiko geopolitik dunia (IRGD). Analisis menggunakan pendekatan Diebold-Yilmaz Generalized Vector Autoregression with Exogenous Variables (DY-GVARX) dengan data bulanan periode Oktober 2005 hingga Juli 2025. Hasil penelitian menunjukkan bahwa faktor global memperkuat keterhubungan suku bunga, baik pada sistem berdenominasi rupiah maupun USD. Saat faktor-faktor global dimasukkan ke model, sumber guncangan utama baik pada sistem suku bunga rupiah dan USD adalah IHED. Sementara itu, yield SBN pada kedua sistem suku bunga lebih banyak menerima spillover dari VIX dibandingkan IHED. Yield SBN juga menjadi jalur utama transmisi guncangan global ke sistem suku bunga baik memiliki nilai net receiver tertinggi di antara suku bunga domestik lainnya. Temuan ini menunjukkan bahwa gejolak pasar keuangan global pertama kali ditransmisikan ke yield SBN, kemudian diteruskan ke BI rate yang berperan sebagai net receiver dari yield SBN. Selanjutnya, perubahan BI rate ditransmisikan ke suku bunga pasar uang dan suku bunga perbankan melalui mekanisme transmisi kebijakan moneter. Sementara itu, BI rate juga dipengaruhi oleh dominasi IHED.
Bagian ketiga disertasi mengkaji keterhubungan suku bunga kebijakan Indonesia dengan suku bunga kebijakan lima negara sistemik yaitu AS, UE, Jepang, Inggris, dan China sepanjang Januari 1996 hingga Mei 2023. Penelitian ini tidak hanya menggunakan DY-GVAR tetapi juga metode Baruník-Krehlík Frequency Connectedness (BK). Metode BK memungkinkan dekomposisi spillover berdasarkan horizon waktu: jangka pendek (1-4 bulan), jangka menengah (5-12 bulan), dan jangka panjang (lebih dari 12 bulan). Analisis menyimpulkan bahwa suku bunga kebijakan Indonesia merupakan menerima spillover suku bunga dari lima negara sistemik. Dominasi spillover paling kuat berasal dari Inggris. Pada jangka pendek (kecuali dengan China), menengah maupun panjang, suku bunga kebijakan Indonesia secara umum tetap menjadi net receiver dari suku bunga kebijakan lima negara sistemik. Temuan penting lainnya adalah terdapat 45 bulan ketika nilai TCI jangka panjang lebih tinggi dibandingkan jangka pendek. Hal ini mengindikasikan bahwa transmisi spillover tidak lagi berlangsung cepat dan sementara tetapi bertahan lama.
Bagian terakhir dari disertasi menganalisis interaksi kebijakan fiskal dan moneter di Indonesia. Penelitian ini mengkaji tiga aspek terkait dengan interaksi kebijakan fiskal dan kebijakan moneter yaitu fungsi kendala anggaran pemerintah, fungsi reaksi bank sentral dan analisis pasar keuangan. Aspek pertama dan kedua menggunakan metode VAR, uji Granger causality dan Impulse Response Function (IRF) dan Ordinary Least Square (OLS). Pengembangan utama dibandingkan penelitian sebelumnya adalah penambahan analisis hubungan yield SBN dengan BI rate sebagai proksi interaksi kebijakan fiskal dan moneter di pasar keuangan. Hal ini diestimasi menggunakan pendekatan Autoregressive Distributed Lag (ARDL). Hasil menunjukkan bahwa pengaruh kebijakan fiskal terhadap kebijakan moneter tidak kuat sebelum krisis keuangan global tetapi berbeda saat dan setelah krisis tersebut. Dari perspektif pasar keuangan, hasil estimasi menunjukkan bahwa pada jangka pendek yield SBN signifikan memengaruhi BI rate dengan arah positif. Pada jangka panjang, variabel yield SBN tidak signifikan memengaruhi BI rate tetapi memiliki arah positif. Sementara itu, variabel harga minyak dan inflasi IHK berpengaruh signifikan terhadap BI rate sedangkan nilai tukar tidak berpengaruh. | |
| dc.description.abstract | This dissertation analyzes the connectedness and dynamics of interest rates in Indonesia. The study is motivated by Indonesia's characteristics as a small open economy with a financial system that remains predominantly bank-based. Within this structure, interest rates play a strategic role as the primary mechanism for mobilizing savings and allocating funds, thereby determining the effectiveness of financial intermediation and the availability of financing for the economy. In addition, interest rates serve as key policy instruments employed by the monetary authority and financial regulators to achieve various macroeconomic objectives, including maintaining price stability, preserving financial system stability, and supporting economic growth.
