Analysis of Money Demand and Supply in Indonesia Two-Stage Least
Square (2SLS)
Eva Novita Mirna Lubis
1
, Arwansyah
2
and Sri Fajar Ayu
2
1
Post Graduate of Economics, Universitas Negeri Medan, Medan, Indonesia
2
Faculty of Economics, Universitas Negeri Medan, Medan -Indonesia
Keywords: Money Demand and Supply, Gross Domestic Product (GDP), BI Rate, Consumer Price Index (CPI),
Exchange Rate (exchange rate), Two-Stage Least Square (2SLS)
Abstract: Money supply and demand play an important role in monetary policy in Indonesia's economy. This research
aims to date back the effects of product Indonesia (SNI) gross (GDP), the BI Rate, price index (CPI),
skating and exchange rates (Exchange) on demand for money and supplies in Indonesia. Data processing
using data with quantitative empirical models of demand for money is a function of product Indonesia (SNI)
gross (GDP), the BI Rate and Consumer price index (CPI). While the empirical model of money supply was
a product of Indonesia (SNI) (GDP) gross, slide price index (CPI) and exchange rates (exchange rate) over
the period 1993-2017.
1 INTRODUCTION
One of the problems that often occur in developing
countries in implementing development is how the
country maintains stability and economic growth.
Economic stability concerns the stability of prices
and the level of national income. A series of policies
can be carried out by the government in an effort to
stabilize. For example monetary policy, fiscal policy
that aims to achieve price level stability. The market
balance and price or interest rate of equilibrium is
reached when the demand and supply of money
reaches a certain point of the same equilibrium.
Request for money and supplies play an important
role in monetary policy in their respective
economies. This money is used as a means of
Exchange, that is, intangible assets or other items
that are generally accepted as payment. The money
is held is also used as a store of value although it
may be a small role in the economy.
The money can be used as a measure (medium
account), basically the price usually expressedin
units of money (Nopirin, 2008). Demand for money
in the open economy will be greatly affected by the
amount of the share, the ratio of experts through the
BI Rate and is influenced by All price index
continued to slide from time to time of the State
(Mankiw, 2000). Offer money is the amount of
money that exists in the public in the form of the
amount of cash and demand deposits then it is the
stability of the exchange rate that could be construed
as a stable exchange rate to prices of goods and
services and a stable exchange rate against
currencies other countries (Miskhin, 2009:111).
Based on the data, demand and money supply (M2)
in 1993 to 2017 fluctuates from year to year
fluctuations.
Demand and money supply (M2) in 1998 the
highest of 62.34%, a significant guardian that occurs
due to the impact of the economic crisis that affected
the demand and supply of money in Indonesia. And
guardian occurred in 2005 16.33%, this is due to the
guardian oil fuel prices. The following data on
demand and money supply (M2) is as follows:
Figure 1: The rate demand and supply of money
(M2) Indonesia Years 1994-2017.
602
Lubis, E., Arwansyah, . and Ayu, S.
Analysis of Money Demand and Supply in Indonesia Two-Stage Least Square (2SLS).
DOI: 10.5220/0009509406020608
In Proceedings of the 1st Unimed International Conference on Economics Education and Social Science (UNICEES 2018), pages 602-608
ISBN: 978-989-758-432-9
Copyright
c
2020 by SCITEPRESS – Science and Technology Publications, Lda. All rights reserved
In Act No. 23 of year 1999 on Bank Indonesia,
explained that there is a main aim and tasks of the
Bank Indonesia, which focuses on achieving and
maintaining the stability of the exchange rate of the
rupiah. Monetary instruments that a prime target to
be accomplished is the stability of rupiah value
including inflation and exchange rates. examines the
factors that influence the amount of money in
circulation.
This model is used in is the request for money
with a quadratic cost function estimation using ECM
(error correction model). The variable that is used in
is for national, money supply, interest rate Indonesia
(SNI) and exchange rates which found that the
amount of money circulating in Indonesia can
explain both phenomena of variable interest rates, to
the national level, exchange rates.
