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A Model of the Federal Funds Rate Target
James D. HamiltonRelated Papers
Kebijakan Moneter telah menjadi bagian tugas Bank Sentral. Melalui kebijakan tersebut jumlah uang yang beredar dan daya beli uang diatur sedemikian rupa agar berada pada kondisi terbaik bagi perkembangan perekonomian negara. Stabilitas perekonomian menjadi target utama dalam pelaksanaan tugas Bank Sentral. Stabilitas perekonomian diyakini sebagai kondisi dimana pertumbuhan perekonomian dapat terwujud. Bagi masyarakat secara umum, kestabilan harga merupakan sesuatu yang sangat penting khususnya bagi golongan masyarakat berpendapatan tetap. Inflasi yang tinggi seringkali dikategorikan sebagai musuh masyarakat nomor satu karena dapat menggerogoti daya beli dari pendapatan yang diperoleh masyarakat (Olfa, 2014). Bagi kalangan dunia usaha, inflasi yang tinggi akan sangat menyulitkan kalkulasi perencanaan bisnis dan dengan demikian akan berdampak buruk bagi aktivitas perekonomian dalam jangka panjang. Bagi banyak ekonom, telah terbentuk semacam kesepakatan bahwa inflasi yang tinggi akan berdampak buruk bagi proses pertumbuhan ekonomi dalam jangka panjang.
Inflasi adalah fenomena ekonomi yang tak pernah basi dalam sejarah panjang ekonomi. Inflasi menjadi pembahasan yang krusial karena mempunyai dampak yang amat luas dalam perekonomian makro. Inflasi yang tinggi akan menyebabkan memburuknya distribusi pendapatan, menambah angka kemiskinan, mengurangi tabungan domestik, menyebabkan defisit neraca perdagangan, menggelembungkan besaran utang luar negeri serta menimbulkan ketidakstabilan politik. Mengingat begitu krusialnya inflasi ini, Bank Sentral dalam tugasnya menjaga stabilitas ekonomi menetapkannya sebagai tujuan utama dalam pelaksanaan kebijakan moneternya. Dalam melaksanakan tugasnya, Bank Indonesia telah menyusun berbagai kerangka kebijakan moneter yang akan menjadi pedoman dalam langkah usaha stabilisasi ini. Kebijakan ini tentunya selalu disesuaikan dengan perkembangan dinamika ekonomi nasional dari tahun ke tahun. Perkembangan ekonomi nasioanl dan global beberapa tahun terakhir ini telah memfokuskan perhatian BI kepada masalah pengendalian inflasi. Hal ini juga didukung oleh perkembangan teori ekonomi dalam literatur dan temuan empiris di beberapa negara bahwa kebijakan moneter dalam jangka menengah panjang hanya berpengaruh pada inflasi, bukan pada pertumbuhan ekonomi (Perry Warjiyo dan Solikin, 2004). Rancangan rencana strategis dalam pengendalian inflasi yang telah dirancang oleh bank Indonesia ini lebih popular disebut dengan Inflation Targetting Framework (ITF). Sebagai implementasi dari kerangka kerja ITF tersebut, sejak tahun 2000 Bank Sentral telah menetapkan dan mengumumkan sasaran inflasi yang akan dicapai melalui kebijakan moneternya. Kebijakan ini dituangkan dalam kerangka kebijakan yang dilakukan dengan menggunakan uang primer sebagai sasaran antaranya. Kebijakan semacam ini popular disebut kerangka kebijakan dengan pendekatan kuantitas (quantity based approach).
