DAMPAK KREDIT PERBANKAN TERHADAP SEKTOR RIIL DAN FINANSIAL: MODEL STRUCTURAL VECTOR AUTOREGRESSIVE (SVAR) INDONESIA
Abstract: This study aims to
estimate a struc-tural vector autoregressive (SVAR) model of interdependent
relationships of credit with real and financial sectors in Indonesia. Using monthly data over period
2002M01-2013M04, the impulse response functions (IRFs), pass-through effect and
forecast error variance de-compositions (FEDVs) are employed to track the
impact of credit to real and financial sectors. The empirical results f IRFs and pass-through effect show that
credit shock negatively affects real commodity price dan positively to industrial
production growth, real effective exchange rate and stock market. These effects
are persistent in the long run. Moreover, the FEDVs clearly reveals that the
variation in financial sectors are relatively larger than real sectors due to
credit shock. This implies that credit is an important variable that helps to expand
financial sectors compare to real sectors in Indonesia. All together this study
recommends that credit should be considered for policy analysis and forecasting
a real as well as financial sector responses. The Govern-ment of Indonesia
should design an effective policy in order to encourage the role of banking
industry to strengthen the real sectors.
Penulis: Abdul Khaliq
Kode Jurnal: jpakuntansidd130125