Here the money supply in the long term is
affected by the level of national and for exchange
rates. This is them is the money supply in the long
term is affected by the level of national exchange
rates for positive and negative interest rates. The
demand for money will increase if it is for real and
request refused if the nominal interest rate rises
(Manurung, 2009).
2 THEORICAL FRAMEWORK
Money demand theory aims to develop determinants
of demand for money, which is the function of
money as a means of Exchange and optimization of
the number of requests for money. The demand for
real money will be higher if real transaction is
higher, the classical theory of money demand is
reflected in Irving Fisher. Irving Fisher in the theory
of amount of money, essentially using money.
According to Keynes function Exchange not only
money but as a value such as a Bank, which was
then known as liquidity preference theory. Keynes
gives rise to uncertainty and expectations as named
approach Cambridge. However, Keynes's theory, it
is more focused on the BI rate is variable variables
important in liquid demand money (Mankiw: 2000).
Keynes in the theory of the demand for money
transaction motives,distinguishes between motive
and motives that keep the speculation. Request
money for purposes of the transaction and only in
the case, meaning that the tagline for individuals or
companies to pay cash transactions because they
think that spending often occurs earlier than the
money now (according to). This fee is not often
predetermined, so cash is needed in the hand.
Although the spending and to be expected with
money in hand, the menu is still necessary, because
to be expected is not acceptable, or transaction fees
for very important tagline is done before coming
upon request, or may transactions provide a great
advantage but with drawn before acceptance. While
the request for money for speculation, according to
Keynes, that the public wants a large amount of
money for transactions purposes, because of the
desire to give the most liquid form, apply the money.
This saves cash has a function as a value such as a
Bank or a money request for the assets of the
demand for money. Request money for speculation
this will be determined by the level of interest. The
higher the interest rate, the lower the community's
desire for cash. The reason is, if the level goes up,
the cost of holding money opportunitty Breadfruit is
smaller. Conversely, the lower the interest rate, the
greater the desire of society to hold cash (Nopirin,
2007:117).
Reflection-Flemming is an economic model
which IS-LM framework in a small open economy,
which can also be used to analyze the effect of
monetary policy on the exchange rate (Flemming,
1962, and reflection, 1962). IS-LM model and
reflection-Flemming assume that price level is fixed
and shows what causes fluctuations in the short term
for the combined. (Medyawati Yunanto, 2011).
3 RESEARCH METHOD
The research adopted annual data covering the
period 1993-2017 from the National Bureau
Statistics (BPS) and the Central Bank of Indonesia
(BI). Processing of collected data is done using
statistical program packages, such as Microsoft
Excel and Eviews 9.0.
The estimation model used in this study is Two
Stage Least Square (2SLS). The model in research is
the demand for money in the form of exponential
functions (Manurung J and A .H, 2009: 223)
and Mindell Fleming money offerings.
In
= α
0
+ α
1
In (Y
t
) + α
2
R
t
+ μ
t
(3.1)
It is known that the value of Rt = rt + πt where rt