2000 •
Abstraksi Para investor yang mempunyai kelebihan uang atau memiliki uang menganggur, dapat menginvestasikannya di pasar uang. Dia tentunya akan memilih jangka waktu dan tingkat bunga atau tingkat diskonto yang paling menguntungkan bagi dirinya. Pada sisi lain pihak-pihak yang memerlukan likuiditas seperti konglomerat atau lembaga-lembaga keuangan juga dapat memilih menawarkan sekuritas jangka pendek, seperti Commercial paper, sebagai sumber dana untuk memenuhi
European Journal of Anaesthesiology
Reaksi Pasar Modal Atas Kenaikan The Federal Funds Rate Pada Tanggal 26 September 2018In the modern economic system, the role of the capital market is very important as a place where emiten and investors meet. Internal information and external information are needed by investors as a basis for consideration in investment decision making. By looking at the presence or absence of average abnormal returns and average trading volume activity around the event period, this study aims to examine the market reaction to the Federal Funds Rate increase on September 26, 2018. LQ45 is a stock index used as a sample in this study using a purposive sampling technique as a method in sample selection. This study uses one sample t-test, paired sample t-test, and Wilcoxon signed rank test as data analysis techniques. The finding of the significance of average trading volume activity around the event period indicates that the market reacted to the FFR increase on September 26, 2018. However, the results of the study showed no significance of average abnormal return around the event per...
Social Science Research Network
Monetary and Fiscal Policy Interactions in a Micro-Funded Model of a Monetary Union2002 •
Tugas Paper disusun oleh : - Ary Bagus Octora - Riza Andri Wijaya
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66
Table 1 - Calendar of Changes in the Federal Funds Rate Target
Date of
Change
Target
Value
Target
Change
Duration
Day of
in days the Week
Date of
Change
Target
Value
1-Mar-84
15-Mar-84
22-Mar-84
29-Mar-84
5-Apr-84
14-Jun-84
21-Jun-84
19-Jul-84
9-Aug-84
30-Aug-84
20-Sep-84
27-Sep-84
4-Oct-84
11-Oct-84
18-Oct-84
8-Nov-84
23-Nov-84
6-Dec-84
20-Dec-84
27-Dec-84
24-Jan-85
14-Feb-85
21-Feb-85
21-Mar-85
28-Mar-85
18-Apr-85
25-Apr-85
16-May-85
20-May-85
11-Jul-85
25-Jul-85
22-Aug-85
29-Aug-85
6-Sep-85
18-Dec-85
7-Mar-86
10-Apr-86
17-Apr-86
24-Apr-86
22-May-86
5-Jun-86
11-Jul-86
14-Aug-86
21-Aug-86
4-Dec-86
30-Apr-87
21-May-87
2-Jul-87
27-Aug-87
3-Sep-87
4-Sep-87
24-Sep-87
22-Oct-87
28-Oct-87
4-Nov-87
9.5
9.875
10
10.25
10.5
10.625
11
11.25
11.5625
11.4375
11.25
11
10.5625
10.5
10
9.5
9
8.75
8.5
8.125
8.25
8.375
8.5
8.625
8.5
8.375
8.25
8.125
7.75
7.6875
7.75
7.8125
7.875
8
7.75
7.25
7.125
7
6.75
6.8125
6.875
