THE ASYMMETRIC RELATIONSHIP BETWEEN MACROECONOMIC DETERMINANTS AND NON-PERFORMING LOANS: EVIDENCE FROM THE BANKING INDUSTRY OF INDONESIA

Authors

Faaza Fakhrunnas, Universitas Islam Indonesia, IndonesiaFollow
Rindang Nuri Isnaini Nugrohowati, Universitas Islam Indonesia, IndonesiaFollow
Razali Haron, IIUM Institute of Islamic Banking and Finance, IIUM, Kuala Lumpur, MalaysiaFollow
MB Hendrie Anto, Universitas Islam Indonesia, IndonesiaFollow

Document Type

Article

Abstract

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.

Recommended Citation

Fakhrunnas, Faaza; Nugrohowati, Rindang Nuri Isnaini; Haron, Razali; and Anto, MB Hendrie (2023) "THE ASYMMETRIC RELATIONSHIP BETWEEN MACROECONOMIC DETERMINANTS AND NON-PERFORMING LOANS: EVIDENCE FROM THE BANKING INDUSTRY OF INDONESIA," Bulletin of Monetary Economics and Banking: Vol. 26: No. 1, Article 13.
DOI: https://doi.org/10.59091/1410-8046.2049
Available at: https://bulletin.bmeb-bi.org/bmeb/vol26/iss1/13

First Page

145

Last Page

174

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

Indonesia

Affiliation

Universitas Islam Indonesia