Guncangan Suku Bunga Kebijakan Melalui Jalur Harga Saham dan Nilai Tukar

Muhammad Ruhul Affansyah Arif Wijaya, Firmansyah Firmansyah

Abstract

Penelitian ini bertujuan untuk membandingkan efektivitas antara jalur transmisi harga saham dan nilai tukar dalam mentransmisikan guncangan kebijakan moneter terhadap masing-masing sasaran makroekonomi (inflasi dan output) di Indonesia. Metode yang digunakan adalah vector error correction model (VECM), dibangun dengan membentuk dua model untuk masing-masing jalur, dan menggunakan data triwulanan dari 2008Q1 hingga 2023Q4. Hasil empiris menunjukkan adanya perbedaan peran antara kedua jalur tersebut. Pertama, jalur nilai tukar terbukti lebih efektif dalam mengendalikan inflasi, sedangkan jalur harga saham justru menunjukkan kenaikan harga sementara (price puzzle) pada awal periode. Kedua, sebaliknya, jalur harga saham lebih efektif dalam memengaruhi pertumbuhan output, sedangkan jalur nilai tukar mengalami hambatan berupa peningkatan output sementara (output puzzle) pada awal transmisi. Oleh karena itu, terdapat trade-off kebijakan di mana stabilitas harga lebih bergantung pada pergerakan nilai tukar, sedangkan pengendalian output lebih dipengaruhi oleh kondisi pasar saham.

Keywords

Mekanisme Transmisi Kebijakan Moneter; Harga Saham; Nilai Tukar; Inflasi; PDB; VECM

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DOI: https://doi.org/10.47729/indicators.v8i1.201