Anwar Cep Jandi, Suhendra Indra, Purwanda Eka, Salim Agus, Rakhmawati Nur Annisa, Jie Ferry
Department of Economics, Faculty of Economics and Business, University of Sultan Ageng Tirtayasa, Banten, 42118, Indonesia.
STIE STEMBI, Bandung Business School, Bandung, Indonesia.
Heliyon. 2023 Jul 17;9(7):e18229. doi: 10.1016/j.heliyon.2023.e18229. eCollection 2023 Jul.
Using a novel panel data set we study the influence of monetary and macro-prudential policies on non-performing loans as a measure of credit risk in Indonesian banking industry from Q1 2010 to Q4 2022. The panel homogeneity assumption was verified through the utilization of the Chow and Roy-Zellner tests. The findings showed that the model was not homogenous, necessitating the use of the Pooled Mean Group (PMG) estimator. The results indicated that monetary and macro-prudential policies significantly impacted credit risk. Furthermore, tight monetary and macro-prudential policies increased and reduced credit risk in the long run, respectively. The findings also showed that a loosening monetary policy reduced credit risk in the short run. Therefore, higher authorities must establish effective monetary and macro-prudential policies to reduce the non-performing loan ratio and maintain credit risk in Indonesia's banking industry.
利用一个全新的面板数据集，我们研究了2010年第一季度至2022年第四季度期间，货币和宏观审慎政策对印度尼西亚银行业不良贷款的影响，以此作为信用风险的衡量指标。通过运用Chow检验和Roy-Zellner检验对面板同质性假设进行了验证。结果表明该模型并非同质，因此有必要使用聚合平均组（PMG）估计量。结果显示，货币和宏观审慎政策对信用风险有显著影响。此外，从长期来看，紧缩的货币和宏观审慎政策分别增加和降低了信用风险。研究结果还表明，宽松的货币政策在短期内降低了信用风险。因此，上级当局必须制定有效的货币和宏观审慎政策，以降低不良贷款率并维持印度尼西亚银行业的信用风险。
