Faaza Fakhrunnas, Rindang Nuri Isnaini Nugrohowati, Razali Haron, M. Anto
{"title":"THE ASYMMETRIC RELATIONSHIP BETWEEN MACROECONOMIC DETERMINANTS AND NON-PERFORMING LOANS: EVIDENCE FROM THE BANKING INDUSTRY OF INDONESIA","authors":"Faaza Fakhrunnas, Rindang Nuri Isnaini Nugrohowati, Razali Haron, M. Anto","doi":"10.59091/1410-8046.2049","DOIUrl":"https://doi.org/10.59091/1410-8046.2049","url":null,"abstract":"Non-Performing Loans (NPLs) represent a risk that can significantly affect the financial performance of banks. This study aims to examine the macroeconomic determinants of NPLs in the Indonesian banking industry from 2005Q1 to 2019Q4. It adopts a novel approach, namely the nonlinear autoregressive distributed model and provides evidence that changes in macroeconomic conditions have an asymmetrical effect on NPLs in conventional banks, conventional rural banks, Islamic banks","PeriodicalId":371782,"journal":{"name":"Bulletin of Monetary Economics and Banking","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129267044","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"THE CRUDE OIL PRICE–STOCK RETURN CONNECTEDNESS\u0000AND THE IMPACT OF THE RUSSIAN-UKRAINE WAR ON\u0000STOCK RETURNS IN EAST ASIAN COUNTRIES","authors":"C. Behera","doi":"10.59091/1410-8046.2058","DOIUrl":"https://doi.org/10.59091/1410-8046.2058","url":null,"abstract":"We contribute to the literature by investigating the connectedness between crude oil prices and stock returns and the impact of the Russia-Ukraine war on stock returns in selected East Asia countries. Using the TVP-VAR model, we find that, on average, 42.52% of shocks to an asset spill over to all other assets, whereas, on average, 57.48% of the shocks affect the asset itself. We also find that the major transmitters of shocks are the Singapore Exchange (SGX) and the Korea Exchange (KRX); they transmit at least 54% of shocks. Using the GARCH model augmented with a war dummy, we find that the recent Russia-Ukraine war has significantly impacted the Indonesian stock market.","PeriodicalId":371782,"journal":{"name":"Bulletin of Monetary Economics and Banking","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130463538","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}