is the real interest rate and substitution of the
nominal interest rate (Rt) with rt + πt will change the
money demand model as follows:
In
= α
0
+ α
1
In (Y
t
) + α
2
(
r
t +
π
t
)
+ μ
t
Where π
t
=
expectations of CPI, λ = α
0
+ α
1
Y
t
+ α
2
r
t
and α = α
2
InM
t
/P
t
= λ
+
α
π
t
+ μ
t
(3.2)
For example In (M
t
) = m
t
dan In (P
t
) = p
t
so that
equation (3.2) changed to: m
t
- p
t
= λ
+
α
π
t
+ μ
t
3.3)
Analysis of Money Demand and Supply in Indonesia Two-Stage Least Square (2SLS)
603
If the value of the inflation expectations of the
period (t) is the weighted average of the inflation of
the previous period:
π
t
- π
t-1
= ρ (∆p
t
- π
t-1
) 0 ≤ ρ ≤ 1 (3.4)
Based on clower or cash in advance constraint
[Y = M
t
+ B
t
], lagrange function from expected
utility and FOC or First Order Condition each of
them:
L = q u
(1 – q ) u
+ p
[Y - u Mt – Bt]
Mt, Bt, λ
= q u
1
+ (1 – q) u
1
– P = 0
= (1 – q) u
1
– P = 0
= Y - M
t
– B
t
= 0
q u
1
+ (1 – q) u
1
= (1 – q)
u
1
(1 + R)
q u
1
+ (1 – q) u
1
q u
1
(1 – q
) u
1
= R (1-q) u1
(3.5)
equations can be written in form (Manurung,
2002):
q u
1
–y
𝑃
R (1 – q) u
1
[
] –
y
𝑃
[
]
-1
=[
]
1/y
[
]
-1
]
1/y
] =
]
1/y
[
]
-1
[
]
1/r
[
] =
]
1/r
[
]
-1
[
]
1/r
[
] =
]
1/r
[
] [
]
1/r
[
]
=
]
1/r
[
] [
]
1/r
[
]
=
]
1/r
[
]
(1-y)1/r
[
]
=
]
1/r
[1+ λ]
(y-1)/y
=
/
/
(3.6A)
Mt =
/
xY (3.6B)
=
/
/
/
(3.6C)
=
/
/
xY (3.6D)
equation (3.6 A), (B, 3.6), (3.6 C) (3.6 D), each
of which describes a request for money for a
transaction and precaution and request money for
speculation. Note that [0 < q < 1] request for money
in terms of protection and functions of transactions
decreased from slide price index (CPI) and the
nominal interest rate (Rt). Request money for
speculation is the decrease in function of the
nominal interest rate (Rt) and function increases
from launching price index (CPI). Request money
for speculation will increase if the rising CPI called
Tobin effect. It is therefore named the uncertainty
and the preference element accentuates the
Personality of consumption have a significant effect
on the stock of money and speculation.
From the explanation above, the results show
that the demand for money is determined by GDP,
interest rates, and the price index (CPI) skating. So
its current status is presenting the U.S. model as
follows:
𝑀𝐼𝐷
∗
= a
0
+ a
1
GDP
t
+ a
2
R
t
+ a
3
P
t
(3.7)
a
1
> 0, a
2
< and a
3
< 0
the cost function consists of 2 components. The
first component is the cost of imbalance and the
second component is called the adjustment fee.
While the parameters b1 and b2 are the weights
given by economic agents on the two functions of
these costs.
Furthermore, by minimizing the cost function of
the equation with respect to Mt (αCt / α MIDt = 0),
the following equation is obtained:
ƌ
ƌ
- 2b
t
(M1D
t
– MID*
t
) + 2b
2
{(1-
B)M1D
t
– f
t
(1-B)Z
t
} = 0
b
1
(M1D
t
– MID*
t
) + b
2
{(1-B)M1D
t
– f
t
(1-B)Z
t
}
= 0
b
1
M1D
t
– b
1
MID*
t
+ b
2
(1-B)M1D
t
– b
2
f
t
(1-B)Z
t
= 0
b
1
M1D
t
+ b
2
(1-B)M1D
t
= b
1
MID*
t
+ b
2
f
t
(1-
B)Z
t
b
1
M1D
t
+ b
2
M1D
t
–b
2
MID
t
= b
1
MID*
t
+ b
2
f
t
(1-
B)Z
t
[
b
1 +
b
2
(1-B) M1D
t =
b
1
MID*
t
+ b
2
f
t
(1-B)Z
t
M1D
t
= c MID*
t
+ d f
t
(1-B)Z
t
+ µ
t
substituting equation (3.7) into equation (3.8),
the equation is obtained as follows:
α
0
+c α
1
GDP
t
+c α
2
R
t
+c α
3
P
t
+d f
1
(1-B) [α
0
+ α
1
GDP
t t
+ v
2
R
t
+α
3
P
t
]+ µ
t
(3.8)
M1D
t
= α
0
+ α
1
GDP
t
+ α
2
R
t
+ α 3 P
t
+ µ
t
P
t
(3.9)
In Md
t
= α
0
+ α
1
GDP
t
+ α
2
InR
t
+ α 3 InP
t
∆In Md
