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All Journal Jurnal Akuntansi dan Bisnis
Ariefianto, Doddy
Binus University
Economics, Econometrics & Finance

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How Do Macroeconomic Shocks Affect Banks’ Net Interest Margin? Evidence from a Dynamic Panel of Indonesian Bank Ariefianto, Doddy; Lim, Brian Steven; Gunadi, Hans; Gunawan, Sabrina
Jurnal Akuntansi dan Bisnis Vol 26, No 1 (2026): In Progress
Publisher : Accounting Study Program, Faculty Economics and Business, Universitas Sebelas Maret

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20961/jab.v26i1.1645

Abstract

This study investigates how macroeconomic shocks—specifically policy rate changes, exchange rate fluctuations, and real economic growth—affect banks’ Net Interest Margin (NIM) in Indonesia. Utilizing a monthly panel of 91 banks from 2012 to 2023, we estimate a Panel Vector Autoregression (PVAR) model and apply a dynamic multiplier framework to trace the temporal effect of each macro shock on NIM. The results indicate that NIM adjusts to these shocks in a time-limited and convergent manner, typically over a 6–12 month horizon. Notably, increases in the policy rate or real GDP growth are associated with a short-run decline in NIM, whereas exchange rate changes do not exert a statistically significant influence. Additional analyses across bank ownership types, size segments, and the COVID-19 period reveal considerable heterogeneity in shock transmission patterns. These findings emphasize the importance of differentiating bank-specific attributes and market contexts in understanding the pricing behavior of financial intermediation under macroeconomic stress.
Co-Authors Gunadi, Hans Gunawan, Sabrina Lim, Brian Steven