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"Studi ini mengukur tingkat kesempurnaan interest rate pass-through dan kecepatan penyesuaian tingkat suku bunga perbankan terhadap perubahan tingkat suku bunga acuan. Error-correction model digunakan untuk menangkap dinamika jangka pendek yaitu koefisien koreksi suku bunga perbankan ketika terjadi deviasi kesetimbangan jangka panjang antara tingkat suku bunga acuan dan suku bunga perbankan. Tingkat suku bunga Kredit Modal Kerja memiliki pass-through jangka panjang yang tidak sempurna dengan nilai koefisien 0,95; pass-through jangka pendek yang tidak sempurna dengan nilai koefisien 0,24; dan kecepatan penyesuaian terhadap perubahan tingkat suku bunga acuan sekitar 19 bulan. Hasil yang serupa juga ditemukan pada tingkat suku bunga kredit investasi dengan pass-through jangka panjang 0,85; pass-through jangka pendek 0,23; dan kecepatan penyesuaian terhadap perubahan tingkat suku bunga acuan sekitar 13 bulan. Dari sisi deposit, tingkat suku bunga deposito 1 bulan memiliki pass-through jangka panjang 0,86; pass-through jangka pendek 0,42; dan kecepatan penyesuaian terhadap perubahan tingkat suku bunga acuan sekitar 12 bulan.

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This study attempts to measure the degree of interest rate pass-through and the speed of adjustment of commercial banking interest rates against the shift in the central bank policy rate. The study utilizes error-correction model to capture the short term dynamic, namely the coefficients indicating correction of the commercial bank interest rates whenever they drifted away from the long-term equilibrium between the commercial bank interest rates and the central bank policy rate. Working capital loan exhibited incomplete long-run pass-through with coefficient of 0.95, incomplete short-term pass-through of 0.24, and speed of adjustment approximating 19 month. Similarly, investment loan exhibited long-run pass-through coefficient of 0.85, short-term pass-through 0.23, and speed of adjustment approximating 13 month. On the deposit side, 1-month fixed deposit exhibited long-run pass-through coefficient of 0.86, short-term pass-through 0.42, and speed of adjustment approximating 12 month."

"Studi pada literatur keuangan untuk menguji interest rate pass through perubahan suku bunga kebijakan terhadap perubahan suku bunga perbankan yang menunjukkan efektivitas kebijakan telah mendapat perhatian yang besar. Tujuan dari studi ini adalah mengukur derajat kesempurnaan dan derajat kecepatan waktu perubahan suku bunga perbankan terhadap perubahan suku bunga BI-7 Day Reverse Repo (BI7DRR) sejak penerapan BI7DRR tanggal 19 Agustus 2016. Model dalam studi ini menggunakan Vector Error Correction Model (VECM) untuk mengestimasi koefisien pass-through jangka pendek, koefisien pass-through jangka panjang, dan koefisien error correction term. Selanjutnya ketiga koefisien tersebut dihitung ke dalam persamaan Mean Adjusted Lag(MAL). Pass-through jangka pendek pada suku bunga deposito dan kredit adalah tidak sempurna dan tidak signifikan. Pass-through jangka panjang pada suku bunga modal kerja adalah tidak sempurna dan tidak signifikan. Pass-through jangka panjang pada suku bunga modal kerja adalah tidak sempurna dan signifikan dengan koefisien sebesar 0,369, sedangkan suku bunga kredit konsumsi adalah sempurna dan signifikan dengan koefisien 1,8401. Kecepatan waktu perubahan suku bunga deposito 3 dan 6 bulan terhadap perubahan suku bunga kebijakan adalah 4 bulan, sedangkan suku bunga deposito 12 bulan adalah 18 sampai 29 bulan. Sementara kecepatan waktu perubahan suku bunga kredit modal kerja dan konsumsi terhadap suku bunga kebijakan masing-masing adalah sebesar 12 dan 61 bulan.

