<![CDATA[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.]]>
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