Responses of Islamic banking variables to monetary policy shocks in Indonesia
Aula Ahmad Hafidh
Purpose This paper investigates the structural model of vector autoregression (SVAR) of the interdependent relationship of inflation, monetary policy and Islamic banking variables (RDEP, RFIN, DEP, FIN) in Indonesia. By using monthly data for the period 2001M01-2019M12, the impulse response function (IRF), forecasting error decomposition variation (FEDV) is used to track the impact of Sharīʿah variables on inflation (prices). Design/methodology/approach This research uses quantitative approach with SVAR model to reveal the problem. Findings The empirical results of SVAR, the IRF show that policy shocks have a negative impact on all variables in Islamic banking except the equivalent deposit interest rate (RDEP). The impact of both conventional (7DRR) and Sharīʿah (SBIS) policies has a similar pattern. While the transmission of Sharīʿah monetary variables as a policy operational target in influencing inflation is positive. In addition, the FEDV clearly revealed that the variation in the Sharīʿah financial sector was relatively large in monetary policy shocks and their role in influencing prices. Originality/value The empirical results of SVAR, the IRF show that policy shocks have a negative impact on all variables in Islamic banking except the equivalent deposit interest rate ‘RDEP’. The impact of both conventional “7DRR” and Sharīʿah “SBIS” policies has a similar pattern. While the transmission of Sharīʿah monetary variables as a policy operational target in influencing inflation is positive. In addition, the FEDV clearly revealed that the variation in the Sharīʿah financial sector was relatively large in monetary policy shocks and their role in influencing prices.
Year of publication: |
2021
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Authors: | Hafidh, Aula Ahmad |
Published in: |
Islamic economic studies. - [Erscheinungsort nicht ermittelbar] : Emerald Publishing Service, ISSN 2411-3395, ZDB-ID 2797317-7. - Vol. 28.2021, 2, p. 174-190
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Subject: | Islamic banking | Monetary policy transmission mechanism | Structural VAR | Geldpolitik | Monetary policy | Islamisches Finanzsystem | Islamic finance | Indonesien | Indonesia | Geldpolitische Transmission | Monetary transmission | Schock | Shock | VAR-Modell | VAR model | Malaysia |
Saved in:
freely available
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1108/IES-11-2020-0049 [DOI] |
Classification: | C32 - Time-Series Models ; E44 - Financial Markets and the Macroeconomy ; E58 - Central Banks and Their Policies |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012598392
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