Yulianti, Widia (2023) ANALISIS EFISIENSI KEBIJAKAN MONETER DAN RISIKO SISTEMIK DI NEGARA BERKEMBANG. S1 thesis, UNIVERSITAS SULTAN AGENG TIRTAYASA.
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Abstract
This study aims to identify the effect of Monetary Policy Efficiency (MPE) and control variables, namely Exchange Rates, Central Bank Interest Rates, and Credit to GDP on Systemic Risk in the period 2010Q1 to 2021Q4. The analytical method used is the Dynamic Panel approach with the GMM (Generalized Method of Moment) model. The results of the bank level estimation research prove that MPE has a negative effect on systemic risk, Exchange Rate and Central Bank Policy Rate has a positive effect on Systemic Risk, and Credit to GDP has a negative effect on Systemic Risk. Meanwhile, country level estimation results prove that MPE has a negative effect on Systemic Risk, Exchange Rates have a negative effect on systemic risk, Central Bank Policy Rate have a positive effect on Systemic Risk, and Credit to GDP has a negative effect on Systemic Risk. Thus there is evidence of a negative influence from Monetary Policy Efficiency, indicating that any increase in Monetary Policy Efficiency can reduce Systemic Risk and a decrease in Monetary Policy Efficiency can increase Systemic Risk. Risk, and Credit to GDP has a negative effect on Systemic Risk. Meanwhile, country level estimation results prove that MPE has a negative effect on Systemic Risk, Exchange Rates have a negative effect on systemic risk, Central Bank Policy Rate have a positive effect on Systemic Risk, and Credit to GDP has a negative effect on Systemic Risk. Thus there is evidence of a negative influence from Monetary Policy Efficiency, indicating that any increase in Monetary Policy Efficiency can reduce Systemic Risk and a decrease in Monetary Policy Efficiency can increase Systemic Risk.
| Item Type: | Thesis (S1) | |||||||||
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| Additional Information: | Penelitian ini bertujuan untuk mengidentifikasi pengaruh dari Efisiensi Kebijakan Moneter (MPE) dan variabel kontrol yaitu Nilai Tukar, Suku Bunga Bank Sentral, dan Credit to GDP terhadap Risiko Sistemik pada periode 2010Q1 sampai dengan 2021Q4. Metode analisis yang digunakan menggunakan pendekatan Panel Dinamis dengan model GMM (Generalized Method of Moment). Hasil penelitian estimasi bank level membuktikan bahwa MPE berpengaruh negatif terhadap risiko sistemik, Nilai Tukar dan Suku Bunga Bank Sentral berpengaruh positif terhadap Risiko Sistemik, dan Credit to GDP berpengaruh negatif terhadap Risiko Sistemik. Sedangkan hasil estimasi country level membuktikan bahwa MPE berpengaruh negatif terhadap Risiko Sistemik, Nilai Tukar berpengaruh negatif terhadap risiko sistemik, Suku Bunga Bank Sentral berpengaruh positif terhadap risiko sistemik, dan Credit to GDP berpengaruh negatif terhadap risiko sistemik. Dengan demikian terdapat bukti adanya pengaruh negatif dari Efisiensi Kebijakan Moneter, yang menunjukkan bahwa setiap kenaikan Efisiensi Kebijakan Moneter dapat menurunkan Risiko Sistemik dan penuruann Efisiensi Kebijakan Moneter dapat meningkatkan Risiko Sistemik. | |||||||||
| Uncontrolled Keywords: | Monetary Policy Efficiency, Systemic Risk, Generalized Method of Moments Efisiensi Kebijakan Moneter, Risiko Sistemik, Generalized Method of Moments | |||||||||
| Subjects: | H Social Sciences > HB Economic Theory | |||||||||
| Divisions: | 05-Fakultas Ekonomi dan Bisnis 05-Fakultas Ekonomi dan Bisnis > 60201-Program Sarjana Ilmu Ekonomi Pembangunan |
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| Depositing User: | Mrs Widia Yulianti | |||||||||
| Date Deposited: | 12 Jul 2023 10:30 | |||||||||
| Last Modified: | 13 Jul 2023 15:13 | |||||||||
| URI: | http://eprints.untirta.ac.id/id/eprint/26340 |
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