Does Inflation Respond to Interest Rates Changes?

DOI

10.2991/aebmr.k.200331.034How to use a DOI?

Keywords

inflation, interest rates, Granger Causality Test, vector auto regression

Abstract

This study aims to analyse the response of inflation to changes in interest rates in Indonesia, thus analysing the inter-relations between the two variables. The analysis uses the Granger Causality Test and Impulse Response Function approach to monthly time series data for the period January 2014 to June 2018, which includes Consumer Price Index, SBI Interest Rates, Interbank Money Market Interest Rates and Deposit Interest Rates. There is one-direction causality between the SBSBI and CPI. The government responded to the inflation rate by making SBSI adjustments this indicates the operation of monetary policy. The impact of changes in the inflation rate to SBSI lasted for six months. SBSI Adjustments are transmitted on the money market through deposits and credit. Changes in deposit and credit interest rates were responded to by inflation.

Copyright

© 2020, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Rama Chandra
AU  - Sumitro Sumitro
PY  - 2020
DA  - 2020/04/06
TI  - Does Inflation Respond to Interest Rates Changes?
BT  - Proceedings of the 6th Annual International Conference on Management Research (AICMaR 2019)
PB  - Atlantis Press
SP  - 156
EP  - 159
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.200331.034
DO  - 10.2991/aebmr.k.200331.034
ID  - Chandra2020
ER  -