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Several studies in finance literature have tested interest rate pass-through on changes in policy rates that are responded to by changes in banking interest rates indicating the effectiveness of transmission of policies have received great attention. This study attempts to measure the degree of completeness and the degree of time speed of adjustment of the banking interest rate changes against the BI-7 Day Reverse Repo interest rate changes (BI7DRR) since the implementation of BI7DRR at August 19, 2016. This study contains Vector Error Correction Model (VECM) to measure short-term pass-through coefficient, long-term pass-through coefficient, and error correction term coefficient. Then the three coefficients are calculated into the Mean Adjusted Lag (MAL) equation. The short-term pass-through on deposit interest rates and loan rates are imperfect and insignificant. The long-term pass-through for working capital interest rate is imperfect and significant with a coefficient of 0.369, while the interest rate of credit consumption is perfect and significant with a coefficient of 1.8401. The degree of time speed of adjustment for deposit rate of 3 and 6 months whenever policy rate drifted away are 4 months, while a 12-month deposit interest rate is 18 to 29 months. While the degree of time speed of adjustment for working capital credit and consumption interest rate whenever policy rate drifted away respectively are 12 and 61 months."

"Robust measurement of interest rates speed of adjustment to monetary policy changes is very important to obtain acomprehensive understanding on the monetary transmission process and the eectiveness of monetary policy. The speed of adjustment are determined by number of frictions that interfere with the transmission of monetary policy.We measure Indonesia interest rate pass-through which have distinct characteristics in terms of banking competition, segmented banking market and concentrated structure. Interest rate pass-through is measured by using Vector Error Correction Model (VECM) and Mean Adjusted Lags (MAL). This paper shows the interest rate adjustment did take a relatively long time.

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Pengukuran kecepatan penyesuaian suku bunga perbankan terhadap perubahan kebijakan moneter sangat penting sehingga diperoleh pemahaman komprehensif atas proses transmisi moneter dan efektivitas kebijakan. Kecepatan perubahan suku bunga deposito dan kredit perbankan ditentukan oleh adanya friksi-friksi transmisi kebijakan moneter ke sektor perbankan dan sektor riil. Penelitian ini mengukur interest rate pass-through perbankan Indonesia yang memiliki karakteristik khas dalam hal tingkat kompetisi perbankan, segmentasi pasar, dan struktur industri perbankan yang tinggi. Interest rate pass-through diukur dengan menggunakan Vector Error Correction Model (VECM) dan Mean Adjusted Lags (MAL). Hasil uji menunjukkan penyesuaian suku bunga membutuhkan waktu yang lama."

"Dalam upaya memeriksa efektivitas transmisi kebijakan moneter, penelitian ini memeriksa interest rate pass-through di Indonesia dengan mempertimbangkan adanya perubahan suku bunga kebijakan dan pandemi COVID-19. Data suku bunga kebijakan, suku bunga deposito dan suku bunga kredit diambil secara bulanan dari April 2012-Desember 2022. Vector Error Correction Model (VECM) digunakan untuk mengukur interest rate pass-through dan Mean Adjusted Lag (MAL) digunakan mengukur kecepatan pass-through. Hasil menemukan dengan penetepan suku bunga kebijakan baru belum memberikan pengaruh pada suku bunga deposito dan kredit dalam analisis jangka panjang dan jangka pendek. Kebijakan moneter membutuhkan waktu yang lebih lama untuk memberikan pengaruhnya pada suku bunga perbankan. Pandemi COVID-19 semakin melemahkan transmisi kebijakan moneter memberikan pengaruh pada suku bunga kredit.

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To examine the effectiveness of monetary policy transmission, this study examines interest rate pass-through in Indonesia by considering changes in policy rates and the COVID-19 pandemic. Data on policy rates, deposit rates and lending rates are taken monthly from April 2012-December 2022. Vector Error Correction Model (VECM) is used to measure interest rate pass-through and Mean Adjusted Lag (MAL) is used to measure the speed of pass-through. The results found that the new policy rates have not yet influenced deposit and lending rates in the long-run and short-run analysis. Monetary policy takes a longer time to affect bank interest rates. The COVID-19 pandemic has further weakened the transmission of monetary policy influence on lending rates."

"Transmisi kebijakan moneter dapat dilakukan melalui beberapa saluran, dimana salah satunya adalah melalui saluran suku bunga. Studi ini, mengukur besaran perubahan suku bunga perbankan terhadap perubahan suku bunga acuan, dengan melihat momentum interest rate pass through dengan pengukuran menggunakan metode Error ndash; correction model. Tingkat suku bunga deposito tenor 6 bulan pada jangka panjang memiliki pass through tidak sempurna dengan nilai koefisien 0.48 , dan deposito 24 bulan pada jangka panjang memiliki pass through terlebihi dengan nilai koefisien 1.80. Sedangkan, tingkat suku bunga kredit modal kerja dan investasi memiliki besaran pass through tidak sempurna dengan masing ndash; masing nilai koefisien sebesar 0.69 dan 0.23.

