Rahmat E Syabanni

This paper discusses banking competition and leader-follower relationship. Banking competition is investigated using some specification from Monti-Klein model that allows leader-follower (i.e. Stackleberg) relationship, the possibility of Cournot competition and other form of competition. We use monthly observations across 119 banks listed in Indonesia using the standard panel fixed effect methodology to absorb time-invariant unobserved heterogeneity and dynamic panel data to minimize the risks of endogeneity. The estimation suggests the leader-follower relationship among banks exist both on loan and deposit markets. The results are mostly consistent across different groups and on full sample estimates, although are quite different in magnitudes. While leader-follower relationship is dominantly occur in credit market, there are some evidence of simultaneous appearance of both leader-follower and Cournot interactions on the deposit market

Data Neraca Pembayaran Indonesia (NPI) merupakan salah satu indikator penting yang digunakan untuk menganalisis kinerja perekonomian suatu negara. Data NPI dapat digunakan untuk menganalisis transaksi ekonomi yang terjadi antara penduduk dan dengan bukan penduduk, termasuk di dalamnya menganalisis supply dan demand valas dalam kaitannya dengan pergerakan nilai tukar Rupiah. Dalam perkembangannya, selain memelihara NPI yang menggunakan pencatatan secara accrual basis, Bank Indonesia juga mengembangkan pendekatan statistik supply demand NPI secara cash basis.
Sebagaimana data NPI, data NPI cash basis juga memiliki karakteristik yang kompleks dan spesifik sehingga diperlukan kehati-hatian dalam menginterpretasikan data-data tersebut. Aliran dana valas yang tercatat pada NPI cash basis merupakan supply dan demand valas potensial dan diperkirakan memengaruhi pergerakan nilai tukar Rupiah. Namun demikian, tidak semua supply demand valas potensial ini akan menjadi supply demand valas efektif, yaitu aliran dana yang dikonversikan pada pasar valas domestik.
Penelitian ini menjelaskan komponen NPI cash basis yang merupakan supply demand valas potensial, serta menganalisis kriteria supply demand valas yang mempengaruhi nilai tukar Rupiah. Selain itu, penelitian ini juga mencoba menjelaskan selisih antara supply dan demand valas potensial dan efektif sebagai indikator ekspektasi terhadap nilai tukar Rupiah.
Hasil estimasi menunjukkan bahwa variabel supply dan demand valas efektif secara signifikan mempengaruhi nilai tukar Rupiah, sementara supply dan demand valas potensial tidak terbukti signifikan berpengaruh terhadap nilai tukar Rupiah. Selain itu, selisih antara supply dan demand valas potensial dan efektif, atau supply demand gap, juga terbukti signifikan dalam mempengaruhi nilai tukar Rupiah.

This paper discusses the interactions between monetary policy, insured deposit interest rate, and deposit rate intervention. We derive sets of behavioral equations and assumptions, and modelling the interactive dynamics between those three regulators’ policy rates. The design considers several aspects: 1. The deposit interest rate equilibrium that is set on certain money market rate, competition level in banking industry and utility maximization; 2. The process of setting the insured deposit interest rate; 3. The way of deposit interest rate capping in affecting the average deposit rate. Additionally, this paper provides model extensions and discussions that include: 1. The instantaneous effects of intervention regime changes to monetary policy transmission; 2. The effect of deposit rate capping that is set independently to monetary policy rate; 3. The effect of insured deposit interest rate setting that is fully depended to monetary policy rate; 4. Empirical estimation examples.
Several key findings of this paper are as follows: 1. The deposit guarantee may either accelerates or decelerates the monetary policy transmission to deposit interest rate, depending on its sensitivity to historical deposit rate; 2. The deposit rate capping may reduce the deposit rate equilibrium, but has no effect to the deposit rate response to the monetary policy; 3. The monetary policy transmission to the deposit interest rate will be distorted during the particular period when the deposit rate cap is first implemented, or released; 4. The result suggests that the regression of deposit rate due to the changes of monetary policy and deposit-guaranteed interest rate will suffer an endogeneity problem. Additionally, empirical estimates support the model’s prediction, and that deposit guarantee accelerates the monetary policy transmission.
Previous literatures suggest that a low policy rate, particularly during a relatively long period, may trigger the risk-taking behavior in the financial sector. This paper discusses the impact of monetary policy on risk-taking behavior in Indonesia, particularly on the banking sector. We use a proxy for risk-taking behavior of banks that are practical to form with a widely available dataset.
To estimate the impact, we use Vector Autoregressive (VAR) models and several ad hoc specifications which include the risk-taking proxy and monetary policy measures. The impulse response analysis indicates that reducing policy rate may induce the risk-taking behavior on banks. However, the time length of a loose monetary policy is more important than the level of policy rate itself. Further, there is some indication that the duration effects of monetary policy are asymmetric, and there is some nonliniearities on the relationship between policy rate and risk-taking behavior.