6.375
6.3125
5.875
6
6.5
6.75
6.625
6.75
6.875
7.25
7.3125
7.125
7
6.8125
na
0.375
0.125
0.25
0.25
0.125
0.375
0.25
0.3125
-0.125
-0.1875
-0.25
-0.4375
-0.0625
-0.5
-0.5
-0.5
-0.25
-0.25
-0.375
0.125
0.125
0.125
0.125
-0.125
-0.125
-0.125
-0.125
-0.375
-0.0625
0.0625
0.0625
0.0625
0.125
-0.25
-0.5
-0.125
-0.125
-0.25
0.0625
0.0625
-0.5
-0.0625
-0.4375
0.125
0.5
0.25
-0.125
0.125
0.125
0.375
0.0625
-0.1875
-0.125
-0.1875
Thursday
14
Thursday
7
Thursday
7
Thursday
7
Thursday
70
Thursday
7
Thursday
28
Thursday
21
Thursday
21
Thursday
21
Thursday
7
Thursday
7
Thursday
7
Thursday
7
Thursday
21
Thursday
15
Friday
13
Thursday
14
Thursday
7
Thursday
28
Thursday
21
Thursday
7
Thursday
28
Thursday
7
Thursday
21
Thursday
7
Thursday
21
Thursday
4
Monday
52
Thursday
14
Thursday
28
Thursday
7
Thursday
8
Friday
103 Wednesday
79
Friday
34
Thursday
7
Thursday
7
Thursday
28
Thursday
14
Thursday
36
Friday
34
Thursday
7
Thursday
105
Thursday
147
Thursday
21
Thursday
42
Thursday
56
Thursday
7
Thursday
1
Friday
20
Thursday
28
Thursday
6 Wednesday
7 Wednesday
28-Jan-88
11-Feb-88
30-Mar-88
9-May-88
25-May-88
22-Jun-88
19-Jul-88
8-Aug-88
9-Aug-88
20-Oct-88
17-Nov-88
22-Nov-88
15-Dec-88
29-Dec-88
5-Jan-89
9-Feb-89
14-Feb-89
23-Feb-89
24-Feb-89
4-May-89
6-Jun-89
7-Jul-89
27-Jul-89
10-Aug-89
18-Oct-89
6-Nov-89
20-Dec-89
13-Jul-90
29-Oct-90
14-Nov-90
7-Dec-90
19-Dec-90
9-Jan-91
1-Feb-91
8-Mar-91
30-Apr-91
6-Aug-91
13-Sep-91
31-Oct-91
6-Nov-91
6-Dec-91
20-Dec-91
9-Apr-92
2-Jul-92
4-Sep-92
4-Feb-94
22-Mar-94
18-Apr-94
17-May-94
16-Aug-94
15-Nov-94
1-Feb-95
6-Jul-95
19-Dec-95
31-Jan-96
25-Mar-97
6.625
6.5
6.75
7
7.25
7.5
7.6875
7.75
8.125
8.25
8.3125
8.375
8.6875
8.75
9
9.0625
9.3125
9.5625
9.75
9.8125
9.5625
9.3125
9.0625
9
8.75
8.5
8.25
8
7.75
7.5
7.25
7
6.75
6.25
6
5.75
5.5
5.25
5
4.75
4.5
4
3.75
3.25
3
3.25
3.5
3.75
4.25
4.75
5.5
6
5.75
5.5
5.25
5.50
Target Duration
Change in days
-0.1875
-0.125
0.25
0.25
0.25
0.25
0.1875
0.0625
0.375
0.125
0.0625
0.0625
0.3125
0.0625
0.25
0.0625
0.25
0.25
0.1875
0.0625
-0.25
-0.25
-0.25
-0.0625
-0.25
-0.25
-0.25
-0.25
-0.25
-0.25
-0.25
-0.25
-0.25
-0.5
-0.25
-0.25
-0.25
-0.25
-0.25
-0.25
-0.25
-0.5
-0.25
-0.5
-0.25
0.25
0.25
0.25
0.5
0.5
0.75
0.5
-0.25
-0.25
-0.25
0.25
85
14
48
40
16
28
27
20
1
72
28
5
23
14
7
35
5
9
1
69
33
31
20
14
69
19
44
205
108
16
23
12
21
23
35
53
98
38
48
6
30
14
111
84
64
518
46
27
29
91
91
78
155
166
43
419
Day of
the Week
Thursday
Thursday
Wednesday
Monday
Wednesday
Wednesday
Tuesday
Monday
Tuesday
Thursday
Thursday
Tuesday
Thursday
Thursday
Thursday
Thursday
Tuesday
Thursday
Friday
Thursday
Tuesday
Friday
Thursday
Thursday
Wednesday
Monday
Wednesday
Friday
Monday
Wednesday
Friday
Wednesday
Wednesday
Friday
Friday
Tuesday
Tuesday
Friday
Thursday
Wednesday
Friday
Friday
Thursday
