Electronic Theses and Dissertation

ABSTRAK
Judul : Efek Dinamis Kebijakan Moneter Amerika Terhadap Pasar Keuangan di ASEAN-5: Pengujian Spillover Effect
Penulis : Aldha Pebriani
NIM : 2101101010122
Fakultas/Jurusan : Ekonomi dan Bisnis/ Ekonomi Pembangunan
Pembimbing : Dr. Aliasuddin, S.E., M.Si
Konsentrasi : Ekonomi Moneter

Penelitian ini menganalisis efek dinamis kebijakan moneter Amerika terhadap pasar keuangan di negara-negara ASEAN-5 melalui pengujian spillover effect. Dengan menggunakan metodologi Panel Vector Autoregression (PVAR), penelitian ini mengkaji transmisi guncangan kebijakan moneter AS terhadap variabel-variabel ekonomi makro di ASEAN-5, meliputi Produksi Industri (PI), suku bunga pinjaman (IR), nilai tukar resmi (ER), harga minyak Brent (OP), pasar saham (SM) dan Federal Fund Rate (FFR). Data penelitian mencakup observasi dari negara-negara ASEAN-5 dengan periode pengamatan yang komprehensif. Hasil analisis Granger Causality dan Impulse Response Function (IRF) menunjukkan adanya hubungan kausalitas dan respon yang signifikan antara kebijakan moneter AS dengan variabel-variabel ekonomi di ASEAN-5. Perubahan pada Federal Fund Rate memberikan dampak yang berarti terhadap dinamika pasar keuangan regional, terutama melalui jalur suku bunga dan nilai tukar. Analisis Forecast Error Variance Decomposition (FEVD) mengungkapkan kontribusi relatif dari setiap variabel dalam menjelaskan variasi variabel lainnya. Temuan ini menegaskan pentingnya koordinasi kebijakan moneter dan penguatan ketahanan sektor keuangan di kawasan ASEAN-5 dalam menghadapi guncangan eksternal dari kebijakan moneter AS.
Kata Kunci: Kebijakan Moneter, Produksi Industri, Suku Bunga, Nilai Tukar, Harga Minyak, Pasar Saham, VAR

ABSTARCT Title : Dynamic Effects of American Monetary Policy on Financial Markets in ASEAN-5: Testing the Spillover Effect. Author : Aldha Pebriani NIM : 2101101010122 Faculty/Department : Economic Bussines/ Economic Development Supervisor : Dr. Aliasuddin, S.E., M.Si Concentration : Monetary Economic This study analyzes the dynamic effects of U.S. monetary policy on financial markets in ASEAN-5 countries through spillover effect testing. Using Panel Vector Autoregression (PVAR) methodology, this research examines the transmission of U.S. monetary policy shocks to macroeconomic variables in ASEAN-5, including Industrial Production (PI), lending rates (IR), official exchange rates (ER), Brent oil prices (OP), stock markets (SM), and Federal Fund Rate (FFR). The research data encompasses observations from ASEAN-5 countries over a comprehensive observation period. Results from Granger Causality and Impulse Response Function (IRF) analyses indicate significant causal relationships and responses between U.S. monetary policy and economic variables in ASEAN-5. Changes in the Federal Fund Rate have meaningful impacts on regional financial market dynamics, particularly through interest rate and exchange rate channels. The Forecast Error Variance Decomposition (FEVD) analysis reveals the relative contribution of each variable in explaining variations in other variables. These findings emphasize the importance of monetary policy coordination and strengthening financial sector resilience in the ASEAN-5 region in facing external shocks from U.S. monetary policy. Keywords: Monetary Policy, Industrial Production, Interest Rates, Exchange Rates, Oil Price, Stock Market, VAR