THE EFFECTIVENESS OF MACROPRUDENTIAL POLICIES IN MITIGATING THE SYSTEMIC RISK IN INDONESIA
Downloads
This study aims to investigate the effectiveness of macroprudential policies in mitigating the systemic risk in Indonesia. The study uses quantitative descriptive analysis with the Vector Error Correction Model (VECM) and emphasizes on the impact of two macroprudential instruments applied in Indonesia; Macroprudential Liquidity Buffer (MLB) and Countercyclical Capital Buffer (CCyB) to credit growth for conventional and financing growth for Sharia bank. This study employes monthly data over the periods M12010-M102019 that obtained from Bank Indonesia's (BI) website (www.bi.go.di) and the data published monthly by Financial Service Authority (OJK); Indonesia Bank Statistic and Sharia Bank Statistic.
The result indicates that MLB has a positive impact on credit growth and negative effect financing for Sharia Bank. Otherwise, CCyB shows the opposite results, where it has a negative effect on credit growth, while in the Sharia bank, CCyB has a positive effect. Therefore, it is sufficient to conclude that MLB has a capability to curb the systemic risk for Sharia bank, whereas CCyB is effective for conventional bank.Asmara, G. C. (2018). BI Rilis Aturan Rasio Intermediasi Makroprudensial dan PLM. Retrieved December 4, 2019, from https://www.cnbcindonesia.com/market/20180405151251-17-9834/bi-rilis-aturan-rasio-intermediasi-makroprudensial-dan-plm
Bank Indonesia. (2016). Mengupas Kebijakan Makroprudensial. (C. A. Harun, S. Rachmanira, & R. Wijayanti, Eds.) (First). Jakarta: Bank Indonesia.
Bank Indonesia. Bank Indonesia Regulation Number 20/4/PBI dated 3 April 2018 concerning Macroprudential Intermediation Ratios and Macroprudential Liquidity Buffers for Conventional Commercial Banks, Sharia Commercial Banks, and Sharia Business Units (2018). Jakarta: Bank Indonesia.
Blancher, N. R., Mitra, S., Morsy, H., Otani, A., Severo, T., & Valderrama, L. (2013). Systemic Risk Monitoring ("SysMo”) Toolkit”A User Guide. IMF Working Papers, 13(168), i. https://doi.org/10.5089/9781484383438.001
Claessens, S. (2014). An Overview of Macroprudential Policy Tools (214 No. 14). Washington DC.
Claessens, S., Ghosh, S. R., & Mihet, R. (2014). Macro-Prudential Policies to Mitigate Financial System Vulnerabilities (155 No. 14). Washington DC.
Dana, B. S. (2018). Evaluation of Macro-prudential Policy on Credit Growth in Indonesia: Credit Registry Data Approach. Etikonomi, 17(2), 199–212. https://doi.org/doi: http//dx.doi.org/10.15408/etk.v17i2.7324.
Fauziyyah, N. E. (2016). Analisis Dampak Kebijakan Pelonggaran Financing to Value (FTV) terhadap Penyaluran Pembiayaan Property di Perbankan Syariah Dalam Kerangka Kebijakan Makroprudensial. State Islamic University Sunan Kalijaga.
Fendoglu, S. (2017). Credit Cycles and Capital Flows: Effectiveness of the Macroprudential Policy Framework in Emerging Market Economies. Journal of Banking Finance, 79(March), 110–128. https://doi.org/10.1016/j.jbankfin.2017.03.008
Hahm, J., Mishkin, F. S., Shin, H. S., & Shin, K. (2012). Macroprudential Policies In Open Emerging Economies (No. 17780). Cambridge.
Harun, C. A., Rachmanira, S., & Renanda, R. (2015). Kerangka Pengukuran Risiko Sistemik (No. 4). Jakarta.
IMF. (2011, March). Macroprudential Policy: An Organizing Framework. International Monetary Fund.
Jimenez, G., Ongena, S., Saurina, J., & Peydro, J.-L. (2012). Macroprudential policy, countercyclical bank capital buffers and credit supply : Evidence from the Spanish dynamic provisioning experiments (No. 231). Brussels.
Kurnianingrum, D. (2015). The Influence of Bi Rate to the Distribution of Working Capital Loans. Binus Business Review, 6(3), 356. https://doi.org/10.21512/bbr.v6i3.945
Maggiora, D. Della, & Skerman, R. (2009). Johansen Cointegration Analysis of American and European Stock Market Indices: An Empirical Study. School of Economics and Management Lund University. Lund University. Retrieved from http://lup.lub.lu.se/luur/download?func=downloadFile&recordOId=1437434&fileOId=2435486
Purnawan, M. E., & Nasir, M. A. (2015, July). The Role of Macroprudential Policy to Manage Exchange Rate Volatility , Excess Banking Liquidity and Credits. Bulletin of Monetary Economics and Banking, 21–44.
Puspitasari, I. (2016). Efektifitas Kebijakan Makroprudensial dalam Memitigasi Prosiklikalitas Kredit dan Pembiayaan Dual Banking System di Indonesia. IOSR Journal of Economics and Finance. UIN Sunan Kalijaga Yogyakarta.
https://doi.org/https://doi.org/10.3929/ethz-b-000238666
Rosadi, D. (2012). Ekonometrika dan Analisis Runtun Waktu Terapan. Yogyakarta: Penerbit ANDI.
Sakti, M. R. P., Thaker, H. bin M. T., Qoyum, A., & Qizam, I. (2018). The Concept and Practices of Macroprudential Policy in Indonesia : Islamic and Conventional. Al-Iqtishad: Journal of Islamic Economics, 10(January), 75–96.
Shi, S., Jou, J., & Tripe, D. (2014). Can interest Rates Really Control House Prices ? Effectiveness and Implications for Macroprudential Policy. Journal of Banking Finance, 47, 15–28. https://doi.org/10.1016/j.jbankfin.2014.06.012
Ubaidillah, A. K. (2019). Effektifitas Kebijakan Makroprudensial sebagai Countercyclical Penyaluran Kredit dan Pembiayaan Perbankan di Indonesia. UIN Sunan Kalijaga.
Widarjono, A. (2013). Ekonometrika Pengantar Teori dan Aplikasinya (Fifth Edit). Yogyakarta: Ekonosia-FE UII.
Authors who publish with Airlangga International Journal of Islamic Economics and Finance agree to the following terms:
- Authors retain copyright and grant AIJIEF the right of first publication with the work simultaneously licensed under a Creative Commons Attribution 4.0 International License that allows others to remix, adapt and build upon the work with an acknowledgment of the work's authorship and of the initial publication in AIJIEF.
- Authors are permitted to copy and redistribute the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in AIJIEF.
