2022 FEB – UB International Conference

October 14th – 15th, 2022

Does Macroprudential
Policy Matter for Financial
Resilience in Indonesia?

1. Dr. Zainuri, M.Si

2. Dr. Sebastiana Viphindrartin, M.Kes
3. Dr. Regina Niken Wilantari, S.E.,
M.Si.
4. Tyas Arthasari
5. Moh. Rifqi Fathoni
 INTRODUCTION
 After the 2008–2009 financial crisis, financial resilience has
become a hot economic topic.
 Financial Resilience are closely related to a stable financial
system.
 An unstable of financial system tends to be vulnerable to
various fluctuations that disrupt the economic activities.
 The effectiveness of monetary and macroprudential policy
transmission was also hampered by an unstable financial
sector.
 The optimal strategy for enhancing financial resilience in the
post-Covid-19 era is a combination of banking policies
implemented through monetary and macroprudential
instruments.

2022 FEB – UB International Conference

October 14th – 15th, 2022
 PROBLEM STATEMENT
 This study focuses on the interaction
between monetary and macroprudential
policy in Indonesia to Improve Financial
Resilience through a financial system
stability approach.
 Macroprudential will used capital and
liquidity channel.
 Monetary policy used interest rate and
exchange rate channel.

2022 FEB – UB International Conference

October 14th – 15th, 2022
 RESEARCH METHODOLOGY
• This is a quantitative study that uses secondary data
and is then measured using mathematical or
computational statistical techniques. The secondary
data came from BRI's monthly financial statements,
BNI's monthly financial statements, Mandiri's monthly
financial reports, Bank Indonesia, the World Bank, and
the Central Statistics Agency (BPS).

2022 FEB – UB International Conference

October 14th – 15th, 2022
 RESEARCH METHODOLOGY
• The vulnerable year of research was chosen as 2013-
2020 because there are economic phenomena that
have a significant impact on the ASEAN economy, such
as the 2008 financial crisis, the British exit (brexit), and
the COVID-19 pandemic.
• This study made use of Monetary instruments include
the CAR and the GWMLDR, as well as the BI rate and
the exchange rate. Bank z score is a proxy for financial
resilience.

2022 FEB – UB International Conference

October 14th – 15th, 2022
 RESULT
Descrptive Statistic: process of collecting, presenting,
and compiling the tested data to provide a
comprehensive description and description of the data's
condition.
Table 1. Statistic Descriptive Result
Variable Min. Maks. Mean Std. Deviation

Bank score 0.691454 6.275853 3.016876 1.63148

CAR 14.93 25.28 19.21926 2.174569
GWMLDR 83.51 104.49 94.47491 4.614239
ER 9.180205 9.615129 9.489918 0.107488
BI RATE 3.5 7.666667 5.622593 1.417842

2022 FEB – UB International Conference

October 14th – 15th, 2022
 RESULT
The unit root test detects the random walk trend component
in time series data or is used to create stationarity data
with a significant alpha of 5%.

Table 2. Unit Root Result

Level Test 1st Different

Variable Levin. Lin Exp. Levin. Lin Exp.

ADF ADF
& Chu-t & Chu-t

Bank score 0.0413 0.3278 Unstationer 0,0000 0,0000 Stationer

CAR 0.2942 0.3828 Unstationer 0,0000 0,0000 Stationer
GWMLDR 0.3343 0.3033 Unstationer 0,0000 0,0000 Stationer
ER 0,0000 0.0000 Stationer 0,0000 0,0000 Stationer
BI RATE 0.3883 0.7151 Unstationer 0.0015 0.0072 Stationer

2022 FEB – UB International Conference

October 14th – 15th, 2022
 RESULT
Cointegration test: is a test used to detect cointegration
(relationship) between variables. The cointegration test is
required to fulfill the long-term effect of using a lag and to
eliminate analysis bias caused by a trend in the
independent variable.

Table 3. Cointegration test result

Alternative hypothesis: common AR coefs. (within-dimension)
Weighted
Statistic Prob. Prob.
Statistic
Panel PP-Statistic -2.15664 0.0155 -2.0183 0.0218

Alternative hypothesis: individual AR coefs. (between-dimension)

Group PP-Statistic -2.05417 0.02

2022 FEB – UB International Conference

October 14th – 15th, 2022
 RESULT
ARDL panel Result (Long-term)

Table 5. P-ARDL result (long-term)

Variable Coefficient Std. Error t-Statistic Prob.*

CAR 0.09982 0.038493 2.593.159 0.0126
GWMLDR 0.029635 0.01029 2.880.067 0.0060
IR -7.363.985 0.578539 -1.272.858 0.0000
ER -7.363.985 0.578539 -1.272.858 0.0000
• CAR has a significant positive impact on the financial system's stability.
• GWMLDR has a significant positive impact on the financial system's
stability.
• The IR (BI Rate) has a significant negative impact on the financial
system's stability.
• The exchange rate has a significant negative impact on the financial
system's stability.

2022 FEB – UB International Conference

October 14th – 15th, 2022
 DISCUSSION
Capital Adequacy Ratio (CAR) and Financial Resilience.
• An increase in the number of CAR causes an increase
in the value of the banking score.
• An increase in banking capital reserves indicates the
magnitude of banking losses absorbed; this condition
will be able to support the financial system's stable
condition.
• In accordance with the high-risk-high-return
principle, the bank's size must increase profits by
increasing the complexity of its business.

2022 FEB – UB International Conference

October 14th – 15th, 2022
 DISCUSSION
GWMLDR and Financial Resilience.
• An increase in the number of GWMLDR causes the
value of the banking score to increase.
• GWM is a minimum reserve that every bank must
keep in the form of demand deposits in accordance
with Bank Indonesia regulations. LDR is a bank's
ability to meet short-term obligations, return
depositors' money at any time, and fulfill credit
requests submitted by prospective customers.

2022 FEB – UB International Conference

October 14th – 15th, 2022
 DISCUSSION
IR(BI rate) and Financial Resilience.
• The number of BI increased as a result of the negative
impact. The value of the banking score is reduced as a
result of the rate.
• Increasing credit interest rates will raise the cost of
return, increasing the risk of credit failure and
jeopardizing financial resilience.The interest rate
affects the interest of debtors and creditors in
conducting financial transactions through banking.

2022 FEB – UB International Conference

October 14th – 15th, 2022
 DISCUSSION
Exchange Rate and Financial Resilience.
• An increase in the number of Exchange Rates has a
negative impact on the value of the banking score.
• The value of money is critical in maintaining
economic conditions under various conditions.
• If the demand for foreign currency exceeds the
demand for domestic currency, the domestic currency
will depreciate. This condition will jeopardize
financial stability.

2022 FEB – UB International Conference

October 14th – 15th, 2022
 CONCLUSION
• According to the findings of this study, macroprudential policy had a
greater impact on financial resilience than monetary policy.
• Building optimism for economic recovery through collaboration is more
effective in improving financial resilience in the aftermath of a crisis.
• Monetary policy : Amid plummeting economic activity and rising
uncertainty, necessary measures should be taken to prevent further
economic deterioration, maintain exchange rate stability, and ensure the
well-functioning of the financial system.
• Macroprudential policy: Bank Indonesia continued to carry out
accommodative macroprudential policies, especially to mitigate the
widespread impact of the Covid-19 pandemic on the financial system and
to support national economic recovery. Taking into account the stability of
the financial system and also the financial cycle that is still below its long-
term equilibrium.

2022 FEB – UB International Conference

October 14th – 15th, 2022