Analysis of the Macroeconomic Impact towards the NPL National Banking in Indonesia: The Study of Macro-Economic Shock Using Vector Autoregression Models

Mahjus Ekananda
European Research Studies Journal, Volume XX, Issue 3A, 396-416, 2017
EOI: 10.11214/thalassinos.20.04.025

Abstract:

This paper specifically examines the macroeconomic impact of the NPL of individual banks using dynamic analysis. Model PVAR proposed as an analytical tool because of its advantages analyze the interdependence between banks in a group of commercial banks in conducting business activities (BOOK), considering the heterogeneity of the bank, the factors that make up the diversity of the bank (unobservable variables), analytical transmission ortogonalisasi Cholesky as well and dynamics of the relationship between variables macro with the bank's internal variables.This method will be very useful for dynamic studies of individual data bank in the banking industry.


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