The asymmetric relationship between macroeconomic determinants and non-performing loans: evidence from the banking industry of Indonesia
Non-Performing Loans (NPLs) represent a risk that can significantly affect the financial performance of banks. This study aims to examine the macroeconomic determinants of NPLs in the Indonesian banking industry from 2005Q1 to 2019Q4. It adopts a novel approach, namely the nonlinear autoregressive d...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English English |
| Published: |
Bank Indonesia Institute
2023
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/107391/7/107391_The%20asymmetric%20relationship%20between%20macroeconomic%20determinants_SCOPUS.pdf http://irep.iium.edu.my/107391/8/107391_The%20asymmetric%20relationship%20between%20macroeconomic%20determinants.pdf http://irep.iium.edu.my/107391/ https://bulletin.bmeb-bi.org/cgi/viewcontent.cgi?article=2049&context=bmeb |
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| Summary: | Non-Performing Loans (NPLs) represent a risk that can significantly affect the financial performance of banks. This study aims to examine the macroeconomic determinants of NPLs in the Indonesian banking industry from 2005Q1 to 2019Q4. It adopts a novel approach, namely the nonlinear autoregressive distributed model and provides evidence that changes in macroeconomic conditions have an asymmetrical
effect on NPLs in conventional banks, conventional rural banks, Islamic banks, and Islamic rural banks. In addition, Islamic banks have greater asymmetrical exposure to
macroeconomic variables than their counterparts. |
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