Model Dinamis untuk Suku Bunga dan Inflasi  

Oleh:

Rahayu, Theresia Puji

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI - atma jaya
Dalam koleksi: Jurnal Manajemen vol. 2 no. 1 (Nov. 2005), page 91-102.
Topik: Vector Autoregressive; Cointegration; Variance Decomposition
Fulltext: Theresia Puji Rahayu.pdf (208.52KB)

Isi artikel

This paper investigates the relationship between nominal interest rate (SBI) and inflation rate using vector autoregression (VAR) model in monthly Indonesia data from January 2001 to August 2005. The results suggest that there is no long-run co-integration between nominal interest rate and inflation rate, in the short-run there is no relationship between nominal interest rate and inflation rate as well. The behaviour of each variable was affected by its behaviour on one period lag. Variance decomposition has showed that most (± 90%) of variance movements of each variable was caused by itself‘s variance movements.

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