This dissertation comprises four research objectives, presented in four separate articles. The first article examines the connectedness among domestic interest rates denominated in both Indonesian rupiah and US dollars (USD). The analysis covers the BI rate, interbank money market rate (PUAB), deposit rate, lending rate, Deposit Insurance Corporation (LPS) guaranteed interest rate, and the yield on Indonesian government securities (SBN), using the Diebold–Yilmaz Generalized Vector Autoregression (DY-GVAR) framework over the period from October 2005 to July 2025. The findings show that the connectedness of rupiah-denominated interest rates is stronger than that of USD-denominated interest rates. Within the rupiah system, the BI rate acts as the primary net transmitter, indicating that interest rate connectedness is predominantly policy-driven. In contrast, within the USD system, the PUAB serves as the dominant net transmitter, reflecting a market-driven transmission mechanism. The study also finds that the yield SBN functions as a net transmitter to the BI rate, highlighting its important role in the domestic interest rate transmission process. The dynamic connectedness analysis further reveals that the degree of connectedness intensifies during periods of financial stress. For rupiah-denominated interest rates, the highest Total Connectedness Index (TCI) occurred in July 2013 following the Fed’s announcement of its asset purchase tapering plan (the taper tantrum). For USD-denominated interest rates, the highest TCI was observed in September 2022, coinciding with the economic and financial repercussions of the Russia–Ukraine war.
The second part focuses on analyzing the spillovers of global factors on the connectedness of domestic interest rates. The global factors examined include the policy interest rates of five systemic economies (the United States, the European Union/EU, Japan, the United Kingdom/UK, and China), the Global Financial Market Volatility Index (VIX), the Global Energy Price Index (GEPI), and the Global Geopolitical Risk Index (GPRI). The analysis employs the Diebold–Yilmaz Generalized Vector Autoregression with Exogenous Variables (DY-GVARX) framework using monthly data from October 2005 to July 2025. The results indicate that global factors strengthen the connectedness of domestic interest rates in both the rupiah- and USD-denominated systems. Once global variables are incorporated into the model, the GEPI emerges as the primary source of shocks in both interest rate systems. However, SBN yields receive greater spillovers from the VIX than from the GEPI. Moreover, SBN yields constitute the main transmission channel through which global shocks propagate to the domestic interest rate system, exhibiting the highest net receiver value among all domestic interest rates. These findings suggest that disturbances originating in global financial markets are first transmitted to SBN yields and subsequently passed on to the BI rate, which acts as a net receiver of spillovers from SBN yields. Changes in the BI rate are then transmitted to interbank money market rates and bank lending and deposit rates through the monetary policy transmission mechanism. At the same time, the BI rate is also directly influenced by the dominant role of the GEPI.
The third part of the dissertation examines the connectedness between Indonesia's policy interest rate and the policy rates of five systemic economies—the US, the EU, Japan, the UK, and China—over the period from January 1996 to May 2023. In addition to DY-GVAR framework, the study employs the Baruník–Krehlík Frequency Connectedness (BK) approach. The BK method enables the decomposition of spillovers across different time horizons: short term (1–4 months), medium term (5–12 months), and long term (more than 12 months). The results indicate that Indonesia's policy interest rate is a net receiver of spillovers from the policy rates of the five systemic economies. The strongest spillovers originate from the UK. Across the medium- and long-term horizons, as well as the short-term horizon (except in the case of China), Indonesia's policy interest rate consistently remains a net receiver of spillovers from these systemic economies. Another important finding is that there are 45 months during which the long-term TCI exceeds the short-term TCI. This suggests that spillover transmission is no longer merely rapid and transitory but has become more persistent, with effects that endure over longer periods.
The final part of the dissertation analyzes the interaction between fiscal and monetary policies in Indonesia. The study investigates three dimensions of fiscal–monetary policy interaction: the government budget constraint, the central bank reaction function, and financial market interactions. The first two dimensions exerted the Vector Autoregression (VAR), Granger causality tests, Impulse Response Functions (IRFs), and Ordinary Least Squares (OLS) estimation. The main development compared with previous studies is the addition of an analysis of the relationship between SBN yields and the BI Rate as a proxy for fiscal–monetary policy interaction in financial markets. This relationship is estimated using the Autoregressive Distributed Lag (ARDL) approach. The findings show that the influence of fiscal policy on monetary policy was relatively weak before the global financial crisis but became more pronounced during and after the crisis. From the perspective of financial markets, the ARDL estimates indicate that, in the short run, SBN yields exert a statistically significant and positive effect on the BI rate. In the long run, although the effect of SBN yields on the BI rate remains positive, it is no longer statistically significant. Meanwhile, international oil prices and consumer price inflation (CPI inflation) have significant positive effects on the BI rate, whereas the exchange rate does not have a statistically significant impact. | |
