Electronic Theses and Dissertation

Penelitian ini menganalisis pengaruh transmisi kebijakan moneter terhadap stabilitas pasar finansial di Indonesia, Malaysia dan Thailand. Stabilitas pasar finansial dapat dicerminkan dari fluktuasi di pasar obligasi. Penelitian ini menggunakan model panel ARDL dengan jumlah 312 sampel data. Hasil menunjukkan bahwa transmisi kebijakan moneter melalui jalur suku bunga berpengaruh negatif terhadap obligasi dalam jangka panjang tapi tidak memiliki pengaruh dalam jangka pendek, namun analisis jangka pendek pada masing- masing wilayah menunjukkan bahwa transmisi kebijakan moneter melalui jalur suku bunga berpengaruh positif hanya di Indonesia. Penelitian ini juga memberikan gambaran yang lebih lengkap tentang bagaimana faktor-faktor seperti nilai tukar yang berpengaruh negatif dalam jangka pendek, Credit Default Swap (CDS), dan Indeks Harga Saham Gabungan (IHSG) berpengaruh positif dalam jangka panjang dan berpengaruh negatif dalam jangka pendek. Hasil yang ditemukan menciptakan pemahaman tentang faktor-faktor yang dapat mempengaruhi perilaku investor dan pelaku pasar, serta disarankan agar pemerintah dapat melakukan koordinasi antar kebijakan moneter dengan kebijakan fiskal dalam kondisi normal terlebih dalam kondisi ketidakpastian ekonomi. Penelitian selanjutnya diharapkan dapat mempertimbangkan faktor- faktor lain yang dapat mempengaruhi fluktuasi obligasi pemerintah seperti inflasi.

Kata Kunci: transmisi kebijakan moneter, pasar finansial, ketidakpastian ekonomi, ASEAN-3

This study analyses the effect of monetary policy transmission on financial market stability in Indonesia, Malaysia and Thailand. Financial market stability can be reflected by fluctuations in the bond market. This research uses ARDL panel model with 312 data samples. The results show that monetary policy transmission through the interest rate channel has a negative effect on bonds in the long run but has no effect in the short run, but short-term analysis in each region shows that monetary policy transmission through the interest rate channel has a positive effect only in Indonesia. This study also provides a more complete picture of how factors such as the exchange rate which has a negative effect in the short run, Credit Default Swap (CDS), and the composite index have a positive effect in the long run and a negative effect in the short run. This study also provides a more complete description of how factors such as exchange rates that have a negative effect in the short term, Credit Default Swap (CDS), and Composite Index have a positive effect in the long term and a negative effect in the short term. The results obtained generate an understanding of the factors that can influence the behaviour of investors and market participants, and it is recommended that the government can coordinate between monetary policy and fiscal policy both during normal conditions and in conditions of economic uncertainty. Future research is expected to consider other factors that can affect fluctuations in government bonds such as inflation. Keywords: monetary policy transmission, financial markets, economic uncertainty, ASEAN-3