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Transmission of monetary policy have several channels, and one of them is through interest rate channel. This study, attempt to measure the change of bank rsquo s interest rate toward the change in central bank rsquo s policy rate, by seeing the momentum of interest rate pass through using error ndash correction model. Deposit rate with 6 months period exhibit long run incomplete pass through with a coefficient of 0.48, and deposit with 24 months period exhibit long run overcomplete pass through with a coefficient of 1.80. As for working capital and investment loan, have incomplete pass through with each coefficient respective of 0.69 and 0.23."

"Thesis ini menyajikan analisis empiris dari transmisi suku bunga yang dipicu oleh kebijakan moneter dalam pasar Kredit Pemilikan Rumah KPR di Indonesia. Secara khusus, penelitian ini menguji adanya potensi asimetri dalam hal besaran dan kecepatan pada proses transmisi dua tahap, yaitu dari suku bunga kebijakan terhadap suku bunga pasar uang dan dari suku bunga pasar uang terhadap suku bunga KPR. Hasil penelitian mengindikasikan bahwa walaupun perubahan suku bunga kebijakan diteruskan secara sempurna, segera dan simetris kepada suku bunga pasar uang, namun selanjutnya diteruskan secara tidak sempurna, lambat dan asimetris kepada suku bunga KPR. Bank penyalur KPR di Indonesia lebih responsif terhadap penurunan suku bunga kebijakan dibandingkan kenaikan. Kondisi tersebut menunjukkan bahwa kebijakan moneter ekspansif akan memiliki dampak lebih besar kepada konsumen dibandingkan kebijakan moneter kontraktif.

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This thesis present an empirical analysis of the interest rate transmission induced by monetary policy in Indonesian mortgage market. We examine potential amount and adjustment asymmetries in two stage transmissions process, namely from official rates to money market rates and from money market rates to mortgage rates, using Asymmetric Error Correction Model AECM.

Our findings indicates that although official rate changes are completely, immediately and symmetrically passed through to the money market rate, they are incompletely, sluggishly and asymmetrically passed through to the mortgage rate. The Indonesian mortgage lenders respond more strongly to an official rate cuts than to an official rate hike. This implies that expansionary monetary policy will have more impact on the consumer than contractionary monetary policy."

"Skripsi ini secara empiris menganalisa karakteristik dari Interest Rate Pass-Through di Indonesia menggunakan BI Rate dan JIBOR 7 Days sebagai suku bunga acuan kepada Suku Bunga Kredit dan Suku Bunga Deposit satu bulan, Adapun metode yang digunakan adalah Asymmetric Error Correction Mechanism A-ECM sebagai alat untuk menguji pola mekanisme Pass-Through yang terjadi pada Bank Umum lalu turun secara spesifik kepada empat jenis Bank Umum berdasarkan kategori kepemilikan.Hasil dari penelitian yang menggunakan dataset dari Juli 2005 hinggal Juni 2016 menyatakan bahwa Indonesia mengadopsi Monetary Policy Approach untuk mekanisme suku bunga acuan ke suku bunga deposit. Hasil lain juga menunjukan bahwa proses pembentukan suku bunga kredit di Indonesia tidak berdasarkan dari suku bunga acuan yang telah disebutkan. Hal ini di buktikan dari lambatnya dan lemahnya mekanisme Pass-Through suku bunga kredit pada setiap bank secara general. Skripsi ini juga menunjukan bahwa tidak ada mekanisme Pass-Through jangka panjang yang lengkap dan terdapat asymmetric adjustment pada suku bunga retail yang dibentuk oleh Bank Pemerintah Daerah.

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This research empirically analyses the characteristics of Interest Rate Pass Through in Indonesia with BI Rate and JIBOR 7 Days as the Reference Rate to Bank Credit Rate and One Month Deposit Rate using Asymmetric Error Correction Mechanism A ECM . The study examines the pattern of Pass Through from Commercial Bank down to each four type of bank based on ownership categorization.The result from this empirical study using data from July 2005 to June 2015 suggests that Indonesia adopt Monetary Policy Approach for Pass Through Mechanism to Deposit Rate. The formation of Credit Rate in Indonesia is not based on any reference rate mentioned earlier proven by common slower and weaker Pass Through across all banks. The research also stated that generally no complete long run pass through exists and the asymmetric adjustment is found with respect to the Retail Rates of Regional Government Bank rsquo's."

