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"Berakhirnya krisis keuangan global tahun 2008 yang menyebabkan perlambatan pertumbuhan ekonomi khususnya pada negara-negara maju membuat bank sentral negara-negara maju tersebut mengambil tindakan kebijakan moneter non konvensional atau quantitative easing. Seiring dengan penerapan quantitative easing tersebut, beberapa indikator perekonomian Indonesia cenderung mengalami peningkatan hingga akhirnya pada bulan Juni 2013 indikator perekonomian tersebut mulai menurun paska pengumuman rencana pemberhentian (ttapering) kebijakan quantitative easing Amerika Serikat. Analisis ini menemukan bahwa terdapat korelasi langsung yang positif antara quantitative easing dengan indikator perekonomian Indonesia, yakni Indeks Harga Saham Gabungan (IHSG), Real Effective Exchange Rate, dan cadangan devisa. Korelasi positif yang signifikan ditemukan antara quantitative easing dengan IHSG dan cadangan devisa. Sedangkan korelasi tidak langsung yang dilihat melalui korelasi antara quantitative easing dengan aliran modal menunjukan hubungan yang positif namun sangat lemah. Kementerian Keuangan RI dan Bank Indonesia kurang antisipatif dalam menghadapi quantitative easing selama ini, hal ini ditunjukkan dengan tidak adanya kebijakan-kebijakan khusus terkait quantitative easing. Kebijakan yang diterapkan oleh keduanya hanya bersifat responsif ketika tejadi gejolak perekonomian dalam pasar.

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The end of the 2008 global financial crisis which caused the lagging of economic growth especially to the developed countries, motivated the central banks of developed nations to take non conventional monetary measures in the form of quantitative easing. Along with the implementation of quantitative easing, a few Indonesian economic indicators tend to show a hike tll the end of June 2013, where the indicators showed a decline following the announcement of the tapering-off of the quantitative easing policy in the United States by the Governor of the Federal Reserve.

The analysis has shown that there is a positive direct correlation between quantitative easing and the indicator of Indonesian economy, namely the Indeks Harga Saham Gabungan (IHSG), Real Effective Exchange Rate, and the reserves. Meanwhile, there is a positive yet very weak interaction between the indirect correlation of quantitative easing with capital flows.

To date, The Indonesian Ministry of Finance and Bank of Indonesia are less anticipative towards the quantitative easing policy, which is shown by the lack of any specific policies concerning the quantitative easing itself. The policies implemented by both parties are more of a responsive nature, where such policies are only executed when there is an economic market shock."

"ABSTRAKKebijakan Quantitative Easing (QE) dijalankan The Fed untuk menggerakan perekonomian Amerika Serikat (AS) yang terpuruk akibat krisis subprime mortgage. Kebijakan QE yang telah tiga kali dilaksanakan sejak 2008, juga dianggap mendorong masuknya investor asing ke emerging markets. Penelitian ini fokus pada korelasi dinamis antara bursa saham AS dengan emerging markets dalam ASEAN 6 dan Fragile Five. Menggunakan metode Dynamic Conditional Correlation, hasil penelitian menunjukan bahwa bursa saham Brazil dan Afrika Selatan merupakan emerging market yang memiliki korelasi terkuat dengan AS. Selain itu, aset saham juga terlihat merupakan jenis investasi yang paling dominan dipilih investor asing di hampir semua emerging markets, kecuali di Thailand dan Filipina saat periode QE1 berjalan.

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ABSTRACTQuantitative Easing (QE) is a policy implemented by The Fed to stimulate U.S. economy after subprime mortgage crisis. Implemented three times since 2008, QE is also considered as the cause of foreign short term capital flows to emerging markets. This research focuses on the dynamic correlation between the U.S. stock market and emerging stock markets in ASEAN 6 and Fragile Five. Using Dynamic Conditional Correlation method, the results shows that Brazil and South Africa are strongly correlated with the U.S. Additionally, foreign investors seem to pick stocks as their main asset class during QE in almost all emerging markets, except in Thailand and The Philippines during the first QE period."

"Penelitian ini melihat pengaruh kebijakan Quantitative Easing yang diberlakukan oleh negara maju melalui bank sentralnya yaitu FED dan Non FED (yang merupakan penjumlahan BOE dan BOJ) terhadap variabel-variabel makroekonomi Indonesia yaitu cadangan devisa, IHSG, inflasi, M2, dan nilai tukar nominal melalui jalur aliran modal masuk. Penelitian ini mengggunakan data bulanan dengan periode Januari 2009 hingga Maret 2014. Metode estimasi yang digunakan adalah VARX.Hasil penelitian ini menunjukkan bahwa hanya kebijakan yang diberlakukan oleh FED dan non- FED mempengaruhi aliran modal masuk Indonesia. Selanjutnya aliran modal masuk tersebut memberikan pengaruh terhadap terbesar terhadap inflasi, M2, nilai tukar nominal. Implikasi kebijakan yang dapat dilakukan yaitu koordinasi kebijakan sebagai antisipasi kebijakan QE negara maju. Selain itu pemerintah perlu menerapkan kebijakan yang tepat sehingga dapat menjaga stabilitas makroekonomi dalam negeri dan menunjang iklim investasi yang baik. Kepemilikan cadangan devisa juga penting untuk menjaga stabilitas ekonomi.

