Procyclicality Credit in Indonesian Banking Sector

Abstract

This study aims to analyze procyclicality in credit for the banking sector and how the credit growth and GDP growth respond to banking performance shocks and interest rates. This study used the VAR/VECM method and used time series data with quantitative and descriptive approaches. The results of this show that the long-term relationship for credit growth is significant with BI rate and BOPO and the long-term relationship for GDP growth is significant with BOPO, CAR, LDR, and BI rate. Meanwhile, for the short-term relationship, real credit growth is significant to, LDR, CAR, BI rate and BOPO and for the short-term relationship, GDP growth is significant both to CAR and BOPO.