FAKTOR-FAKTOR YANG MEMENGARUHI RISIKO KREDIT DI BANCO NACIONAL DE COMERCIO DE TIMOR-LESTE

BELO, ISAC BERNARDINO, Eny Sulistyaningrum, M.A., Ph.D.

2017 | Tesis | S2 Ekonomika Pembangunan

Commercial Bank are susceptible to non-performing loans due to credit as a main source of income of a Commercial Bank from loans. However, the bank's management was made efforts through common assessments based 5C, otherwise still be potentially exposed to credit risk. The mean purposed of this thesis is to test how the variables of CPI, Interest rate (SB) and Return on Asset (ROA) are influence Credit Risks or Non-Performing Loan (NPL) at Banco Nacional Commercial de Timor Leste (BNCTL). The numbers of observation data used was 40 numbers, in the form of quarterly bases since period 2004 - 2013. The data were collected from quarterly Reports published by Timor-Leste National Statistics Department, Banco National de Commercial de Timor-Leste and through Bank Supervision Department at the Banco Central de Timor-Leste and the Department of Economics at the Banco Central de Timor Leste. The analysis technique used on this thesis is multiple linear regression and the hypothesis testing is used t-statistic for testing the coefficient partial regression and F-statistic to test the effect simulant with the 0.05 significance level of tracking error. Before being tested by multiple linear regression. first, tested the classical assumptions in might to test the normality of the data. Thereafter, results of the tested show that 55.11 percent with simultaneous test of independent variables in this research model affect the risks of loans or Non-Performing Loans at BNCTL. While the rest of 44.89 percent was influence by other variables outside of in this research model. It can be concluded that the available data is normal or eligible to be a multiple linear regression model. From the analysis of the partial ROA is positive and not significant to the credit risk of 0.0871, or 9 percent. the independent variable of interest rate (ir) is positive and most significant to credit risk of 1.406 or 14.06 percent and meaning that if the Interest rate (ir) increased by 1 percent the credit risk or Non-Performing Loans of Bank will be increased 1.406 percent or increased more Interest - rate or in balance./Bank Umum Konvensional rentan terkena kredit bermasalah karena kredit sebagai sumber pendapatan utama dari sebuah Bank Umum Konvensional berasal dari kredit. Namun demikian, manajemen bank telah melakukan upaya berdasarkan melalui penilaian umum 5C akan tetapi masih berpotensi terkena risiko kredit. Tujuan dari penelitian ini adalah untuk mengetahui seberapa besar pengaruh variabel IHK atau inflasi, Suku Bunga (SB) dan ROA terhadap risiko kredit atau Non Performing Loan (NPL) di Banco Nacional Commercio de Timor Leste di Timor Leste. Jumlah data observasi yang digunakan adalah 40 dalam bentuk kuartalan untuk periode 2004.1-2013.4. Data diperoleh dari laporan publikasi kuartalan dari Departemen Statistik Nasional Timor Leste, Banco Nasional de Comercio de Timor Leste, Departemen Pengawasan Bank di Banco Central de Timor Leste dan Departemen Ekonomi di Banco Central de Timor Leste. Teknik analisis yang digunakan adalah regresi linear berganda dan uji hipotesis menggunakan t- statistik untuk menguji koefisien regresi parsial serta F-statistik untuk menguji pengaruh secara simultan dengan tingkat signifikansi 0.05 atau 5 persen. Sebelum diuji dengan regregresi linear berganda, terlebih dahulu dilakukan uji asumsi klasik untuk menguji kenormalan data. Hasil penelitian uji serempak menunjukkan bahwa 55.11 persen variabel independen dalam model penelitian ini mempengaruhi risko Kredit atau Non Performing Loan. Sementara sisa 45.89 persen lainnya dipengaruhi oleh variabel diluar Model Penelitian ini. Berdasarkan uraian di atas, maka dapat disimpulkan bahwa data yang tersedia normal atau memenuhi syarat untuk dijadikan model regresi linear berganda. Dari hasil analisis secara parsial variabel ROA bertanda positif dan tidak signifikan terhadap risiko kredit sebesar 0.0871 (9%). Variabel independen Indeks harga konsumen (t) bertanda negatif dan signifikan terhadap risiko kredit atau NPL sebesar -0.021 atau -2 persen apabila variabel independen lain dianggap konstan. Artinya bahwa apabila indeks harga konsumsi (IHK) turun sebesar 1 persen quartalan, maka akan menyebabkan risiko kredit turun sebesar -2 persen, dan Variabel independen Suku Bunga bertanda positif dan sangat signifikan terhadap risiko kredit sebesar 1.406 artinya apabila suku bunga (SB) naik sebesar 1 persen maka akan menyebabkan risiko kredit naik sebesar 1.406 lebih besar dari tingkat kenaikan suku bunga (SB).

Commercial Bank are susceptible to non-performing loans due to credit as a main source of income of a Commercial Bank from loans. However, the bank's management was made efforts through common assessments based 5C, otherwise still be potentially exposed to credit risk. The mean purposed of this thesis is to test how the variables of CPI, Interest rate (SB) and Return on Asset (ROA) are influence Credit Risks or Non-Performing Loan (NPL) at Banco Nacional Commercial de Timor Leste (BNCTL). The numbers of observation data used was 40 numbers, in the form of quarterly bases since period 2004 - 2013. The data were collected from quarterly Reports published by Timor-Leste National Statistics Department, Banco National de Commercial de Timor-Leste and through Bank Supervision Department at the Banco Central de Timor-Leste and the Department of Economics at the Banco Central de Timor Leste. The analysis technique used on this thesis is multiple linear regression and the hypothesis testing is used t-statistic for testing the coefficient partial regression and F-statistic to test the effect simulant with the 0.05 significance level of tracking error. Before being tested by multiple linear regression. first, tested the classical assumptions in might to test the normality of the data. Thereafter, results of the tested show that 55.11 percent with simultaneous test of independent variables in this research model affect the risks of loans or Non-Performing Loans at BNCTL. While the rest of 44.89 percent was influence by other variables outside of in this research model. It can be concluded that the available data is normal or eligible to be a multiple linear regression model. From the analysis of the partial ROA is positive and not significant to the credit risk of 0.0871, or 9 percent. the independent variable of interest rate (ir) is positive and most significant to credit risk of 1.406 or 14.06 percent and meaning that if the Interest rate (ir) increased by 1 percent the credit risk or Non-Performing Loans of Bank will be increased 1.406 percent or increased more Interest - rate or in balance.

Kata Kunci : IHK, SB, ROA, NPL regresi linear berganda/NPL, Interest Rate, , CPI, Return On Asset, multiple linear regression