The impact of macroeconomic variables on credit risk: Evidence from Indonesian business sector level data

M. Khoerul Mubin and Arif Sugara
Additional contact information
M. Khoerul Mubin: Department of Economics, Universitas Airlangga, Surabaya, 60286,Indonesia
Arif Sugara: Department of Economics, Universitas Airlangga, Surabaya, 60286,Indonesia

International Journal of Research in Business and Social Science (2147-4478), 2020, vol. 9, issue 5, 235-244

Abstract: This study aims to empirically examine the effect of macroeconomic variables on credit risk in each business sector in Indonesia. Using time-series quarterly data during the period 2011q1-2019q2, this study utilized the Autoregressive Distributed Lag (ARDL) model. The results of this study explain that macroeconomic variables namely GDP growth in the long run have a significant negative effect on credit risk in 6 sectors and in the short term have a significant negative effect on 6 sectors. Inflation has a significant positive effect in the long run on one sector, namely the provision of accommodation and provision of food and drink, and a significant negative effect on 6 sectors, in the short term inflation has a significant positive effect on 7 sectors and a significant negative effect on one sector, namely education services. The last variable is the long-term loan interest rate which has a positive effect on 7 sectors and in the short term has a significant positive effect on 6 sectors on the high value of credit risk in each business sector in Indonesia. The result indicating that macroeconomic variables have a real impact on credit risk. Key Words: Credit Risk, GDP Growth, Inflation, Interest rates.

Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.ssbfnet.com/ojs/index.php/ijrbs/article/view/804/657 (application/pdf)
https://doi.org/10.20525/ijrbs.v9i5.804 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rbs:ijbrss:v:9:y:2020:i:5:p:235-244

Access Statistics for this article

International Journal of Research in Business and Social Science (2147-4478) is currently edited by Prof.Dr.Umit Hacioglu

More articles in International Journal of Research in Business and Social Science (2147-4478) from Center for the Strategic Studies in Business and Finance Editorial Office,Baris Mah. Enver Adakan Cd. No: 5/8, Beylikduzu, Istanbul, Turkey. Contact information at EDIRC.
Bibliographic data for series maintained by Umit Hacioglu ().