INTERAKSI DINAMIS ANTARA PASAR MODAL DAN PASAR UANG: BUKTI DARI NEGARA ASEAN-5

Ahmad Kholid Ubaidillah, NIM.: 19208012028 (2023) INTERAKSI DINAMIS ANTARA PASAR MODAL DAN PASAR UANG: BUKTI DARI NEGARA ASEAN-5. Masters thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

This study aims to see the dynamic interaction between the capital market and the money market within the framework of monetary policy transmission in ASEAN-5 countries (Indonesia, Malaysia, Philippines, Singapore, and Thailand). The variables used are SPI as a proxy from the capital market, MMR as a proxy from the money market, REER as a proxy for the exchange rate, Consumer Price Index (CPI), and Industrial Production Index (IPI) during the period January 2010 to July 2020 using the Panel Vector Error Correction Model (PVECM) method. The test results showed that MMR had a significant positive effect on SPI in the long and short term. REER has a significant positive effect on SPI in the long run. Meanwhile, CPI and IPI have a significant negative effect on SPI in the short term.

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