t
= α (In Md*
t
- In Md
t-1
)
∆In Md
t
= α Md
t
- In Md
t-1
Md
t
= Ms
t
(3.10)
UNICEES 2018 - Unimed International Conference on Economics Education and Social Science
604
α
0
+ α
1
GDP
t
+ α
2
P
t
+ α
3 R
t
=
0 +
1
GDP
t
+
2
kurs
t
-
3
R
t
α
0
+ α
1
GDP
t
+ α
2
P
t
-
0 -
1
GDP
t t
-
2
kurs
t
-
2
R
t
= -
3
R
t
+ α
3 R
t
α
0
+ α
1
GDP
t
+ α
2
P
t
-
0 -
1
GDP
t
-
2
kurs
t
= 0
(α
0
-
0
) + (α
1
-
1
) GDP
t
+ α
2
P
t
+
2
kurs
t
= 0
Ms
t
=
0 +
1
GDP
t
+
2
P
t
+
3
kurs
t
+
4
Ms
t-1
+
ε
1t
(3.12)
Ms
t
- GDP
t
=
0
+
2
P
t
+
3
kurs
t
+
4
Ms
t-1
+
+
ε
1t
The process reduce the form carried out to know
the exogenous variables in the system of
simultaneous equations. As for the form of the
reduce form is
Md
t
= Π
10
+ Π
11
GDP
t
+ Π
12
R
t
+ Π
13
P
t
+ Π
14
Md
t-1
+
ε
1t
Ms
t
= Π
20
+ Π
21
GDP
t
+ Π
22
P
t
+ Π
23
Kurs
t
+ Π
24
Ms
t-1
+
ε
1t
Where:
Md
t
: demand money (Billion Rupiah)
Ms
t
: supply money (Billion Rupiah)
GDP
t
: GDP (Billion Rupiah)
R
t
: BI Rate (%)
P
t
:
Consumer Price Indeks (%)
kurs
t :
Kurs (Rp/USD)
4 RESULT AND DISCUSSION
4.1 Models of Demand Money
The results of the estimation equation of demand
money in this research are:
Md
t
= - 4.696056 + 1.056734PDB
t
+ 0.549318 R
t
+
0.609643 P
t
+ 0. 205024Md
t-1
+ ε
1t
Gross domestic product (GDP), the BI Rate,
consumer price index (CPI) are jointly significant
effect against the request for money in Indonesia.
The results showed that the change request money
influence on the change of the gross domestic
product (GDP) in Indonesia with a coefficient of
positive 1.056734 and not significant at the 90
percent level of confidence. This shows that the
gross domestic product (GDP) increased
significantly will have no impact on the demand for
money. In accordance with the view of Keynes and
Fridmen that when gross domestic product (GDP)
rose then spending more and also so that the demand
for money increases.
The influence of variable BI Rate (R
t
) is positive
and significant at the level of not pronounced = 5%.
This research is not in accordance with the theories
of Keynes and Friedman who stated that the BI Rate
(R
t
) is high will encourage people buy more bonds
(securities) and equities and reduce cash money .
Then the regression coefficient of the consumer
price index (P
t
) by 0.609643. This means that if the
consumer price index (P
t
) rose by 100 percent will
increase the demand for money amounted to 60.09
percent. The influence of the consumer price index
(P
t
) is positive and significant at the 5% level of
confidence.
According to the theory of Keynes explained that
the lower price level with a constant nominal
amount of money, the amount of money cause rill in
terms of goods and services to be purchased then
gets bigger. The greater the amount of money in the
sense of a rill that produced the lower price levels
and cause interest rates to drop. According to
Nopirin (2009:90) which States that the increase in
the money supply will lead to a rise in the aggregate
that will have an impact on the price increase (CPI
rise).
Certain number of transactions (fixed) with each
passing day. In other words, the need for funds
(cash) unity of time is constant.
The results of this study showing that national
income (GDP) a positive effect against the amount
of money in circulation, in tune with some of the
earlier research, such as that done by Opolot (2007)
in Uganda, Prawoto (2000),Dobnik (2011) in OECD
countries, Azim P.et.al. (2010) in Pakistan, and
Dharmadasa and Nakanishi (2013) in Sri Lanka.
