CREDIT DOWNTURN IN THE AFTERMATH OF INDONESIAN CRISIS 1997 REVISITED: AN APPLICATION OF ARDL BOUNDS TESTING APPROACH
Abstract
Studi ini bertujuan mengestimasi persamaan jangka panjang permintaan kredit dan penawaran
kredit di Indonesia dengan menggunakan teknik pengujian kointegrasi yang relatif baru, yaitu teknik autoregressive distributed lag (ARDL) bounds testing. Data yang digunakan adalah data kuartalan pada periode 1985Q1-2004Q2.
Hasil estimasi menunjukkan bahwa permintaan kredit dan penawaran kredit memiliki hubungan jangka panjang (terkointegrasi) dengan faktor-faktor yang mempengaruhinya. Selain itu, pengujian CUSUM dan CUSUMSQ menunjukkan bahwa koefisien kedua persamaan jangka panjang tersebut memiliki stabilitas. Plot estimasi permintaan kredit dan penawaran kredit menunjukkan bahwa lambatnya proses pemulihan penyaluran kredit setelah krisis di Indonesia lebih banyak disebabkan oleh lemahnya permintaan kredit.
Keywords:ARDL, cointegration, bounds testing, ECM, credit, Indonesia
JEL Classification: C32, C52, E51
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References
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