PENGARUH KOMPETISI TERHADAP RISIKO SISTEMIK PERBANKAN DI INDONESIA

DEBRINA ADYANTI H, Dr. Hermeindito, SE. MM

2020 | Tesis | MAGISTER MANAJEMEN (KAMPUS JAKARTA)

Penelitian ini menganalisis pengaruh kompetisi terhadap risiko sistemik perbankan di Indonesia. Perkembangan industri yang pesat mengakibatkan peningkatan eksposur risiko. Risiko sistemik adalah risiko yang perlu dimitigasi karena berpotensi menimbulkan krisis. Salah satu faktor risiko sistemik adalah kompetisi. Ada dua pandangan tentang isu ini. Teori competition-fragility mengatakan bahwa kompetisi yang rendah akan meningkatkan stabilitas. Teori competition-stability menyatakan bahwa semakin sedikit kompetisi maka akan menurunkan stabilitas. Kompetisi diukur dengan Panzar-Rosse. Sedangkan risiko sistemik diukur dengan menggunakan Delta CoVaR. Pengaruh kompetisi terhadap risiko sistemik diestimasi dengan panel data dinamis Sistem GMM dan metode efek tetap. Hasil penelitian menunjukkan bahwa kompetisi berpengaruh positif terhadap risiko sistemik. Variabel-variabel seperti ukuran bank, ROA, Net Interest Margin, Inflasi, dan Kurs berpengaruh signifikan sebagai variabel kontrol.

This study analyzes the effect of competition on banking systemic risk in Indonesia. The rapid development of the industry has resulted in increased risk exposure. Systemic risk is a risk that needs to be mitigated because it has the potential to cause a crisis. One systemic risk factor is competition. There are two views on this issue. The competition-fragility theory says that low competition will increase stability. The competition-stability theory states that less competition will reduce stability. Competition is measured by Panzar-Rosse. Whereas systemic risk is measured using Delta CoVaR. The effect of competition on systemic risk is estimated with dynamic data panel GMM systems and fixed effects methods. The results showed that competition had a positive effect on systemic risk. Variables such as bank size, ROA, Net Interest Margin, Inflation, and Exchange rates have a significant effect as a control variable.

Kata Kunci : Competition, Systemic Risk, Bank