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This study aims to see the impact of quantitative easing (QE) policy which implemented by some of developed countries through their central bank, which are FED and non-FED (the sum of QE policy from BOE and BOJ) on Indonesian macroeconomics whicch are foreign reserves, IHSG, inflation, M2, and nominal exchange rate. The study is using monthly data since January 2009 until March 2014 with VARX estimation method.

The estimation shows that QE policy which implemented by FED an non-FED have significant impact on capital inflow to Indonesia. The capital inflow also have the biggest impact on inflation, M2, and nominal exchange rate. The results of this paper could be relevant to the ongoing policy discussion regarding to anticipation of QE policy. Besides, government also need to implement the correct policy to stabilizes Indonesian macroeconomics and support good investment climate. An adequate foreign reserves also important to stabilizes the economy."

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Penelitian ini melihat pengaruh dari pelonggaran kuantitatif atau quantitative easing yang diumumkan oleh bank sentral Amerika dan penurunan suku bunga pada returns indeks saham LQ45. Studi ini menggunakan data bulanan dengan periode observasi dari Bulan November 2008 sampai Oktober 2014, sesuai dengan 13 pengumuman yang dikeluarkan oleh FOMC dan dari Bulan Agustus 2019 sampai April 2020 (durasi penurunan suku bunga). Dengan metode EGARCH, hasil dari penelitian ini menunjukkan bahwa pengumuman quantitative easing memiliki dampak yang signifikan terhadap volatilitas returns saham LQ45. Selain itu, hubungan antara penurunan suku bunga dan returns saham LQ45 memiliki hubungan yang berlawanan. Ketika suku bunga di Amerika turun, returns indeks LQ45 meningkat sehingga ketika interest rate turun sebesar 1 unit, returns indeks LQ45 naik sebesar 0.42 persen selama periode penurunan suku bunga di Amerika.

 

 

 

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This research examines the impact of quantitative easing announced by the FED and interest rates or Fed Funds Rate cut on LQ45 stock index returns. The study uses monthly data with the observation period of November 2008 until October 2014, according to 13 announcements stated by FOMC and August 2019 until April 2020 (the duration of interest rate cut). With EGARCH method, the result of the research exhibits that the announcement of quantitative easing has a significant impact on the volatility of LQ45 stock returns. Moreover, the relation of Fed Funds Rate cut and LQ45 stock returns has a negative correlation. During the slash of interest rate, LQ45 index return climbs up. Therefore, if interest rates increase by 1 unit, LQ45 index returns increases by 0.42 percent.

 

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"ABSTRAKPenelitian ini menganalisis spillover kebijakan QE Amerika Serikat terhadap aliran modal asing di Indonesia. Transmisi spillover QE melalui jalur likuiditas dan signaling masing-masing diukur menggunakan variabel 3-month T-bill rate AS serta VIX. Transmisi melalui jalur portfolio balance dikukur menggunakan variabel perbedaan suku bunga Indonesia dan AS, perbedaan tingkat pertumbuhan ekonomi Indonesia dan AS, serta spread credit default swap CDS Indonesia juga. Metode estimasi menggunakan teknik VECM. Ditemukan bahwa transmisi spillover QE terutama melalui jalur likuiditas dan signalling. Selain itu spread CDS juga signifikan mempengaruhi aliran modal asing. Jalur portfolio balance maupun perbedaan tingkat pertumbuhan PDB mempengaruhi investasi asing langsung.

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ABSTRACT

This study analyses the spillover of USA rsquo s QE policy towards capital flows in Indonesia. The spillover is estimated through the liquidity and signaling channels, respectively observed using the variables 3 month T bill rate and VIX. The spillover through the portfolio balance is observed using the variables of interest rate and growth rate differentials, as well as Indonesia rsquo s CDS spread. Estimation method used is VECM. The study finds that QE rsquo s spillover transmission to Indonesia goes through the liquidity and signaling channels. CDS spread also affects capital flow. The portfolio balance channel as well as the growth rate differential affect FDI."

