<![endif]-->, bank dengan likuiditas pendanaan yang melimpah memiliki risiko likuiditas pendanaan yang rendah yang mendorong manajer bank untuk meningkatkan pengambilan risiko. Untuk menguji hipotesis ini secara empiris, penelitian ini menerapkan teknik system generalized method of moments (SGMM) pada data 86 bank umum konvensional di Indonesia periode 2014 – 2021. Hasil penelitian menunjukkan likuiditas pendanaan yang melimpah, yang diproksi dengan rasio jumlah simpanan terhadap total aset, berpengaruh positif dan signifikan terhadap pengambilan risiko perbankan. Selain itu, penelitian ini juga menunjukkan adanya peran krisis Covid-19 dan ukuran bank dalam memoderasi hubungan likuiditas pendanaan dan pengambilan risiko perbankan. Periode krisis Covid-19 mendorong moral hazard bagi manager bank untuk meningkatkan pengambilan risiko bank ketika menghadapi risiko likuiditas pendanaan yang rendah. Penelitian ini juga menggarisbawahi peran penting ukuran bank dalam memengaruhi hubungan likuiditas pendanaan dan pengambilan risiko perbankan. Bank besar lebih berhati-hati dalam mengambil risiko dibanding bank kecil pada saat memiliki likuiditas pendanaan yang melimpah. Temuan ini memiliki implikasi penting bagi pembuat kebijakan dan regulator dalam memahami potensi risiko yang terkait dengan likuiditas pendanaan dan perlunya langkah-langkah yang tepat untuk menjaga stabilitas keuangan di sektor perbankan. The primary objective of this study is to investigate the paradoxical phenomenon where low funding liquidity risk does not enhance bank stability, but rather diminishes it. Drawing upon the theoretical predictions of Acharya and Naqvi (2012), banks with abundant funding liquidity are posited to face lower funding liquidity risk, thereby incentivizing them to engage in increased risk-taking behavior. To empirically test this hypothesis, the study employs the system generalized method of moments (SGMM) technique using data from 86 conventional commercial banks operating in Indonesia over the period from 2014 to 2021. The research findings demonstrate that abundant funding liquidity, proxied by the ratio of deposits to total assets, exerts a positive and significant influence on bank risk-taking. This implies that banks with higher funding liquidity are more inclined to undertake riskier activities. Furthermore, the study examines the moderating effects of the Covid-19 crisis and bank size on the relationship between funding liquidity and bank risk-taking. During the Covid-19 crisis period, banks facing low funding liquidity risk exhibit a moral hazard by increasing their risk-taking behavior. Additionally, the study highlights the significant role played by bank size in influencing the relationship between funding liquidity and bank risk-taking. Larger banks demonstrate greater prudence in risk-taking when confronted with abundant funding liquidity. The findings have noteworthy implications for policymakers and regulators in comprehending the potential risks associated with funding liquidity and the necessity for appropriate measures to uphold financial stability within the banking sector."