DAMPAK KREDIT PERBANKAN TERHADAP SEKTOR RIIL DAN FINANSIAL: MODEL STRUCTURAL VECTOR AUTOREGRESSIVE (SVAR) INDONESIA

Abstract

This study aims to estimate a structural 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 decompositions (FEDVs) are employed to track the impact of credit to real and financial sectors. The empirical results of 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 Government of Indonesia should design an effective policy in order to encourage the role of banking industry to strengthen the real sectors