Penerapan Model Vector Autoregressive (VAR) pada Analisis Pengaruh Makroekonomi terhadap Profitabilitas PT Bank Rakyat Indonesia Tbk

Abstract

The Vector Autoregressive (VAR) model is a multivariate approach to time series analysis used to evaluate the dynamic relationship between endogenous variables in a system. However, if there is evidence of a cointegration relationship between variables, then a more appropriate approach is the Vector Error Correction Model (VECM). VECM is able to handle short-term dynamics while correcting imbalances in the long run. This research is motivated by the importance of economic growth as the main indicator in measuring the performance of a country, with a focus on the banking sector. The purpose of the study is to analyze the effect of inflation and interest rates on Return on Assets (ROA) PT Bank Rakyat Indonesia Tbk. Based on the cointegration test results, there is a long-term relationship between inflation, interest rates, and ROA variables. However, the Granger causality test does not show any direct causal relationship among the three, either in one-way or two-way. Variance Decomposition analysis shows that in the long run, inflation has a 20.85% influence on ROA fluctuations, while the contri bution of interest rates is relatively smaller at 6.04%. In contrast, the majority of ROA f luctuations (73.11%) are influenced by internal bank factors. Thus, the implication of this finding indicates that although the direct effect of inflation and interest rates on ROA is not dominant in the short term, the contribution of inflation remains significant in influencing long-term ROA fluctuations. The results of this study are expected to serve as an empirical basis in the formulation of strategic policies in the banking sector as well as broader macroeconomic policies.