ANALISIS KERENTANAN (STRESS TEST) VARIABEL EKONOMI MAKRO TERHADAP RISIKO KREDIT PERBANKAN DI INDONESIA

SARWOTO, Dr. Sumiyana, Ak., C.A., M.Si.,

2018 | Tesis | Magister Manajemen

Regulator dan pelaku usaha perbankan telah memahami akan kerentanan yang ada dan perlu untuk melakukan uji akan kerentanan (stress test) perusahaan atau industri dari gejolak (shock) yang mungkin dihadapi. Secara umum, uji kerentanan variabel makro berguna sebagai alat manajemen risiko internal untuk lembaga keuangan dan cara bagi otoritas pengawas untuk menjaga stabilitas keuangan. Penelitian kuantitatif ini dilakukan untuk menganalisis pengaruh variabel ekonomi makro seperti inflasi, produk domestik bruto, nilai tukar valuta asing (Rp/USD) dan suku bunga kredit terhadap variabel risiko kredit. Risiko kredit dalam penelitian yaitu Non Performing Loan (NPL), NPL tersebut dianalisis berdasarkan kelompok bank yaitu bank umum konvensional, bank persero, bank pembangunan daerah, bank swasta nasional serta bank asing dan campuran, Hasil penelitian membuktikan bahwa inflasi, produk domestik bruto, nilai tukar valuta asing (Rp/USD) dan suku bunga kredit pengaruhnya signifikan pada risiko kredit baik dalam model jangka panjang dan jangka pendek. Dalam jangka panjang seluruh variabel ekonomi makro di penelitian ini signifikan meberikan dampak kepada risiko kredit, namun dalam jangka pendek variabel ekonomi makro tersebut pengaruhnya bervariasi. Berdasarkan analisis variabel yang pengaruhya relatif kuat terhadap risiko kredit yaitu inflasi, sedangkan variabel lainnya lemah.

Regulators and banker have understood the vulnerabilities that exist and need to test the vulnerability of companies or industries from the shock that may be faced. In general, macro variable vulnerability testing is useful as an internal risk management tool for financial institutions and a way for supervisory authorities to maintain financial stability. This quantitative research is conducted to analyze the influence of macroeconomic variable such as inflation, gross domestic product, foreign exchange rates (Rp / USD), and credit interest rates on credit risk variables. Credit risk in the study is Non Performing Loans (NPLs), these NPLs are analyzed based on bank groups, namely conventional commercial banks; state owned banks; regional development banks; national private banks; and foreign and mixed banks. The results of the study show that inflation, gross domestic product, foreign exchange (IDR / USD) and credit interest rates have a significant effect on credit risk in both the long term and short term models. In the long run, all macroeconomic variables in the study significantly affect credit risk, but in the short term these macroeconomic variables have varied effects. Based on the analysis of variables whose influence is relatively strong on credit risk, namely inflation, while other variables are weak.

Kata Kunci : stress test, perbankan, ekonomi makro