Responses of Islamic banking variables to monetary policy shocks in Indonesia
Purpose This paper investigates the structural model of vector autoregression (SVAR) of the interdependent relationship of inflation, monetary policy and Islamic banking variables (RDEP, RFIN, DEP, FIN) in Indonesia. By using monthly data for the period 2001M01-2019M12, the impulse response function...
| Autore principale: | |
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| Tipo di documento: | Elettronico Articolo |
| Lingua: | Inglese |
| Verificare la disponibilità: | HBZ Gateway |
| Interlibrary Loan: | Interlibrary Loan for the Fachinformationsdienste (Specialized Information Services in Germany) |
| Pubblicazione: |
2021
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| In: |
Islamic economic studies
Anno: 2021, Volume: 28, Fascicolo: 2, Pagine: 174-190 |
| Altre parole chiave: | B
Monetary policy transmission mechanism
B Aufsatz in Zeitschrift B Islamic Banking B Structural VAR |
| Accesso online: |
Volltext (kostenfrei) Volltext (kostenfrei) Volltext (kostenfrei) |
| Riepilogo: | Purpose This paper investigates the structural model of vector autoregression (SVAR) of the interdependent relationship of inflation, monetary policy and Islamic banking variables (RDEP, RFIN, DEP, FIN) in Indonesia. By using monthly data for the period 2001M01-2019M12, the impulse response function (IRF), forecasting error decomposition variation (FEDV) is used to track the impact of Sharīʿah variables on inflation (prices). Design/methodology/approach This research uses quantitative approach with SVAR model to reveal the problem. Findings The empirical results of SVAR, the IRF show that policy shocks have a negative impact on all variables in Islamic banking except the equivalent deposit interest rate (RDEP). The impact of both conventional (7DRR) and Sharīʿah (SBIS) policies has a similar pattern. While the transmission of Sharīʿah monetary variables as a policy operational target in influencing inflation is positive. In addition, the FEDV clearly revealed that the variation in the Sharīʿah financial sector was relatively large in monetary policy shocks and their role in influencing prices. Originality/value The empirical results of SVAR, the IRF show that policy shocks have a negative impact on all variables in Islamic banking except the equivalent deposit interest rate ‘RDEP’. The impact of both conventional “7DRR” and Sharīʿah “SBIS” policies has a similar pattern. While the transmission of Sharīʿah monetary variables as a policy operational target in influencing inflation is positive. In addition, the FEDV clearly revealed that the variation in the Sharīʿah financial sector was relatively large in monetary policy shocks and their role in influencing prices. |
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| ISSN: | 2411-3395 |
| Comprende: | Enthalten in: Islamic economic studies
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| Persistent identifiers: | DOI: 10.1108/IES-11-2020-0049 HDL: 10419/316475 |
