MEKANISME TRANSMISI KEBIJAKAN MONETER SYARIAH DAN ASSETS PRICE BUBBLE DI INDONESIA

Aula Ahmad Hafidh Saiful Fikri, NIM.: 19300016007 (2022) MEKANISME TRANSMISI KEBIJAKAN MONETER SYARIAH DAN ASSETS PRICE BUBBLE DI INDONESIA. Doctoral thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

This study aims to analyze the interrelationship shock of monetary policy, Islamic banking asset variables, asset prices, and Indonesia’s macroeconomic performance in a simultaneous structural equation. It examines the effectiveness of monetary policy using monthly data from 2003 to 2020. The variables used are BI 7-Days (Reverse) Repo Rate, Sharia SBI (Bank Indonesia Certificate), Money Assets, Financing, Interest Rate Equivalence, Composite Stock Price Index, Indonesia Sharia Stock Index, Average Bond Return, Residential Property Price Index, Gold Price, Inflation and Industrial Production Index analyzed in the Structural Vector Autoregression (SVAR) model. The volatility of this variable was associated with structural shocks of other variables separately and analysis of response variance for all variables. The analysis begins by detecting the presence of a price bubble in the IDX, IDXS, BOND, HPI, and GOLD asset types. The ADF Right Tail analysis results show that almost all assets studied contain bubbles except BOND assets. The bubble can be identified by both the time (time span) and the duration (date stamping). The detected bubbles do not show any alarming symptoms. The monetary policy transmission mechanism runs according to the objective of promoting economic growth and inflation stability, through Islamic monetary variables and asset prices, although only for a short period. This research applies identification and restriction to the model to be able to prove the theory of Lean Against the Wind (LATW). Asset prices did not respond significantly to shocks to Bank Indonesia’s policies and changes in the balance sheet of Islamic banking. This result does not imply that monetary policy is the only contributor to extreme changes in asset prices. The economy is open to capital mobility and a capital market that is still not perfect, with high information asymmetry and dominant herding behavior. It is characterized by an impulse response that quickly returns to its original balance. There is no permanent change when there is a shock on both sides. The research results simultaneously contribute to the novelty of the LATW mechanism, which is not working, where monetary policy is indifferent to volatility and asset price bubbles, which means neither Lean Against nor Clean up the Mess. Islamic banking still plays a role in forming the asset price bubble that occurs in non-Islamic common stock assets, meaning that many asset portfolios are still placed in stocks, thus affecting their variability and volatility. If Islamic bank asset management is allocated to assets containing a bubble, the sharia principles are still not perfectly implemented

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