The impact of macroeconomic variables on credit risk: Evidence from Indonesian business sector level data
M Khoerul Mubin · Arif Sugara
International Journal of Research in Business and Social Science · 2020 · Vol. 9 / Issue 5 · 235-244
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Abstract
This study aims to empirically examine the effect of macroeconomic variables on credit risk in each business sector in Indonesia. Using time-series quarterly data during the period 2011q1-2019q2, this study utilized the Autoregressive Distributed Lag (ARDL) model. The results of this study explain that macroeconomic variables namely GDP growth in the long run have a significant negative effect on credit risk in 6 sectors and in the short term have a significant negative effect on 6 sectors. Inflation has a significant positive effect in the long run on one sector, namely the provision of accommodation and provision of food and drink, and a significant negative effect on 6 sectors, in the short term inflation has a significant positive effect on 7 sectors and a significant negative effect on one sector, namely education services. The last variable is the long-term loan interest rate which has a positive effect on 7 sectors and in the short term has a significant positive effect on 6 sectors on the high value of credit risk in each business sector in Indonesia. The result indicating that macroeconomic variables have a real impact on credit risk.
Keywords: {'name': 'Credit Risk, GDP Growth, Inflation, Interest rates.'}
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M Khoerul Mubin
Affiliation not supplied
Arif Sugara
Affiliation not supplied
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