And research conducted Arif Widodo (2015) using
motode ECM shows the analysis results of influence
of gross domestic product against a request for
money with a model Error Correction short term
good Models do not have an effect on the demand
for money. This is because the money used in order
of wealth storage (store of value), while in the long
run, showed that the gross domestic product of
positive and significant effect against the request for
money. These results fit with the theory presented
House Classics (Quantity theory of money), that
money demand is influenced positively by revenue.
One of the characters is Fisher, who said that the
demand for money is a very liquid interest to meet
the transaction motive.
The BI Rate variable has no effect against a
request for money in Indonesia. with a coefficient of
0.549318 and greater probability (0,2472 < 0.05)
were not significant at pronounced = 5%. This
means that in the event of a change in interest rates 1
percent then requests money will increase by
0.549318 per cent, cateris paribus. This is due to be
seen based on the existing data has increased the
interest rate of 17.38% in 1997 to become 41.42% in
1998 and 12.64% decline in 1999. In the period
1997-1999 where interest rates are having
fluctuations, it is not followed by a request for
Analysis of Money Demand and Supply in Indonesia Two-Stage Least Square (2SLS)
605
money M2. Request money M2 has increased from
355,643 billion dollars in 1997 to become 577,381
billion rupiah in 1998 and had increased again
646,205 in 1999. At the time of the crisis of 1998 the
Bank Indonesia raised interest rates intended to
withdraw money in comunity by way of saving, but
the community will prefer to hold cash money rather
than save the money in the bank, because of distrust
the community's response to banking.
This is in accordance with the research
conducted by Egoumr Bossogo Philippe (2000),
Prawoto (2000), Ahmad y. Abdulkheir (2013), Cep
Jandi Anwar and m. Pipin Andria (2016) that
interest rates positive effect to a request for money.
And according to research conducted Egoumr
Bossogo, Philippe (2000) did a study about "Money
Demand in Guyana" in 1990 – 1999, with approach
to ECM. Studies conducted by Egoumr Bossogo
Philippe focus the determinants of demand for
money that is real income, interest rates, and
exchange rates to request money type M2. The
results of a regression analysis approach to ECM
pointed out that interest rates on savings has a
positive relationship to a request for money. A
decrease in the NER (Nominal Exchange Rate) and
inflation insignificant against the demand of money
in the long run. The movement of the exchange rate
is an important factor that affects the stability of
prices.
4.2 Model of Supply Money
Ms
t
= Π
20
+ Π
21
PDB
t
+ Π
22
P
t
+ Π
23
Kurs
t
+ Π
24
Ms
t-
1
+ ε
1t
Ms
t
= 17.80042 + 0.170267PDB
t
+0,673250 P
t
-
0.001213Kurs
t
+ 0.099105 Ms
t-1
+ ε
2t
Estimation model of simultaneous Bidding money in
Indonesia affected by gross domestic product
(PDBt), BI Rate (Rt), the consumer price index (Pt),
the exchange rate (Kurst).
The results showed that the regression
coefficients of influential positive Gross Domesstik
Product (GDP) of 0.7672 against Indonesia in the
money supply. How ever the probability (0,7672 <
0.05) is not significant. Then the coefficients of the
consumer price index (Pt) by 0.673250 is the
magnitude of the contribution of the consumer price
index (Pt) against the offer of money in Indonesia.
0.673250 with a positive and significant (0.000 <
0.05). If the consumer price index (pt) climbed 1
percent then the offer of money in Indonesia will be
up by 673250 percent. Then the level of the
consumer price index (Pt) to offer money in
Indonesia.
The variable exchange rate of the rupiah
(exchange rate) have a coefficient of-0.001213 is the
magnitude of the contribution of the exchange rate
of the rupiah (exchange rate) against the offer of
money in Indonesia. The regression coefficient of
the exchange rate of the rupiah (exchange rate) of
0.001213 but significant probability – (0.0007 <
0.05). If the variable exchange rate of the rupiah
(exchange rate) rose to Rp 1/dollar then offer money
in Indonesia will be down by 0.01213 percent. This
is in accordance with the theory of Mundell Fleming
(Mankiw, 2003:306-307) stating that there is a
negative relationship with the exchange rate with the
offer of money in which the higher rate then the net
exports (the difference between exports and imports)
the lower the decline it will impact on the number of
dwindling output and will cause a (GDP) fall.
