Analysis of the macroeconomic impact towards the NPL national banking in Indonesia: The study of macro-economic shock using vector autoregression models

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Abstract

This paper specifically examines the macroeconomic impact of the NPL of individual banks using dynamic analysis. Model PVAR proposed as an analytical tool because of its advantages analyze the interdependence between banks in a group of commercial banks in conducting business activities (BOOK), considering the heterogeneity of the bank, the factors that make up the diversity of the bank (unobservable variables), analytical transmission ortogonalisasi Cholesky as well and dynamics of the relationship between variables macro with the bank's internal variables. This method will be very useful for dynamic studies of individual data bank in the banking industry.

Original languageEnglish
Pages (from-to)396-416
Number of pages21
JournalEuropean Research Studies Journal
Volume20
Issue number3
Publication statusPublished - 1 Jan 2017

Keywords

  • Banking sector (E42)
  • Credit (E51)
  • Exchange rate (F32)
  • Interest rate (E43)
  • Panel (C33)
  • PVAR (C32)

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