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"The ratio of Non-Performing Loan (NPL) and Capital Adequacy Ratio (CAR) is still a measure of bank soundness in various countries including Indonesia. Interdependence across bank condition, diversity of the size, market structure within banking industry, and macroeconomic variables, may be very complex and dynamic. This paper utilizes the advantage of PVAR model on capturing this complexity to analyze the dynamic relationship between the macroeconomic variables and the soundness of the banks.The result shows NPL of banks with small asset will increases rapidly when interest rate fluctuates. For banks with large asset, the increase in interest rates leads to larger reduction on their CAR. On the other hand, the result show banks with smaller capital are less able to adapt quickly to an increase in NPL due to exchange rate depreciation, therefore banks with smaller capital should be cautious about the exchange rate risk."

"Peningkatan volatilitas aliran modal ke negara Emerging Asia mengindikasikan bahwa ada potensi dampak siklus keuangan global terhadap pasar keuangan Asia. Siklus keuangan global dapat memiliki dampak signifikan tidak hanya terhadap pertumbuhan kredit tetapi juga harga aset, termasuk harga ekuitas dan harga properti. Rey (2015) mendorong diskusi menarik mengenai siklus keuangan global. Hasilnya menemukan bahwa ada siklus keuangan global dalam arus modal, harga aset dan pertumbuhan kredit. Siklus ini bergerak bersamaan dengan VIX, sebagai ukuran ketidakpastian dan penghindaran risiko pasar.Oleh karena itu, tesis ini bertujuan untuk menganalisis respons pertumbuhan kredit dan harga aset terhadap siklus keuangan global dan mengidentifikasi pola siklus keuangan di ASEAN-4, yaitu Indonesia, Malaysia, Singapura, dan Thailand. Penelitian ini menggunakan data triwulan dari Q1 1990 sampai Q2 2016 dengan pendekatan Panel Vector Autoregressive (PVAR). Hasil penelitian ini menunjukkan bahwa respon pasar aset dan kredit terhadap guncangan siklus keuangan global negatif. Hasil ini konsisten dengan ASEAN-4 sebagai perekonomian terbuka kecil yang tetap rentan terhadap faktor global.

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An upsurge and volatility of capital flows to Emerging Asian Economies indicated that there is the potential effect of global financial cycle to emerging financial market. Global financial cycle could have a significant impact not only to credit growth but also asset prices, including equity prices and property prices. Rey (2015) has triggered an interesting discussion about global financial cycle. She found that there was a global financial cycle in capital flows, asset prices and credit growth. This cycle was co‐moves with the VIX, a measure of uncertainty and risk aversion of the markets.Therefore, this study attempts to analyze ASEAN-4 credit growth and asset price response to global financial cycle and to identify the pattern of financial cycle in ASEAN-4, namely Indonesia, Malaysia, Singapore, and Thailand. We estimate quarterly frequency data from Q1 1990 to Q2 2016 with Panel Vector Autoregressive (PVAR) approach. The result of this study showed that the response of asset markets and credit to global financial cycle shocks is negative. This result is consistent with ASEAN-4 as small open economies that remain vulnerable to the global factor."