An Ardl Approach to Identify Bank Landing Channel in Indonesia
This paper tests whether the bank lending channel works in Indonesia. It develops an error<br />correction representation of the Autoregressive Distributed Lag (ARDL) model of two bank<br />credit markets. Each model takes account of one structural break associated with the 1998<br /&...
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| Format: | Article |
| Language: | English |
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Universitas Islam Indonesia
2011-09-01
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| Series: | Economic Journal of Emerging Markets |
| Online Access: | http://jurnal.uii.ac.id/index.php/JEP/article/view/2284 |
| Summary: | This paper tests whether the bank lending channel works in Indonesia. It develops an error<br />correction representation of the Autoregressive Distributed Lag (ARDL) model of two bank<br />credit markets. Each model takes account of one structural break associated with the 1998<br />financial crisis. The date of the crisis is determined by a unit root test that includes two<br />structural breaks. Instead of Johansen’s cointegrating procedure, bounds test procedure is<br />implemented. The estimated error correction model for both markets suggests that bank<br />loans adjust more strongly towards loan supply, implying that monetary-induced disturbances<br />in bank loans originate from the supply side.<br />Keywords: bank lending channel, unit root, structural breaks |
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| ISSN: | 2086-3128 2502-180X |