Adakah Saluran Pinjaman Bank Dasar Monetari Relevan? Kajian Data Panel Dari Indonesia

Zulkefly Abdul Karim, Noraini Abdullah, Fathin Faizah Said

Abstract


ABSTRAK

Kertas ini bertujuan untuk mengkaji kerelevanan saluran pinjaman bank (bank lending channel) di Indonesia dengan menggunakan data pada peringkat bank yang bermula pada tahun 1990 hingga 2010. Kaedah data panel statik iaitu model kesan tetap (fixed effects) dan kesan rawak (random effects) telah digunakan untuk menganggar fungsi penawaran pinjaman bank di Indonesia. Selain daripada pemboleh ubah dasar monetari, beberapa pemboleh ubah makroekonomi (KDNK benar dan inflasi) dan pemboleh ubah khusus bank (saiz bank, kecairan, dan modal bank) juga diambil kira dalam menganggarkan fungsi penawaran pinjaman bank. Hasil kajian menyokong kewujudan saluran pinjaman bank di Indonesia yang menjelaskan penawaran pinjaman bank adalah berhubungan secara negatif dan signifikan dipengaruhi oleh dasar monetari. Pemboleh ubah khusus bank seperti kecairan dan nisbah modal juga signifikan dan berhubungan secara negatif, manakala saiz aset pula signifikan dan berhubungan secara positif dengan penawaran pinjaman bank.

Kata kunci: Saluran pinjaman bank; dasar monetari; data panel statik

ABSTRACT

This paper aims to investigate the relevance of bank lending channel in Indonesia by using bank level data set for a period from 1990 to 2010. A static panel data method namely fixed effects and random effects model are used in estimating the banks’ loan supply function. Besides monetary policy variable, several macroeconomic variables (real GDP and inflation), and bank characteristic variables (bank size, liquidity and bank capital) are also considered in estimating the banks’ loan supply function. The findings support the existence of bank lending channel in Indonesia, in which the banks’ loan supply is negatively and significantly influenced by monetary policy. The banks’ specific variables such as bank liquidity and bank capital ratio are statistically significant and negatively correlated, while asset size is significant and positively correlated with the banks’ loan supply.

Keywords: Bank lending channel; monetary policy; static panel data


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