The Dynamics of Credit Procyclicality and Stability of Macroeconomics in Indonesia
Abstract
Credit growth is one of the important indicators of the financial system that can drive the country economic growth, but on the other hand credit growth can also cause risks in the financial system due to the economic actors’ moral hazard. The purpose of this research is to analyze the credit procyclicality pattern and economic growth in Indonesia. In addition, this study aims to determine the relationship pattern between credit and some macroeconomic variables. The method used is VECM with quarterly time series data during 1998 until 2016. The analysis shows that credit growth and economic growth have positive causality. This shows pro-cyclicality between credit and economic growth in Indonesia. However, in the long run this pattern shows a downward trend although still positive and permanent, which means that excessive credit growth can also lead to a decline in economic growth.
Downloads
Download data is not yet available.
References
Ananzeh, I. E. N (2016) Relationship between Bank Credit and Economic Growth: Evidence from Jordan, 7(2). https://doi.org/10.5430/ijfr.v7n2p53
Beck T, Demirgu A, Levine R (2006) Bank concentration, competition, and crises: First results, 30, 1581–1603. https://doi.org/10.1016/j.jbankfin.2005.05.010
Bouvatier V, López-villavicencio A, Mignon V (2014) Short-run dynamics in bank credit: Assessing nonlinearities in cyclicality. Economic Modelling, 37, 127–136. https://doi.org/10.1016/j.econmod.2013.10.027
D, O. O. O. P (2016) Commercial Banks Credit and the Growth of Small and Medium Scale Enterprises: The Nigerian Experience, 7(6), 23–30. https://doi.org/10.9790/5933-0706042330
Drehmann M, Sorensen S, Stringa M (2006) Integrating credit and interest rate risk: A theoretical framework and an application to banks balance sheets.
English WB (2002) Interest rate risk and bank net interest margins. BIS Quarterly Review, part 7, December 2002, (December), 67–82.
Friedman BM (1981) The Roles of Money and Credit in Macroeconomic Analysis. NBER Working Paper Series (831).
IMF (2014) Annual Report 2014.
Garcia-escribano M, Han F (2015) Credit Expansion in Emerging Markets: Propeller of Growth?
He, et al (2016) The key factors of outstanding credit balances among revolver: a case study of a bank in China. Procedia - Procedia Computer Science, 91(Itqm), 341–350. https://doi.org/10.1016/j.procs.2016.07.091
Hernando I, Lo JD, Andre J (2004) The role of the financial system in the growth – inflation link : the OECD experience, 20, 941–961. https://doi.org/10.1016/j.ejpoleco.2003.10.007
Bank Indonesia (2016) Memperkuat Resiliensi.
Insurance, I. D. insurance C (2015). Perekonomian dan Perbankan.
Bank Indonesia (2014) Perkembangan Ekonomi dan Kebijakan Moneter, 1–23.
Kim D, Yu J, Hassan MK (2017) Financial Inclusion and Economic Growth in OIC Countries. https://doi.org/10.1016/j.ribaf.2017.07.178
Korkmaz S (2015) Impact of Bank Credits on Economic Growth and Inflation. Journal of Applied Finance and Banking, 5(1), 51.
Kraft E (2005) Does speed kill? Lending booms and their consequences in Croatia, 29, 105–121. https://doi.org/10.1016/j.jbankfin.2004.06.025
Laporan Tahunan Perbankan (2014) Laporan tahunan perbankan.
Levine R., Zervos S, Levine BR (2008). Stock Markets, Banks, and Economic Growth, 88(3), 537–558.
Li, et A (2016) PT US CR. Expert Systems with Applications. https://doi.org/10.1016/j.eswa.2016.05.029
Lowe P (2002) BIS Working Papers Credit risk measurement and procyclicality, (116).
Maes K (1994) Interest Rate Risk in the Belgian Banking Sector, (2), 157–179.
Mandel BR, Seydl J (2016) Credit conditions and economic growth: Recent evidence from US banks, 147, 63–67. https://doi.org/10.1016/j.econlet.2016.08.017
OJK (2015) Potensi Pertumbuhan Ekonomi ditinjau dari Penyaluran Kredit Perbankan Kepada Sektor Prioritas Ekonomi Pemerintah.
OJK (2016) Survei Nasional Literasi dan Inklusi Keuangan.
Rob J (1997) Financial Development and Economic Growth: Views and Agenda, XXXV(June), 688–726.
Ronald MK (2014) Money and Capital in Economic Development by Ronald I . McKinnon Review by : W . W. Rostow The American Political Science Review , Vol . 68 , No . 4 ( Dec ., 1974 ), pp . 1822-1824 Published by : American Political Science Association American Political, 68(4), 1822–1824.
Shin S, Hook S, Ibrahim MH (2016) Credit expansion and financial stability in Malaysia. Economic Modelling, (October 2015), 1–12. https://doi.org/10.1016/j.econmod.2016.10.013
Stiglitz JE (2016) The Theori of Credit and macro-Economic Stability.
