DYNAMIC RELATIONSHIP BETWEEN CAPITAL INFLOWS AND BANK LENDING: THE ROLE OF COMMODITY PRICE AND GLOBAL FINANCIAL MARKET SHOCKS

Doni Satria; Nachrowi Djalal Nachrowi; Telisa A. Falianty; Iskandar Simorangkir

doi:10.21098/BEMP.V24I4.1170

DYNAMIC RELATIONSHIP BETWEEN CAPITAL INFLOWS AND BANK LENDING: THE ROLE OF COMMODITY PRICE AND GLOBAL FINANCIAL MARKET SHOCKS

Doni Satria, Nachrowi Djalal Nachrowi, Telisa A. Falianty, Iskandar Simorangkir

Department of Economics

Research output: Contribution to journal › Article › peer-review

Abstract

This paper investigates the dynamic relationship between capital inflows and bank lending in Indonesia. We use a Structural Vector AutoRegression (SVAR) model that allows exogenous international commodity prices and global financial market fluctuations to influence capital inflows. We find that commodity price shocks are more important as compared to global financial shocks in explaining the variance of capital inflows in the long run. Furthermore, shocks from capital inflows lead to a change in bank lending allocation across economic sectors.

Original language	English
Pages (from-to)	589-630
Number of pages	42
Journal	Buletin Ekonomi Moneter dan Perbankan
Volume	24
Issue number	4
DOIs	https://doi.org/10.21098/BEMP.V24I4.1170
Publication status	Published - 2021

Keywords

Bank lending
Capital inflows
Commodity price shocks
Financial stability

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abstract = "This paper investigates the dynamic relationship between capital inflows and bank lending in Indonesia. We use a Structural Vector AutoRegression (SVAR) model that allows exogenous international commodity prices and global financial market fluctuations to influence capital inflows. We find that commodity price shocks are more important as compared to global financial shocks in explaining the variance of capital inflows in the long run. Furthermore, shocks from capital inflows lead to a change in bank lending allocation across economic sectors.",

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DYNAMIC RELATIONSHIP BETWEEN CAPITAL INFLOWS AND BANK LENDING: THE ROLE OF COMMODITY PRICE AND GLOBAL FINANCIAL MARKET SHOCKS

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