Menguji keberadaan structural breaks pada transmisi kebijakan moneter di Indonesia

Abstract

Purpose — This paper investigates the presence of structural breaks in order to determine the regime shift in case of Indonesia economy. Research method — We use the Bai-Perron (2003) to test the breaks within the period of January 2014 – December 2018 and Structural Vector Autoregression (VAR) to generate the model constructed to analyze the monetary transmission mechanism. Result — The result shows that there are four significant structural breaks while SVAR shows the negative relationship between SBIS and the Output and a negative relationship between PUAS and Inflation

Keywords

• monetary transmission
• structural breaks
• structural VAR