PENGARUH GUNCANGAN MAKROEKONOMI DAN COVID-19 TERHADAP KINERJA BANK UMUM, BANK ASING, DAN BANK PEMBANGUNAN DAERAH DI INDONESIA

ERIKA DWIYANA F, Sekar Utami Setiastuti, S.E., M.Sc., Ph.D.

2022 | Skripsi | S1 ILMU EKONOMI

Sebagai perantara keuangan terbesar di suatu negara, bank memiliki peran penting dalam perekonomian. Kinerja bank yang baik dan risiko bank yang dapat dikelola mampu menjaga stabilitas ekonomi dan sistem keuangan. Penelitian ini bertujuan untuk menganalisis pengaruh guncangan makroekonomi terhadap kinerja bank umum, bank asing, dan BPD di Indonesia dengan data time series periode waktu 2013:M01-2021:M03. Selain itu, penelitian ini juga menganalisis dampak Covid-19 terhadap kinerja perbankan menggunakan Vector Autoregression (VAR) dan Vector Error Correction Model (VECM). Hasil FEVD menunjukkan seluruh variabel indikator kinerja perbankan pada periode sebelum Covid-19 stabil. Sebaliknya, secara umum hasil analisis FEVD full sample menujukkan pengaruh variabel makroekonomi yang lebih besar pada seluruh jenis bank. Selain itu, dapat disimpulkan bahwa terdapat efek Covid-19 pada kinerja perbankan karena IRF untuk analisis data periode sebelum Covid-19 dan full sample menunjukkan arah yang berbeda.

As the largest financial intermediary in a country, banks have an important role in the economy. Good bank performance and manageable bank risks are able to maintain economic and financial system stability. This study aims to analyze the effect of macroeconomic shocks on the performance of commercial banks, foreign-owned banks, and regional development banks in Indonesia with time series data for the time period of 2013:M01-2021:M03. In addition, this study also analyzes the impact of Covid-19 on banking performance using Vector Autoregression (VAR) and Vector Error Correction Model (VECM). The FEVD results show that all banking performance indicator variables in the period before Covid-19 were stable. On the other hand, in general, the results of the full sample FEVD analysis show a larger effect of macroeconomic variables on all types of banks. In addition, it can be said that there is an effect of Covid-19 on banking because the IRF to analyze the data for the period before Covid-19 and the full sample shows a different direction.

Kata Kunci : guncangan makroekonomi, kinerja perbankan, VAR, VECM