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The Asymmetric Relationship Between Macroeconomic Determinants And Nonperforming Loans: Evidence From The Banking Industry Of Indonesia

Author

Listed:
  • Faaza Fakhrunnas

    (Universitas Islam Indonesia)

  • Rindang Nuri Isnaini Nugrohowati

    (Universitas Islam Indonesia)

  • Razali Haron

    (IIUM, Kuala Lumpur, Malaysia)

  • MB Hendrie Anto

    (Universitas Islam Indonesia)

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

Suggested Citation

  • Faaza Fakhrunnas & Rindang Nuri Isnaini Nugrohowati & Razali Haron & MB Hendrie Anto, 2023. "The Asymmetric Relationship Between Macroeconomic Determinants And Nonperforming Loans: Evidence From The Banking Industry Of Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 26(1), pages 145-174, March.
    • Handle: RePEc:idn:journl:v:26:y:2023:i:1f:p:145-174
    DOI: https://doi.org/10.59091/1410-8046.2049
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    More about this item

    Keywords

    Macroeconomic variables; Non-performing loans; NARDL; Indonesian banking industry;
    All these keywords.

    JEL classification:

    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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