Thierry B, Jun Z, Doumbe D (2016) Causality Relationship between Bank Credit and Economic Growth: Evidence from a Time Series Analysis on a Vector Error Correction
Beck T, Demirgu A, Levine R (2006) Bank concentration, competition, and crises: First results, 30, 1581–1603. https://doi.org/10.1016/j.jbankfin.2005.05.010
Bouvatier V, López-villavicencio A, Mignon V (2014) Short-run dynamics in bank credit: Assessing nonlinearities in cyclicality. Economic Modelling, 37, 127–136. https://doi.org/10.1016/j.econmod.2013.10.027
D, O. O. O. P (2016) Commercial Banks Credit and the Growth of Small and Medium Scale Enterprises: The Nigerian Experience, 7(6), 23–30. https://doi.org/10.9790/5933-0706042330
Drehmann M, Sorensen S, Stringa M (2006) Integrating credit and interest rate risk: A theoretical framework and an application to banks balance sheets.
English WB (2002) Interest rate risk and bank net interest margins. BIS Quarterly Review, part 7, December 2002, (December), 67–82.
Friedman BM (1981) The Roles of Money and Credit in Macroeconomic Analysis. NBER Working Paper Series (831).
IMF (2014) Annual Report 2014.
Garcia-escribano M, Han F (2015) Credit Expansion in Emerging Markets: Propeller of Growth?
He, et al (2016) The key factors of outstanding credit balances among revolver: a case study of a bank in China. Procedia - Procedia Computer Science, 91(Itqm), 341–350. https://doi.org/10.1016/j.procs.2016.07.091
Hernando I, Lo JD, Andre J (2004) The role of the financial system in the growth – inflation link : the OECD experience, 20, 941–961. https://doi.org/10.1016/j.ejpoleco.2003.10.007
Bank Indonesia (2016) Memperkuat Resiliensi.
Insurance, I. D. insurance C (2015). Perekonomian dan Perbankan.
Bank Indonesia (2014) Perkembangan Ekonomi dan Kebijakan Moneter, 1–23.
Kim D, Yu J, Hassan MK (2017) Financial Inclusion and Economic Growth in OIC Countries. https://doi.org/10.1016/j.ribaf.2017.07.178
Korkmaz S (2015) Impact of Bank Credits on Economic Growth and Inflation. Journal of Applied Finance and Banking, 5(1), 51.
Kraft E (2005) Does speed kill? Lending booms and their consequences in Croatia, 29, 105–121. https://doi.org/10.1016/j.jbankfin.2004.06.025
Laporan Tahunan Perbankan (2014) Laporan tahunan perbankan.
Levine R., Zervos S, Levine BR (2008). Stock Markets, Banks, and Economic Growth, 88(3), 537–558.
Li, et A (2016) PT US CR. Expert Systems with Applications. https://doi.org/10.1016/j.eswa.2016.05.029
Lowe P (2002) BIS Working Papers Credit risk measurement and procyclicality, (116).
Maes K (1994) Interest Rate Risk in the Belgian Banking Sector, (2), 157–179.
Mandel BR, Seydl J (2016) Credit conditions and economic growth: Recent evidence from US banks, 147, 63–67. https://doi.org/10.1016/j.econlet.2016.08.017
OJK (2015) Potensi Pertumbuhan Ekonomi ditinjau dari Penyaluran Kredit Perbankan Kepada Sektor Prioritas Ekonomi Pemerintah.
OJK (2016) Survei Nasional Literasi dan Inklusi Keuangan.
Rob J (1997) Financial Development and Economic Growth: Views and Agenda, XXXV(June), 688–726.
Ronald MK (2014) Money and Capital in Economic Development by Ronald I . McKinnon Review by : W . W. Rostow The American Political Science Review , Vol . 68 , No . 4 ( Dec ., 1974 ), pp . 1822-1824 Published by : American Political Science Association American Political, 68(4), 1822–1824.
Shin S, Hook S, Ibrahim MH (2016) Credit expansion and financial stability in Malaysia. Economic Modelling, (October 2015), 1–12. https://doi.org/10.1016/j.econmod.2016.10.013
Stiglitz JE (2016) The Theori of Credit and macro-Economic Stability.
Thierry B, Jun Z, Doumbe D (2016) Causality Relationship between Bank Credit and Economic Growth: Evidence from a Time Series Analysis on a Vector Error Correction
Published
2021-08-23
How to Cite
LESTARI, Ni Putu Nina Eka et al.
The Dynamics of Credit Procyclicality and Stability of Macroeconomics in Indonesia.
Jurnal Ekonomi Kuantitatif Terapan, [S.l.], p. 351-368, aug. 2021.
ISSN 2303-0186.
Available at: <https://ojs.unud.ac.id/index.php/jekt/article/view/74440>. Date accessed: 05 nov. 2024.
doi: https://doi.org/10.24843/JEKT.2021.v14.i02.p07.
Section
Articles
Certificate
