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An ardl approach to identify bank landing channel in Indonesia

Author

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  • Akhsyim Afandi

    (Faculty of Economics Universitas Islam Indonesia)

Abstract

This paper tests whether the bank lending channel works in Indonesia. It develops an error correction representation of the Autoregressive Distributed Lag (ARDL) model of two bank credit markets. Each model takes account of one structural break associated with the 1998 financial crisis. The date of the crisis is determined by a unit root test that includes two structural breaks. Instead of Johansen?s cointegrating procedure, bounds test procedure is implemented. The estimated error correction model for both markets suggests that bank loans adjust more strongly towards loan supply, implying that monetary-induced disturbances in bank loans originate from the supply side.

Suggested Citation

  • Akhsyim Afandi, 2009. "An ardl approach to identify bank landing channel in Indonesia," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 1(1), pages 46-59, April.
    • Handle: RePEc:uii:journl:v:1:y:2009:i:1:p:46-59
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    References listed on IDEAS

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    More about this item

    Keywords

    bank lending channel; unit root; structural breaks;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • F13 - International Economics - - Trade - - - Trade Policy; International Trade Organizations

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