REVISITING CENTRAL BANK LIQUIDITY PROVISION TOWARDS THE INTERBANK MONEY MARKET DURING GLOBAL FINANCIAL CRISIS: CASE STUDY OF INDONESIA
| Main Author: | Marwany, Hygea |
|---|---|
| Format: | bachelorthesis doc-type Bachelors |
| Bahasa: | ind |
| Terbitan: |
, 2017
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| Online Access: |
http://repository.unpad.ac.id/frontdoor/index/index/docId/7144 |
Daftar Isi:
- The impact of the global financial crisis resulted a negative sentiment on the Indonesia’s interbank money market activities as reflected in a decline of transaction volume and significant increase of overnight interbank rate. Bank Indonesia as central bank provided liquidity assistance in terms of financing facility asides of three main building blocks policies; open market operations, standing facilities and minimum reserve requirements. To analyze the effectiveness of the provision of liquidity by Bank Indonesia, this research employed a simple structural vector auto-regression model with monthly frequency data from February 2006 to September 2016. Variables used in this research are credit default swap (CDS), excess liquidity, interbank transaction volume, interbank rate spread in line with timing of liquidity provision as the implementation of monetary operations by Bank Indonesia. As lender of last resort, Bank Indonesia effectively has provided liquidity and defended the target interest rate in the interbank money market not very far from the anchor. During global financial crisis, central bank liquidity provision replaced bank’s demand for liquidity in interbank money marker. Hereinafter, financing facility shock also led to increasing excess liquidity, more interbank transaction volume and lower overnight interbank rate.