• ISSN: 2301-3567 (Print), 2972-3981 (Online)
    • Abbreviated Title: J. Econ. Bus. Manag.
    • Frequency: Quarterly
    • DOI: 10.18178/JOEBM
    • Editor-in-Chief: Prof. Eunjin Hwang
    • Executive Editor: Ms. Fiona Chu
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HOME > Archive > 2016 > Volume 4 Number 3 (Mar. 2016) >
JOEBM 2016 Vol.4(3): 195-200 ISSN: 2301-3567
DOI: 10.7763/JOEBM.2016.V4.390

Modeling the Interdependence of Consumer Loan Rates Fluctuation in Monthly among Banks by Using MGARCH and VAR

Moses Alfian Simanjuntak and Darman Mappangara

Abstract— This research paper aims to analyze the impact of the interest rates of customer loan fluctuation in monthly among banks. The study employed MGARCH model for volatilities (risk) and VAR model is helpful to describe interest rates and inflation shocks which are explained on the impulse response functions and variance decomposition analysis. The data is collected base on www.bi.go.id from the period January 2004 to October 2013. The study empirically find that the interest rate returns have clearly differently volatilities between banks. The best model for volatilities is MGARCH-BEKK where the log likelihood estimation is multivariate student’s t-distribution. Private National Banks (BSN) and Regional Government Bank (BPD) interest rate returns have top two highest volatilities (risky interest rates). There are clearly exist the interdependences among interest rate return banks and inflation. Inflation has impact on banks loan in the short term (one year). The largest shock is coming from Regional Government Bank (BPD) interest rate return that influence others. Another important implication of this study shows that the return of Commercial Banks (BU) interest rate is more sensitive and it can create the largest turbulence to the other banks loan. The Central Bank (Bank Indonesia) regulation to influence stability in monetary, must fully concern to the activities of Commercial Banks (BU) and Regional Government Bank (BPD).

Index Terms— Inflation, volatilities, impulse response functions, variance decomposition analysis.

Moses Alfian Simanjuntak is with the Doctoral Program in Banking and Finance at Padjajaran University, Bandung city, Indonesia (e-mail: mosesalfians@gmail.com).
Darman Mappangara is with the Doctoral Program in Business Management at Padjajaran University, Bandung city, Indonesia (e-mail: darman68@gmail.com).

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Cite: Moses Alfian Simanjuntak and Darman Mappangara, " Modeling the Interdependence of Consumer Loan Rates Fluctuation in Monthly among Banks by Using MGARCH and VAR," Journal of Economics, Business and Management vol. 4, no. 3, pp. 195-200, 2016.

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