> <![endif]-->, bank dengan likuiditas pendanaan yang melimpah memiliki risiko likuiditas pendanaan yang rendah yang mendorong manajer bank untuk meningkatkan pengambilan risiko. Untuk menguji hipotesis ini secara empiris, penelitian ini menerapkan teknik system generalized method of moments (SGMM) pada data 86 bank umum konvensional di Indonesia periode 2014 – 2021. Hasil penelitian menunjukkan likuiditas pendanaan yang melimpah, yang diproksi dengan rasio jumlah simpanan terhadap total aset, berpengaruh positif dan signifikan terhadap pengambilan risiko perbankan. Selain itu, penelitian ini juga menunjukkan adanya peran krisis Covid-19 dan ukuran bank dalam memoderasi hubungan likuiditas pendanaan dan pengambilan risiko perbankan. Periode krisis Covid-19 mendorong moral hazard bagi manager bank untuk meningkatkan pengambilan risiko bank ketika menghadapi risiko likuiditas pendanaan yang rendah. Penelitian ini juga menggarisbawahi peran penting ukuran bank dalam memengaruhi hubungan likuiditas pendanaan dan pengambilan risiko perbankan. Bank besar lebih berhati-hati dalam mengambil risiko dibanding bank kecil pada saat memiliki likuiditas pendanaan yang melimpah. Temuan ini memiliki implikasi penting bagi pembuat kebijakan dan regulator dalam memahami potensi risiko yang terkait dengan likuiditas pendanaan dan perlunya langkah-langkah yang tepat untuk menjaga stabilitas keuangan di sektor perbankan. The primary objective of this study is to investigate the paradoxical phenomenon where low funding liquidity risk does not enhance bank stability, but rather diminishes it. Drawing upon the theoretical predictions of Acharya and Naqvi (2012), banks with abundant funding liquidity are posited to face lower funding liquidity risk, thereby incentivizing them to engage in increased risk-taking behavior. To empirically test this hypothesis, the study employs the system generalized method of moments (SGMM) technique using data from 86 conventional commercial banks operating in Indonesia over the period from 2014 to 2021. The research findings demonstrate that abundant funding liquidity, proxied by the ratio of deposits to total assets, exerts a positive and significant influence on bank risk-taking. This implies that banks with higher funding liquidity are more inclined to undertake riskier activities. Furthermore, the study examines the moderating effects of the Covid-19 crisis and bank size on the relationship between funding liquidity and bank risk-taking. During the Covid-19 crisis period, banks facing low funding liquidity risk exhibit a moral hazard by increasing their risk-taking behavior. Additionally, the study highlights the significant role played by bank size in influencing the relationship between funding liquidity and bank risk-taking. Larger banks demonstrate greater prudence in risk-taking when confronted with abundant funding liquidity. The findings have noteworthy implications for policymakers and regulators in comprehending the potential risks associated with funding liquidity and the necessity for appropriate measures to uphold financial stability within the banking sector.">
Laporkan Masalah