Thursday
Friday
Friday
Tuesday
Monday
Tuesday
Tuesday
Tuesday
Wednesday
Thursday
Tuesday
Wednesday
Tuesday
Table 2: Dates of Federal Open Markets Committee Meetings
Year
1984
1985
1986
1987
1988
1989
1990
FOMC Dates
January 30-31
March 26-27
May 21-22
July 16-17
August 21
October 2
November 7
December 17-18
February 12-13
March 26
May 21
July 9-10
August 20
October 1
November 4-5
December 16-17
February 11-12
April 1
May 20
July 8-9
August 19
September 23
November 5
December 15-16
February 10-11
March 31
May 19
July 7
August 18
September 22
November 3
December 15-16
February 9-10
March 29
May 17
June 29-30
August 16
September 30
November 1
December 13-14
February 6-7
March 28
May 16
July 5-6
August 22
October 3
November 14
December 18-19
February 6-7
March 27
May 15
July 2-3
August 21
October 2
November 13
December 17-18
Year
1991
1992
1993
1994
1995
1996
1997
FOMC Dates
February 5-6
March 26
May 14
July 2-3
August 20
October 1
November 5
December 17-18
February 4-5
March 31
May 19
June 30-31
August 18
October 16
November 17
December 22
February 2-3
March 23
May18
July 6-7
August 17
September 21
November 16
December 21
February 3-4
March 22
May 17
July 5-6
August 16
September 27
November 15
December 20
January 31-1
March 28
May 23
July 5-6
August 22
September 26
November 15
December 19
January 30-31
March 26
May 21
July 2-3
August 20
September 24
November 13
December 17
February 4-5
March 25
May 20
July 1-2
August 19
September 30
November 12
December 16
Table 3: Dates of FOMC Telephone Conference Calls
Year
1984
1985
1986
1987
1988
Date of Call
January 11
March 20
October 18
December 7
January 18
September 10
September 23
January 17
April 21
February 23
April 29
October 20
October 21
October 22
October 23
October 26
October 27
October 28
October 29
October 30
January 5
May 6
May 24
June 22
July 19
August 5
August 9
October 17
November 22
Year
1989
1990
1991
1992
1993
Date of Call
February 23
May 31
June 5
July 26
October 16
October 17
October 18
November 6
November 27
January 16
April 11
August 6
September 7
September 17
December 7
January 9
February 1
March 26
April 12
April 30
May 1
June 10
June 24
August 5
September 13
October 30
December 2
December 20
January 9
March 11
July 2
December 14
January 6
February 18
March 1
October 5
October 15
October 22
Wdeoh 7
Sdudphwhu Hvwlpdwhv iru DFK+4/4, Prgho iru 4<;704<;<
sdudphwhu
yduldeoh
hvwlpdwh +vwdqgdug huuru,
k
c|3 2c|3
313;8
+3138;,
q
^ 3
31;;9
+3143<,
B
frqvwdqw
71<<4
+51638,
B2
8 |3
0418:<
+319<4,
B
s|3
031863
+31545,
c|
orj olnholkrrg= 049515:
67
Wdeoh 8
Sdudphwhu Hvwlpdwhv iru DFK+3/3, Prgho iru 4<;<04<<:
sdudphwhu yduldeoh hvwlpdwh +vwdqgdug huuru,
B
frqvwdqw
5818<
+916;,
B2
8 |
04<15:
+9168,
B
m7 S|3 m
091:3
+5194,
orj olnholkrrg= 0;816<
68
Wdeoh 9
