文章基本信息

标题：The Impact of Macroeconomic Condition on The Banks Performance in Indonesia
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作者：Aviliani Aviliani ; Hermanto Siregar ; Tubagus Nur Ahmad Maulana 等
期刊名称：Bulletin Ekonomi Moneter dan Perbankan
印刷版ISSN：1410-8046
电子版ISSN：2460-9196
出版年度：2015
卷号：17
期号：4
页码：379-402
DOI：10.21098/bemp.v17i4.503
出版社：Bank Indonesia
摘要：This paper analyzes the impact of macroeconomic indicator (including the production index, inflation, Bank Indonesia rate, Jakarta stock index, exchange rate and the crude oil price) on the state owned banks’ performance. We apply the Vector Error Correction Model (VECM) on the banking data ranging from 2006-2013, and provide us several findings. First, the impulse response function shows the largest response of the bank overhead cost (BOPO) due to the macroeconomic shock; we argue the volatility of this bank efficiency indicator, reflects the inefficiency of the banks in Indonesian. Second, the amount of loan and the lending to deposit ratio (LDR) provide the weakest response due to the macroeconomic shock. This is in line with the result of variance decomposition, where the macroeconomic variable explains the least of the NPL variation. Third, from all macroeconomic variables we observe, the shock of Bank Indonesia’s rate generally provides the largest response of most of the bank performance indicators; which supports the use of the Bank Indonesia’s rate as effective monetary instrument.
关键词：macroeconomic shocks; state-owned banks; indicators of bank performance; VECM