Pengaruh Likuiditas Pendanaan terhadap Pengambilan Risiko Perbankan: Moderasi Krisis Covid-19 dan Ukuran Bank

Dessi Ratna Sari, Prof. Mamduh M. Hanafi, M.B.A., Ph.D.

2023 | Tesis | S2 Magister Ek.Pembangunan

Tujuan utama penelitian ini untuk menyelidiki sebuah paradoks bahwa risiko likuiditas yang rendah bukannya meningkatkan stabilitas bank tetapi justru menurunkan stabilitas bank. Berdasarkan prediksi teoritis <!--[if supportFields]>ADDIN CSL_CITATION {"citationItems":[{"id":"ITEM-1","itemData":{"DOI":"10.1016/j.jfineco.2012.05.014","ISSN":"0304405X","abstract":"We examine how the banking sector could ignite the formation of asset price bubbles when there is access to abundant liquidity. Inside banks, to induce effort, loan officers are compensated based on the volume of loans. Volume-based compensation also induces greater risk taking; however, due to lack of commitment, loan officers are penalized ex post only if banks suffer a high enough liquidity shortfall. Outside banks, when there is heightened macroeconomic risk, investors reduce direct investment and hold more bank deposits. This 'flight to quality' leaves banks flush with liquidity, lowering the sensitivity of bankers' payoffs to downside risks and inducing excessive credit volume and asset price bubbles. The seeds of a crisis are thus sown. © 2012 Elsevier B.V.","author":[{"dropping-particle":"","family":"Acharya dan Naqvi","given":"Viral","non-dropping-particle":"","parse-names":false,"suffix":""}],"container-title":"Journal of Financial Economics","id":"ITEM-1","issue":"2","issued":{"date-parts":[["2012"]]},"page":"349-366","publisher":"Elsevier","title":"The seeds of a crisis: A theory of bank liquidity and risk taking over the business cycle","type":"article-journal","volume":"106"},"uris":["http://www.mendeley.com/documents/?uuid=55b4b7d1-9e03-4b07-8149-99cee9e6013a"]}],"mendeley":{"formattedCitation":"(Acharya dan Naqvi 2012)","manualFormatting":"Acharya dan Naqvi (2012)","plainTextFormattedCitation":"(Acharya dan Naqvi 2012)","previouslyFormattedCitation":"(Acharya dan Naqvi 2012)"},"properties":{"noteIndex":0},"schema":"https://github.com/citation-style-language/schema/raw/master/csl-citation.json"}<![endif]-->Acharya dan Naqvi (2012)<!--[if supportFields]><![endif]-->, bank dengan likuiditas pendanaan yang melimpah memiliki risiko likuiditas pendanaan yang rendah yang mendorong manajer bank untuk meningkatkan pengambilan risiko. Untuk menguji hipotesis ini secara empiris, penelitian ini menerapkan teknik system generalized method of moments (SGMM) pada data 86 bank umum konvensional di Indonesia periode 2014 – 2021. Hasil penelitian menunjukkan likuiditas pendanaan yang melimpah, yang diproksi dengan rasio jumlah simpanan terhadap total aset, berpengaruh positif dan signifikan terhadap pengambilan risiko perbankan. Selain itu, penelitian ini juga menunjukkan adanya peran krisis Covid-19 dan ukuran bank dalam memoderasi hubungan likuiditas pendanaan dan pengambilan risiko perbankan. Periode krisis Covid-19 mendorong moral hazard bagi manager bank untuk meningkatkan pengambilan risiko bank ketika menghadapi risiko likuiditas pendanaan yang rendah. Penelitian ini juga menggarisbawahi peran penting ukuran bank dalam memengaruhi hubungan likuiditas pendanaan dan pengambilan risiko perbankan. Bank besar lebih berhati-hati dalam mengambil risiko dibanding bank kecil pada saat memiliki likuiditas pendanaan yang melimpah. Temuan ini memiliki implikasi penting bagi pembuat kebijakan dan regulator dalam memahami potensi risiko yang terkait dengan likuiditas pendanaan dan perlunya langkah-langkah yang tepat untuk menjaga stabilitas keuangan di sektor perbankan.

The primary objective of this study is to investigate the paradoxical phenomenon where low funding liquidity risk does not enhance bank stability, but rather diminishes it. Drawing upon the theoretical predictions of Acharya and Naqvi (2012), banks with abundant funding liquidity are posited to face lower funding liquidity risk, thereby incentivizing them to engage in increased risk-taking behavior. To empirically test this hypothesis, the study employs the system generalized method of moments (SGMM) technique using data from 86 conventional commercial banks operating in Indonesia over the period from 2014 to 2021. The research findings demonstrate that abundant funding liquidity, proxied by the ratio of deposits to total assets, exerts a positive and significant influence on bank risk-taking. This implies that banks with higher funding liquidity are more inclined to undertake riskier activities. Furthermore, the study examines the moderating effects of the Covid-19 crisis and bank size on the relationship between funding liquidity and bank risk-taking. During the Covid-19 crisis period, banks facing low funding liquidity risk exhibit a moral hazard by increasing their risk-taking behavior. Additionally, the study highlights the significant role played by bank size in influencing the relationship between funding liquidity and bank risk-taking. Larger banks demonstrate greater prudence in risk-taking when confronted with abundant funding liquidity. The findings have noteworthy implications for policymakers and regulators in comprehending the potential risks associated with funding liquidity and the necessity for appropriate measures to uphold financial stability within the banking sector.

Kata Kunci : funding liquidity, bank risk-taking, Covid-19 crisis, bank size, commercial banks, system-GMM method

  1. S2-2023-484623-abstract.pdf  
  2. S2-2023-484623-bibliography.pdf  
  3. S2-2023-484623-tableofcontent.pdf  
  4. S2-2023-484623-title.pdf