Analisis Perilaku Interest Rate Pass Through Perbankan di Indonesia Sebelum dan Saat Pandemi Covid-19

Abstract

Derajat Interest Rate Pass Through (IRPT) adalah salah satu indikasi keefektifan hal tersebut. Adanya Pandemi Covid-19, berpotensi merubah perilaku pass through. Penelitian ini menggunakan metode ARDL dan NARDL untuk menganalisis perilaku pass through suku bunga perbankan di Indonesia baik pada produk pinjaman maupun deposito. Periode yang digunakan adalah sebelum pandemi (Januari 2017 hingga Februari 2020) dan saat pandemi (Maret 2020 hingga Desember 2022). Temuan penelitian menghasilkan kesimpulan: a) derajat pass through secara umum incomplete b) terjadi penguatan pass through saat pandemi c) pass through deposito lebih besar dibanding pinjaman d) derajat pass through jangka panjang lebih besar e) terdapat upward rigidity jangka panjang suku bunga pinjaman sebelum pandemi dan simetri saat pandemi f) terdapat downward rigidity jangka panjang dan upward rigidity jangka pendek suku bunga deposito kemudian merespon secara simetri saat pandemi.

The degree of Interest Rate Pass Through (IRPT) is one indication of the policy effectiveness. The existence of the Covid-19 Pandemic, there may be changes in pass through behavior. This study uses the ARDL and NARDL methods to analyze the pass through behavior of bank interest rates in Indonesia on both loan and deposit products. The research period divided into pre-pandemic (January 2017 untill February 2020) and during pandemic (March 2020 untill December 2022). The research findings lead to the following conclusions: a) the degree of pass through is generally incomplete b) there is a strengthening of pass through during the pandemic c) deposit pass through is greater than loans d) long term pass through is greater than short term e) there is long-term upward rigidity in loan interest rates before the pandemic and symmetry during the pandemic f) there is long-term downward rigidity and short-term upward rigidity in deposit interest rates then respond symmetrically during the pandemic.