House prices and Islamic bank stability in Indonesia : evidence from autoregressive distributed lag (ARDL) model
This study examines the effect of house prices on Islamic bank stability in the long run and their short run dynamic interactions with real output and interest rate for the case of Indonesia. As bank risks may response differently to the shock of house prices, the aggregate and disaggregate house pr...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2018
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| Online Access: | http://journalarticle.ukm.my/20169/ http://journalarticle.ukm.my/20169/1/17274-88574-1-PB.pdf |
| _version_ | 1848815032172806144 |
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| author | Sukmana, Raditya Setianto, Rahmat Heru |
| author_facet | Sukmana, Raditya Setianto, Rahmat Heru |
| author_sort | Sukmana, Raditya |
| building | UKM Institutional Repository |
| collection | Online Access |
| description | This study examines the effect of house prices on Islamic bank stability in the long run and their short run dynamic interactions with real output and interest rate for the case of Indonesia. As bank risks may response differently to the shock of house prices, the aggregate and disaggregate house price indices, namely, small house price indices, medium house price indices and large house price indices, are applied in the analysis. By employing autoregressive distribution lag (ARDL) test for co-integration, we find the presence of long run relationship between house prices, Islamic bank risk and macroeconomic variables. A long run relationship is also found for the medium and large-house prices’ indices. The estimated long run coefficient is found to be supportive to the deviation hypothesis. Furthermore, results from the impulse response functions (IRFs) and error correction mechanism (ECM) reflect the short run dynamic interactions between house prices and bank credit. The results from disaggregate analysis reveal that only small-house prices have the relationship with Islamic bank risk, and interestingly, the results support the deviations hypothesis. Our findings have important implications for bankers, monetary authority and investors in determining policy and business decisions especially in stabilizing house price for low income earners. |
| first_indexed | 2025-11-15T00:43:31Z |
| format | Article |
| id | oai:generic.eprints.org:20169 |
| institution | Universiti Kebangasaan Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T00:43:31Z |
| publishDate | 2018 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | oai:generic.eprints.org:201692022-10-21T03:20:55Z http://journalarticle.ukm.my/20169/ House prices and Islamic bank stability in Indonesia : evidence from autoregressive distributed lag (ARDL) model Sukmana, Raditya Setianto, Rahmat Heru This study examines the effect of house prices on Islamic bank stability in the long run and their short run dynamic interactions with real output and interest rate for the case of Indonesia. As bank risks may response differently to the shock of house prices, the aggregate and disaggregate house price indices, namely, small house price indices, medium house price indices and large house price indices, are applied in the analysis. By employing autoregressive distribution lag (ARDL) test for co-integration, we find the presence of long run relationship between house prices, Islamic bank risk and macroeconomic variables. A long run relationship is also found for the medium and large-house prices’ indices. The estimated long run coefficient is found to be supportive to the deviation hypothesis. Furthermore, results from the impulse response functions (IRFs) and error correction mechanism (ECM) reflect the short run dynamic interactions between house prices and bank credit. The results from disaggregate analysis reveal that only small-house prices have the relationship with Islamic bank risk, and interestingly, the results support the deviations hypothesis. Our findings have important implications for bankers, monetary authority and investors in determining policy and business decisions especially in stabilizing house price for low income earners. Penerbit Universiti Kebangsaan Malaysia 2018 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/20169/1/17274-88574-1-PB.pdf Sukmana, Raditya and Setianto, Rahmat Heru (2018) House prices and Islamic bank stability in Indonesia : evidence from autoregressive distributed lag (ARDL) model. Jurnal Pengurusan, 52 . pp. 73-84. ISSN 0127-2713 https://ejournal.ukm.my/pengurusan/issue/view/1093 |
| spellingShingle | Sukmana, Raditya Setianto, Rahmat Heru House prices and Islamic bank stability in Indonesia : evidence from autoregressive distributed lag (ARDL) model |
| title | House prices and Islamic bank stability in Indonesia : evidence from autoregressive distributed lag (ARDL) model |
| title_full | House prices and Islamic bank stability in Indonesia : evidence from autoregressive distributed lag (ARDL) model |
| title_fullStr | House prices and Islamic bank stability in Indonesia : evidence from autoregressive distributed lag (ARDL) model |
| title_full_unstemmed | House prices and Islamic bank stability in Indonesia : evidence from autoregressive distributed lag (ARDL) model |
| title_short | House prices and Islamic bank stability in Indonesia : evidence from autoregressive distributed lag (ARDL) model |
| title_sort | house prices and islamic bank stability in indonesia : evidence from autoregressive distributed lag (ardl) model |
| url | http://journalarticle.ukm.my/20169/ http://journalarticle.ukm.my/20169/ http://journalarticle.ukm.my/20169/1/17274-88574-1-PB.pdf |