From the side of the equilibrium condition of the
money market, money market and interest rate world
determine income level. This equation States that
offer real money balance M/P is equal to request L (r
*, Y). The balance of the money market was at a
time when the demand for money is equal to the
level of its bid (M/P = L (r *, Y). When central
banks increase the money supply, because the price
level is assumed to be constant, the increase in the
money supply would mean a rise in the real money
balance. The rise in the real money balance shifts the
LM curve * to the right. Shifting the LM curve * this
means an increase in income and the depreciation of
the exchange rate.
If a system of closed economy increase in the
money supply will increase spending because of
lower interest rates and encourage investment, in an
open economy transmission monetery is different.
The interest rate and the exchange rate becomes the
determining variable in the transmission mechanism.
The increase in the money supply pressing domestic
interest rates, capital flows out of the economy as
investors seek higher returns on investments
elsewhere. The flow of capital out of this in order to
protect the domestic interest rate does not fall below
the world interest rate r *.
UNICEES 2018 - Unimed International Conference on Economics Education and Social Science
606
Table 1: Two Stage Lest Square Results (demand and supply of money in Indonesia)
5 CONCLUSION
Stationary test results show that the level of the
variable demand and money supply (M2) and index
prices slide (Pt) is stationary. The variable demand
and money supply (M2), Indonesia (SNI) gross
(GDPt), BI rate (Rt), price index slide (Pt) and
exchange rate (kurst) 1 level difference stationary.
While on 2 difference stationary level there is the
variable demand and money supply (M2), Indonesia
(SNI) gross (GDPt), price index slide (Pt), and non-
stationary BI rate (Rt). The consumer price index
(Pt) influential in (simultaneous) significantly to
demand money in Indonesia. Consumer price index
(Pt), the exchange rate (Kurst) effect significantly to
The Test Results Of The Demand And Supply Of Money (Two Stage Least Square)
S
y
stem: SIMULTAN
Estimation Method: Two-Sta
g
e Least Squares
Date: 11/19/18 Time: 13:22
Sample: 1994 2017
Included observations: 24
Total s
y
stem (balanced) observations 48
Coefficien
t
Std. Erro
r
t
-Statistic Prob.
C(10) -4.696056 6.802391 -0.690354 0.4942
C(11) 1.056734 0.668506 1.580740 0.1222
C(12) 0.549318 0.467424 1.175202 0.2472
C(13) 0.609643 0.244481 2.493623 0.0171
C(14) 0.205024 0.135456 1.513592 0.1384
C(20) 17.80042 7.226855 2.463094 0.0184
C(21) 0.170267 0.571158 0.298108 0.7672
C(22) 0.673250 0.138206 4.871365 0.0000
C(23) -0.001213 0.000330 -3.679356 0.0007
C(24) 0.099105 0.108172 0.916181 0.3654
Determinant residual covariance 147.2074
Equation: MD=C(10)+C(11)*PDB+C(12)*SBI+C(13)*IHK+C(14)*MD(-1)
Instruments: MD(-1) PDB SBI IHK KURS C
Observations: 24
R-square
d
0.784435 Mean dependent va
r
16.47833
Ad
j
usted R-square
d
0.739053 S.D. dependent va
r
11.65817
S.E. of re
g
ression 5.955336 Sum squared resi
d
673.8545
Durbin-Watson sta
t
1.222581
Equation: MS=C(20)+C(21)*PDB+C(22)*IHK+C(23)*KURS+C(24)*MS(-1)
Instruments: MS(-1) PDB SBI IHK KURS C
Observations: 24
R-square
d
0.864974 Mean dependent va
r
16.47833
Ad
j
usted R-square
d
0.836547 S.D. dependent va
r
11.65817
S.E. of re
g
ression 4.713320 Sum squared resi
d
422.0923
Durbin-Watson sta
t
1.405147
Analysis of Money Demand and Supply in Indonesia Two-Stage Least Square (2SLS)
607
offer money in Indonesia.4)The exchange rate of the
Rupiah (exchange rate) have a positive influence on
the money Supply and significantly against
Indonesia.
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