PERBANKAN INDONESIA : MODELLING RESPON KREDIT BANK UMUM, BERBASIS VECTOR ERROR CORRECTIONMODEL (VECM)

Abstract

The ultimate goal of this research is to create a model of relationship credit development in Indonesian banking in the dimensions of short term and long term. The rate of growth of credit in commercial banks is associated with the determining factors, such as interest rates SBI and IPI (industrial production index) as an external deteminator. Meanwhile, bank's internal factors are shown by NIM (net interest margin), DPK (third party funds / public deposits), and NPL (non performing loans). The focus of the study is to determine the co-integration and equilibrium response by reviewing the credit of the determining factors. The database used is the banking and financial macroeconomic monthly from March 2003 to April, 2014. Analysis technique using VAR (vector auto regression). The results of the unit roots test for any study variables showed no stationary at level; but stationary in first differences; and proved there is an co-integration. From the data, such as the condition of VAR type VECM (vector error correction model) is more appropriate. From the results of VECM output shows that the long-term variable NPL Deposits has negative effect and significant; Variable IPI and NIM has a positive influence, significantly, while SBI positive effect, not significant. Speed of adjustment coefficient of 1.0245% (meaning: each month the error is corrected by 1.0245% to the long-term equilibrium). While the short-term equation proves that the variable DPK; SBI, IPI and NIM negative effect, significant. While the positive effect of NPL in credit growth in Indonesia. The results of the analysis of IRF (impulse response function) and (forecast error variance decomposition) showed that the rate of credit growth of commercial banks in a row (from large to small) is affected by the shock of the credit itself (+), DPK (-), IPI (+), NPL (+), NIM (+) and SBI (-) on the development of credit. Conclusions, credit growth of commercial banks in Indonesia is more influenced by internal factors rather than external factors banking.
Keywords: Credit, Bank,SBI. IPI,DPK, NPL, VAR & VECM