<p>Asynchronous Transmission of Global Uncertainty Across Credit Risk Channels</p>

Global economic uncertainty has become an increasingly important source of financial vulnerability, particularly in emerging economies with bank-based financial systems. In Indonesia, aggregate indicators such as the Non-Performing Loan ratio have remained relatively stable despite heightened global uncertainty, potentially masking underlying changes in credit risk dynamics. This study argues that reliance on aggregate measures alone may be misleading, as credit risk is multidimensional and may respond heterogeneously to external shocks. To address this limitation, this study adopts a credit risk decomposition framework, separating total credit risk into inherent credit risk, driven by borrower fundamentals and macroeconomic conditions, and mispricing credit risk, arising from banks’ lending behavior and risk assessment inefficiencies. Using quarterly data for 33 publicly listed Indonesian banks over the period 2010-2022, credit risk is decomposed through a Stochastic Frontier Analysis. The transmission of global uncertainty - proxied by the Global Economic Policy Uncertainty Index - is examined using a panel Feasible Generalized Least Squares approach. The results reveal an asynchronous transmission of global uncertainty across credit risk components. Rising global uncertainty significantly increases inherent credit risk, reflecting deteriorating borrower conditions, while simultaneously reducing mispricing credit risk, indicating more cautious bank behavior. These findings highlight the limitations of aggregate credit risk indicators and underscore the importance of a compositional approach to financial stability analysis, particularly in emerging economies exposed to global shocks.