Text

Model Peringatan Dini Risiko Sistemik Pada Perbankan Indonesia Institusi Keuangan, Pasar Keuangan, Insfrastruktur Keuangan Dan Risiko Eksogen Makro Ekonomi

---

Repeated systemic risk in the banking sector suggests that new early
warning model of systemic risk, which expand variables and new method,
as a response of financial innovation trend and structural changes in
financial and banking systems was a need.
This study applied monthly secondary data of conventional banks from
Indonesia Bank, the Financial Service Authority, and BPS-Statistics Indonesia
from 2010 to 2014 for creating an early warning system and data from 2015 for
testing the validation of the model by use of the logit regression.
Early simultaneously-generated warning could detect systemic risk. Partially,
only endogeneous risk of financial institution through variables of credit,
liquidity, and capital adequacy risks; endogeneous risk of financial infrastructure
through bank run; and exogeneous risk of macro economics through variables of
inflation, bank rate and exchange rate allowing detection of systemic risk. The
model met criteria of good fit with high prediction accuracy and, based on
validity test, it indicated increased prediction accuracy.
This study resulted in early warning model of systemic risk, combining
endogenous and exogenous risks, primarily contagion and bank run in addition
to endogenous risk of financial institution and exogenous risk of
macroeconomics, by applying ratio of decreased credit availability to decreased
credit availability in percentage in the banking industry as a proxy of systemic
risk.
Novelty of the study was (1) to generate early warning model by adding and
incorporating contagion and bank run variables in addition to endogeneous risk
of financial institution and exogeneous risk of macro-economics; (2) to employ
new proxy of systemic risk; (3) to generate a study on variable of early warning
indicator for detecting systemic risk.
Keywords: Systemic risk, endogenous risk, exogenous risk, logit regression

ABSTRAK

Berulangnya risiko sistemik di sektor perbankan membutuhkan model
peringatan dini risiko sistemik baru yang mengembangkan variabel dan
metode baru sebagai reaksi terhadap trend inovasi keuangan dan perubahan
struktural dalam sistem keuangan dan perbankan.
Penelitian ini menggunakan teori kebangkrutan, teori agensi, teori asimetri
informasi dan teori risiko sistemik dengan sumber data berupa data sekunder
bulanan bank konvensional dari Bank Indonesia, Otoritas Jasa Keuangan dan
Badan Pusat Statistik tahun 2010 sampai 2014 untuk membentuk model
peringatan dini risiko sistemik dan data tahun 2015 digunakan untuk menguji
validasi model peringatan dini risiko sistemik yang terbentuk menggunakan
regresi logit.
Model peringatan dini yang terbentuk menggunakan variabel risiko kredit, risiko
likuiditas, risiko pasar risiko ketersediaan modal, bank runs, contagion inflasi,
suku bunga dan nilai tukar, dimana secara simultan, dapat digunakan sebagai
variabel peringatan dini untuk mendeteksi risiko sistemik namun secara
parsial, risiko pasar dan contagion menunjukan hasil yang tidak signifikan.
Model yang terbentuk telah memenuhi kriteria fit yang baik dan mempunyai
tingkat ketepatan prediksi yang tinggi serta berdasarkan uji validitas model
menunjukan kenaikan tingkat ketepatan prediksi.
Penelitian ini menghasilkan model peringatan dini risiko sistemik yang
menggabungkan risiko endogen dan risiko eksogen khususnya variabel
contagion dan bank run disamping risiko endogen intitusi keuangan dan risiko
eksogen makro ekonomi, dengan menggunakan rasio persentasi penurunan
ketersediaan kredit pada suatu bank dengan presentasi penurunan ketersediaan
kredit pada industri perbankan sebagai proksi risiko sistemik

Kata kunci : Risiko sistemik, risiko endogen, risiko eksogen, regresi l

---

Availability @Sekolah Pascasarjana

No copy data

Detail Information

Series Title

-

Call Number

D4518

Publisher

Bandung : ., 2017

Collation

-

Language

Indonesia

ISBN/ISSN

-

Classification

NONE

Content Type

-

Media Type

-

Carrier Type

-

Edition

-

Subject(s)

-

Specific Detail Info

-

Statement of Responsibility

-

Other version/related

File Attachment

Comments

---

You must be logged in to post a comment