Monetary Policy Spillovers Between The US and Indonesian Central Bank

Muhammad, Farhan (2025) Monetary Policy Spillovers Between The US and Indonesian Central Bank. S1 thesis, Universitas Andalas.

	Text (Cover Abstrak) COVER Abstrac.pdf - Published Version Download (148kB)
	Text (BAB 1 Pendahuluan) BAB 1.pdf - Published Version Download (188kB)
	Text (BAB 5 Kesimpulan) BAB 5.pdf - Published Version Download (96kB)
	Text (Daftar Pustaka) Daftar Pustaka.pdf - Published Version Download (179kB)
	Text (Full Thesis) [FULL] THESIS DRAFT Muhammad Farhan 2010513020.pdf - Published Version Restricted to Repository staff only Download (2MB)

Abstract

This study analyzes the short-term and long-term dynamics between key macroeconomic variables, focusing on the Federal Reserve’s policy rate and its impact on financial markets. Using a Vector Error Correction Model (VECM), this research examines the relationships between the Federal Funds Rate (FEDFUNDS), U.S. Treasury yields, exchange rates, inflation, and foreign direct investment. Data from the Federal Reserve, Bank Indonesia, and the World Bank are utilized to assess these interactions. The findings indicate that the Federal Funds Rate significantly influences U.S. Treasury yields and exchange rate fluctuations. Granger causality tests show that the 10-year Treasury yield (T10Y2YM) impacts the Federal Funds Rate, suggesting a feedback loop in monetary policy. Additionally, the U.S. Dollar Index (LOG_DXY) and exchange rate (LOG_USDIDR) are crucial in determining inflation (INF_IND) and foreign direct investment (FDI_IND). The study also highlights that Indonesia’s benchmark interest rate (BI7DayRR) responds to U.S. monetary policy shifts, demonstrating global financial interdependence. The results emphasize the need for policymakers to consider international financial linkages in economic decision-making. This research contributes to a deeper understanding of monetary policy transmission and its implications for economic stability. Keywords: Monetary Policy, Interest Rates, Exchange Rates, Inflation, Federal Reserve, Financial Markets.

Actions (login required)

View Item