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1 2 23 VAR Mishkin 2, 22, 24 Clvo nd Reinhrt 2, 22 Eichengreen 22 VAR 1

2 1 Full-fledged Infltion Trgeting FFIT Infltion Trgeting Lite ITL 2 ITL 2 3 ITL SBI 3 4 OPEC Schechter, Stone nd Zelmer 2Stone 23 FFIT ITL 3 ITL FFIT Mishkin 2, 22 FFIT SBPU

3 SBI 2 SBI VAR 6 SBI SBI VAR A xt = c + A1 x t 1 + ε t ε t i. i. d.(, D) A 1 A x = A c + A 1 1 t = A x 1 t 1 + A 1 ε t A k B x t + u t VAR 7 Bnk Indonesi 25 A 3

4 Bord of Governors SBI CPI SBI SBI 1 Bnk Indonesi Press Relese

5 SBI SBI F 1% 5% 1 2 SBI SBI 2 SBI IMF Interntionl Finncil Sttistics 1 Rmkrishnn nd Vmvkidis 22 5

6 3 3 1 VAR OP P Y SB SBI M M2H R OP H HR Christino Eichenbum nd Evns 1999 VAR 14 VAR 11 web site IMF Interntionl Finncil Sttistics CD-ROM Shioji 2 VAR VAR 14 VAR Blnchrd nd Quh 1989 VAR Gli

7 VAR AD AS VAR VAR 15 SBIC Schwrz Bysin Informtion Criterion 1 OP P Y SB M H R VAR SBI H H VAR P P P P 1 3Y 4Y 5Y 1 5SB 6SB 1 5M 6M 3H 1 6H Pt Pt e Yt Yt e ( 3R ) SBt SBt e = c + A( L) + M t M t e H t H t e 1 Rt Rt e Pt Yt MP. SBt Mt Ht Rt 6 P Y Y P P 16 Y IS = SB P Y H 17 1 Y = 2R 15 Sims, Stock nd Wtson Kim 1999 Shioji 2 Christino, Eichenbum, nd Evns

8 SB M LM 2 R = 4 R = R R R HR 19 4 H HR H R H 61.8 HR H 4 1 H HR H HR 3 H 4 HR 2 SB H M SB H P Y 18 Bnk Indonesi MP SB = SB ( P, Y, H, R) + emp. SB 8

9 H H 2 H SB H R SBI H P Y SB M H R Strongin

10 4 HR P Y SB M H R HR SB H M H H H R H P P Strongin 1995Christino, Eichenbum, nd Evns 1999 H 4 1

11 P P P H 8 HR P R HR P H P H R HR HR H R SBI 24 3 HR 24 SB P 2.9 SB P H R SB 2 HR 11

12 3 HR 24 H P 3.51 M 2.45 R P M 5.53 SB H R 1 M P P SBI Y SB 1.6% H 4.3% SBI VAR SBI 12

13 23 1 SBI 22 F p SBI Q Q2 2 M1 24 M SBI Bnk Indonesi Bnk Indonesi Report for the Finncil Yer 13

14 SBIC 1 2 H HR 2 p VAR 2 H HR 14

15 SB Bnk Indonesi, Improving Economic Outlook for 25, Infltion under Control, Press Relese, 25. Blnchrd, O. J., nd D. Qu h, The Dynmic Effects of Aggregte Demnd nd Supply Disturbnce, Americn Economic Review 79, 1989, pp Clvo, Guillermo A. nd Crmen M. Reinhrt, Fixing for Your Life, NBER Working Pper 86, November 2. Fer of Floting The Qurterly Journl of Economics Vol. CXVII, My 22. Christino, L. J., M. Eichenbum nd C. Evns, Monetry Policy Shocks: Wht Hve We Lerned nd to Wht End? in J. B. Tylor nd M. Woodford, eds., Hndbook of Mcroeconomics 3 A, Amsterdm : Elservier Science B. V., 1999, pp Eichengreen, Brry, Cn Emerging Mrkets Flot? Should They Infltion Trget? Revision of pper presented to seminr t the Centrl Bnk of Brzil, Februry 22. Enders, Wlter, Applied Econometric Time Series, New York: John Weily & Sons, Glí, Jordi, How Well Does the IS-LM Model Fit Postwr U.S. Dt? Qurterly Journl of Economics 17, 1992, pp Kim, Soyoung, Do Monetry Policy Shocks Mtter in G-7 Countries? Using Common I dentifying Assumptions bout Monetry Policy cross Countries, Journl of Interntionl Economics 48, 1999, pp Mishkin, Frederic S., Infltion Trgeting in Emerging Mrket Countries, NBER Working Pper 7618, Mrch 2. Monetry Polcy Strtegies for Emerging Mrket Countries: Lessons from Ltin Americ, Comprtive Economic Studies Vol. XLIV, No.2, 22, pp Cn Infltion Trgeting Work in Emerging Mrket Countries? NBER Working Pper 1646, July 24. Romkri shnn, U., nd Vmvkidis, A., Forecsting Infltion in Indonesi, IMF Working Pper, June 22. Schechter, A., Stone, M.R., nd Zelmer, M., Adopting Infltion Trgeting:Prcticl Issues for Emerging Mrket Countries, IMF Occsionl Pper, No.22, 2. 15

16 Shioji, Etsuro, Identifying Monetry Policy Shocks in Jpn, Journl of the Jpnese nd Interntionl Economies 14, 2, pp Sims, C., Stock, J. H., nd Wtson, M. M., Inference in Liner Time Series Models with Some Unit Roots, Econometric 58, 199, pp Stone, M rk R., Infltion Trgeting Lite, IMF Working Pper WP/3/12, Jnury 23. Strongin, Steven, The Identifiction of Monetry Policy Disturbnces : Explining the Liquidity Puzzle, Journl of Monetry Economics 35, 1995, pp VAR pp VAR September 21 pp No pp

1 1 1 [2000]

* 2000 7 26 1 1 1 [2000] 1 2 1 2 2 1 B to C 250000 億円 200000 日本米国 213,200 150000 100000 50000 0 153,600 106,900 71,100 66,620 42,700 43,860 22,500 26,940 15,340 645 3,360 7,730 1998 年 1999 年 2000 年 2001

インフレ・ターゲティング 採用後における

インフレ・ターゲティング採用後における