DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE BANK PERFORMANCE IN INDONESIA: AN APPLICATION OF VECTOR ERROR CORRECTION MODEL

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dc.contributor.authorAmaliawiati, Lia
dc.contributor.authorSaudi, Mohd Haizam Mohd
dc.contributor.authorSinaga, Obsatar
dc.date.accessioned2021-02-07T13:21:40Z
dc.date.available2021-02-07T13:21:40Z
dc.date.issued2019
dc.description.abstractThe purpose of this study is to analyze how the effects of fluctuations in macroeconomic variables are that measured by economic growth, inflation rates, exchange rates and interest rates on the performance of conventional banks in Indonesia as measured by ROA, NIM, NPL, BOPO, LDR. The method used in this study is Error Correction Model (VECM) to see the response of banking performance to the presence of macro variable shocks in the long and short term, the data used is the time series data from 2000 to 2016.The results showed that based on Impulse Response Function (IRF) analysis conventional banking performance has a short-term shock to fluctuations in macroeconomic variables while based on the Variance Decomposition Model (VD), in the long-term banking performance has little effect on fluctuations in macroeconomic variables.en_US
dc.identifier.issn1943-023X
dc.identifier.urihttp://repository.widyatama.ac.id/xmlui/handle/123456789/12176
dc.language.isoenen_US
dc.publisherJournal of Advanced Research in Dynamical & Control Systems, Vol. 11, 03-Special Issueen_US
dc.subjectMacroeconomic Variablesen_US
dc.subjectBank Performanceen_US
dc.subjectVECMen_US
dc.titleDYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE BANK PERFORMANCE IN INDONESIA: AN APPLICATION OF VECTOR ERROR CORRECTION MODELen_US
dc.typeArticleen_US
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