"Penelitian ini melihat pengaruh dari pelonggaran kuantitatif atau quantitative easing yang diumumkan oleh bank sentral Amerika dan penurunan suku bunga pada returns indeks saham LQ45. Studi ini menggunakan data bulanan dengan periode observasi dari Bulan November 2008 sampai Oktober 2014, sesuai dengan 13 pengumuman yang dikeluarkan oleh FOMC dan dari Bulan Agustus 2019 sampai April 2020 (durasi penurunan suku bunga). Dengan metode EGARCH, hasil dari penelitian ini menunjukkan bahwa pengumuman quantitative easing memiliki dampak yang signifikan terhadap volatilitas returns saham LQ45. Selain itu, hubungan antara penurunan suku bunga dan returns saham LQ45 memiliki hubungan yang berlawanan. Ketika suku bunga di Amerika turun, returns indeks LQ45 meningkat sehingga ketika interest rate turun sebesar 1 unit, returns indeks LQ45 naik sebesar 0.42 persen selama periode penurunan suku bunga di Amerika.

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This research examines the impact of quantitative easing announced by the FED and interest rates or Fed Funds Rate cut on LQ45 stock index returns. The study uses monthly data with the observation period of November 2008 until October 2014, according to 13 announcements stated by FOMC and August 2019 until April 2020 (the duration of interest rate cut). With EGARCH method, the result of the research exhibits that the announcement of quantitative easing has a significant impact on the volatility of LQ45 stock returns. Moreover, the relation of Fed Funds Rate cut and LQ45 stock returns has a negative correlation. During the slash of interest rate, LQ45 index return climbs up. Therefore, if interest rates increase by 1 unit, LQ45 index returns increases by 0.42 percent."

"Economic openness between countries is now increasingly visible as it can certainly have a good impact on the countries themselves. However, behind this benefit, there is a risk, namely the existence of a spillover effect on a country's policies that has a negative impact on other countries. This study attempts to see and project the impact of the Fed's two monetary policies, namely Quantitative Easing and Tapering, on foreign capital flows in the Indonesian stock and bond markets during the 2008 Global Financial Crisis and the 2020 Covid-19 pandemic. Using the Vector Autoregression (VAR), this study finds the impact of Quantitative Easing (QE) and tapering on foreign capital flows, stock market performance and government bond yields. The impact of QE led to foreign capital inflows, an increase in the composite index, and a decrease in government bond yields. Meanwhile, tapering led to a decrease in capital inflows, a decrease in the composite index, and an increase in government bond yields. However, the effects caused by Quantitative Easing (QE) and tapering are only temporary and do not affect the financial market significantly.

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Keterbukaan ekonomi antar negara kini semakin terlihat karena tentunya dapat berdampak baik bagi negara itu sendiri. Namun dibalik keuntungan tersebut terdapat resiko yaitu adanya spillover effect terhadap kebijakan suatu negara yang berdampak negatif bagi negara lain. Studi ini mencoba melihat dan memproyeksikan dampak dua kebijakan moneter The Fed, yaitu Quantitative Easing dan Tapering, terhadap aliran modal asing di pasar saham dan obligasi Indonesia selama Krisis Keuangan Global 2008 dan pandemi Covid-19 2020. Dengan menggunakan Vector Autoregression (VAR), penelitian ini menemukan dampak Quantitative Easing (QE) dan tapering terhadap aliran modal asing, kinerja pasar saham dan imbal hasil obligasi pemerintah. Dampak QE menyebabkan aliran masuk modal asing, peningkatan indeks komposit, dan penurunan imbal hasil obligasi pemerintah. Sementara itu, tapering berdampak pada penurunan aliran modal masuk, penurunan IHSG, dan peningkatan imbal hasil obligasi pemerintah. Namun, efek yang ditimbulkan oleh Quantitative Easing (QE) dan tapering hanya bersifat sementara dan tidak mempengaruhi pasar keuangan secara signifikan."

"Penelitian ini membahas dampak kebijakan Quantitative Easing QE AS terhadap dinamika perubahan harga Surat Utang Negara SUN di Indonesia periode 2003-2013. Peneliti menggunakan teknik autokorelasi perubahan harga SUN dalam periode sebelum, selama, dan antar tahap QE untuk melihat dampaknya terhadap pergerakan harga SUN. Hasil penelitian membuktikan bahwa kebijakan QE berdampak terhadap dinamika perubahan harga SUN. Dampak tersebut terjadi pada periode sebelum dan selama QE,sedangkan pada periode antar fase QE, harga SUN cenderung mendekati efisien.

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The research provides the impact of USA Quantitative Easing QE on the price changes of Indonesia government bond SUN in 2003 2013. This study examine the autocorrelation of SUN rsquo s price changes before, during, and between the phases of USA QE to identify its impact. The research finds the evidence that USA QE have an impact to the SUN rsquo s price changes. This impact appears before and during USA QE, while between its phases, the SUN rsquo s price changes tend to be efficient."