Sdudphwhu Hvwlpdwhv iru Rughuhg Surelw Prgho iru 4<;704<<:
sdudphwhu yduldeoh hvwlpdwh +vwdqgdug huuru,
Z
+ 3
5193
+3174,
Z2
7 S|3
03175
+3155,
S
041;8
+3156,
S2
0316;
+314<,
S
3138
+314<,
Se
4189
+3157,
c|
orj olnholkrrg= 04551<:
69
Wdeoh :
Phdq Vtxduhg Huuruv iru 4045 Vwhs0Dkhdg Iruhfdvwv Edvhg rq
wkh DFK prgho dqg wkh YDU iurp Hydqv dqg Pduvkdoo +4<<;,
Iruhfdvw krul}rq
YDU
DFK
4 Vwhs Dkhdg
314385 313575
5 Vwhsv Dkhdg
315384 313;6:
6 Vwhsv Dkhdg
316534 314;7<
7 Vwhsv Dkhdg
317743 316555
8 Vwhsv Dkhdg
318958 317<38
9 Vwhsv Dkhdg
319;76 319:<3
: Vwhsv Dkhdg
31;333 31;<77
; Vwhsv Dkhdg
31<3<6 414889
< Vwhsv Dkhdg
413364 416864
43 Vwhsv Dkhdg
41446< 41<445
44Vwhsv Dkhdg
415768 516;95
45 Vwhsv Dkhdg
41737; 51;9;9
6:
Adjustment borrowing and borrowing assumption
2000
ASSUMP
ADJBOR
1750
1500
1250
1000
750
500
250
0
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
Seasonal borrowing and borrowing assumption
2000
ASSUMP
SEASBOR
1750
1500
1250
1000
750
500
250
0
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1994
1995
1996
Borrowing assumption minus seasonal borrowing
2000
1750
1500
1250
1000
750
500
250
0
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
Figure 2 -Responses to Different Measures of Innovations in the Federal Funds Rate
Response of EM
Response of P
0.1
0.10
0.0
0.05
-0.1
0.00
-0.2
-0.05
-0.3
-0.10
-0.4
-0.15
0
1
2
3
4
5
EMVAR
6
7
8
9
EM25
10
11
0
1
2
3
EM0
4
5
6
PVAR
Response of PCOM
7
8
P25
9
10
11
P0
Response of NBRX
0.4
14
12
0.2
10
8
0.0
6
-0.2
4
2
-0.4
0
-0.6
-2
0
1
2
3
4
5
PCVAR
6
7
8
9
PC25
10
11
0
1
2
3
PC0
4
NBVAR
5
6
7
NB25
Response of M2
0.6
0.4
0.2
0.0
-0.2
0
1
2
3
4
M2VAR
5
6
7
M225
8
9
10
11
M20
Notes:
- 12 Lag VAR as originally estimated in Evans and Marshall, 1998 (EV).
- Suffix "VAR" refers to the actual IRF from the EV paper.
- Suffix "25" refers to the IRF when the target shock is 0.25.
- Suffix "0" refers to the IRF when the target shock is given by expectations.
8
9
NB0
10
11
Iljxuh Fdswlrqv
Iljxuh 41 Wrs sdqho= dgmxvwphqw eruurzlqj dw wkh Ihg glvfrxqw zlqgrz +gdvkhg olqh,
dqg wkh Ihg Wudglqj Ghvn*v eruurzlqj dvvxpswlrq +vrolg olqh,1
Plggoh sdqho= vhdvrqdo
eruurzlqj dw wkh Ihg glvfrxqw zlqgrz +gdvkhg olqh, dqg wkh Ihg Wudglqj Ghvn*v eruurzlqj
dvvxpswlrq +vrolg olqh,1 Erwwrp sdqho= wkh eruurzlqj dvvxpswlrq plqxv vhdvrqdo eruurzlqj1
Iljxuh 51
H hfw rq ) n iru ' fc c c ri gl huhqw gh qlwlrqv ri dq lqqrydwlrq
lq wkh Ihg ixqgv udwh1 Vrolg olqh= lqqrydwlrq phdqv d iruhfdvw huuru lq wkh YDU1 Vkruw0
gdvkhg olqh= lqqrydwlrq phdqv wkdw wkh Ihg udlvhg wkh Ihg ixqgv wdujhw1
Orqj0gdvkhg
olqh= lqqrydwlrq phdqv d iruhfdvw wdujhw fkdqjh wkdw idlohg wr pdwhuldol}h1 Gl huhqw sdqhov
fruuhvsrqg wr wkh gl huhqw hohphqwv ri )1
6;
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