"Penyusunan Tesis bertujuan untuk membandingkan jalur yang paling baik antara jalur Traditional Interest Rate Channel dan Exchange Rate Channel dalam mempengaruhi GDP dan inflasi. Model ekonometrika yang digunakan adalah analisis dinamis time series VAR in difference, yaitu impulse response dengan menggunakan data dari Bank Indonesia dan Biro Pusat Statistik sejak 1990 s.d. 2009 secara triwulanan. Hasil penelitian menunjukkan suku bunga SBI 1 bulan memiliki peran penting dan dapat dijadikan sebagai suku bunga rujukan/acuan bagi pelaku ekonomi. Jalur suku bunga dan nilai tukar bekerja dengan baik sesuai dengan teori. Secara keseluruhan jalur suku bunga bekerja lebih baik dibandingkan dengan nilai tukar. Meskipun demikian, peran jalur nilai tukar memiliki pengaruh besar terhadap sasaran akhir terutama inflasi sehingga tetap perlu mendapat perhatian otoritas moneter.

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This thesis aims to see which one is better be used as monetary transmission between traditional interest rate channel and exchange rate channel to influence the GDP and inflation. Econometric model used is the time series dynamics analysis of VAR in difference, that is impulse response. The research uses secondary data sourced from Bank Indonesia and Biro Pusat Statistik since 1990 to 2009 quarterly. The thesis finds that SBI rate of 1 month has an important role and it can be used as reference rate by economic agent. Both of traditional interest rate channel and exchange rate channel have worked as theory. Overall, the interest rate channel works better than exchange rate channel in influencing the GDP and inflation. Meanwhile, the role of exchange rate channel have a big impact to the inflation that the monetary authority should pay attention to the channel."

"Penelitian ini membahas tentang kemampuan Inflation Targeting Framework dalam menurunkan derajat Exchange Rate Pass-Through di Indonesia dari tahun 1998 hingga tahun 2008. Penulis ingin mengetahui apakah penerapan Inflation Targeting Framework yang dilakukan oleh Bank Indonesia dapat menurunkan derajat pass-through baik dalam jangka pendek maupun dalam jangka panjang. Metode penelitian yang digunakan adalah Ordinary Least Squares. Hasil penelitiannya menunjukkan bahwa penerapan Inflation Targeting Framework terbukti dapat menurunkan pass-through dalam jangka pendek, tetapi tidak terbukti dapat menurunkan pass-through dalam jangka panjang.

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This study discusses about the ability of the Inflation Targeting Framework in lowering degree of Exchange Rate Pass-Through in Brazil from 1998 until 2008. The author would like to know whether the application of the Inflation Targeting Framework conducted by Bank Indonesia could reduce the degree of pass-through in both the short term and the long term. Research method used was Ordinary Least squares. The results indicate that the application of the Inflation Targeting Framework can lower pass-through in the short term, but cannot lower the pass-through in the long term."

"This study focuses on the relationship between the exchange rate and export performance, using Indonesian data. Although many studies have been undertaken on this topic, only a few have been devoted to developing countries. Studies of exchange rate pass-through (ERIW), especially for small open economies, show that incomplete pass-through is the most common result of the relationship between export prices and the exchange rate. Johansen's co-integration test was used to determine the long-run relationship between the variables tested. Where we could not perform the Johansen co-integration test because we had one stationary variable, the ARDL (autoregressive distributed log) approach to co-integration testing, as proposed by Pesaran and Shin, was used. The study shows that most of the Indonesian export commodities tested are price taker commodities. The ERFT of groups of commodities showed no lang-run equilibrium relationship (or no co-integration) for the group of labour intensive goods (LBINYJ and the group of resource base intensive good (RBASE). Although it was found that there was Co-integration for the mining (MINING) and high technology intensive goods (HTECH) groups of commodities, the ERPT coefficients for these variables were not statistically significant at the 5% level. At the commodity level the study indicated that, except for palm oil and kayu gergajian, the Indonesian export commodities tested had relatively weak market power; in other words, Indonesia is a price taker in the world market for most of its export commodities."