The Effect of Exchange Rates and Interest Rates of Four Large Economies on the Health of Banks in ASEAN-3

• 발행기관: 한국유통과학회
• 저자명: Rudi PURWONO Jopie TAMTELAHITU M. Khoerul MUBIN
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 7 No.10, 591~599쪽, 전체 9쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2020.10.30

영문 초록

This study examines how the health of the banks in ASEAN-3 countries namely Indonesia, Malaysia and Thailand respond to the change in exchange rates and foreign interest rates in four large economies. The transmissions of the two external factors through domestic factors in each ASEAN-3 countries eventually affects Non-Performing Loan (NPL) of commercial banks. This study uses the monthly time series data and the renowned Structural Vector Autoregressive (VAR) model comprising five variables, namely exchange rate, foreign interest rate, domestic interest rate, money supply, and non-performing loan (NPL). The results indicate that there are different effects between ASEAN-3 countries, which can be classified as short-run effect and long-run effect. In the long run effect, external factors have a dominant role in determining NPL in ASEAN-3 countries. Yuan has the biggest effect on Malaysia’s NPL, while Indonesia is more affected by European interest rates rather than the fluctuation of the US currency and China’s interest rates. Among ASEAN-3 countries, Malaysia is the one that is the most vulnerable to external factors. While Thailand’s NPL is affected dominantly by domestic factors. This study shows that the Fed Funds Rate (US official interest rate) is not always the dominant factor affecting the health of domestic banks in ASEAN-3.

목차

1. Introduction

2. Literature Review

3. Methodology

4. Data Analysis

5. Discussion and Recommendation

References

키워드

Exchange Rates Interest Rates Non-Performing Loan ASEAN Structural VAR