Path: Top Journal Jurnal_Keuangan_dan_Perbankan 2009

IDENTIFYING BANK LENDING CHANNEL IN INDONESIA: A VECTOR ERROR CORRECTION APPROACH WITH STRUCTURAL BREAK

Jurnal Keuangan dan Perbankan, Volume 13, Nomor 1, Januari 2009
Journal from JIPTUNMERPP / 2012-01-19 06:04:26
Oleh : Akhsyim Afandi, Diploma 3 of Finance and Banking Merdeka University Malang (jurkubank@yahoo.com)
Dibuat : 2009-01-01, dengan file

Keyword : Bank lending channel, unit root hypothesis, structural breaks, vector error correction, bank credit market and Indonesia.

There was a question whether monetary policy works through bank lending channel required a monetary-induced change in bank loans originates from the supply side. Most empirical studies that employed vector autoregressive (VAR) models failed to fulfill this requirement. Aiming to offer a solution to this identification problem, this paper developed a five-variable vector error correction (VEC) model of two separate bank credit markets in Indonesia. Departing from previous studies, the model of each market took account of one structural break endogenously determined by implementing a unit root test. A co integration test that took account of one structural break suggested two co integrating vectors identified as bank lending supply and demand relations. The estimated VEC system for both markets suggested that bank loans adjusted more strongly in the direction of the supply equation

Deskripsi Alternatif :

There was a question whether monetary policy works through bank lending channel required a monetary-induced change in bank loans originates from the supply side. Most empirical studies that employed vector autoregressive (VAR) models failed to fulfill this requirement. Aiming to offer a solution to this identification problem, this paper developed a five-variable vector error correction (VEC) model of two separate bank credit markets in Indonesia. Departing from previous studies, the model of each market took account of one structural break endogenously determined by implementing a unit root test. A co integration test that took account of one structural break suggested two co integrating vectors identified as bank lending supply and demand relations. The estimated VEC system for both markets suggested that bank loans adjusted more strongly in the direction of the supply equation

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PropertiNilai Properti
ID PublisherJIPTUNMERPP
OrganisasiD
Nama KontakDra. Wiwik Supriyanti, SS
AlamatJl. Terusan Halimun 11 B
KotaMalang
DaerahJawa Timur
NegaraIndonesia
Telepon0341-563504
Fax0341-563504
E-mail Administratorperpus@unmer.ac.id
E-mail CKOwsupriyanti@yahoo.com

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  • Editor: Wiwik Supriyanti, Dra. SS.