THE ASYMMETRIC RELATIONSHIP BETWEEN MACROECONOMIC DETERMINANTS AND NONPERFORMING LOANS: EVIDENCE FROM THE BANKING INDUSTRY OF INDONESIA

Faaza Fakhrunnas (), Rindang Nuri Isnaini Nugrohowati (), Razali Haron () and Hendrie Anto Mb ()
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Faaza Fakhrunnas: Universitas Islam Indonesia
Rindang Nuri Isnaini Nugrohowati: Universitas Islam Indonesia
Razali Haron: IIUM, Kuala Lumpur, Malaysia
Hendrie Anto Mb: Universitas Islam Indonesia

Bulletin of Monetary Economics and Banking, 2023, vol. 26, issue 1, 145-174

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

Keywords: Macroeconomic variables; Non-performing loans; NARDL; Indonesian banking industry (search for similar items in EconPapers)
JEL-codes: E60 G20 G21 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:26:y:2023:i:1f:p:145-174

DOI: 10.59091/1410-8046.2049

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