Analisis Pengaruh Makro Ekonomi terhadap Kinerja Keuangan Industri Perbankan Nasional Periode 2004-2011

Oskar Akbar Raharja, Prof. Dr. Mudrajat Kuncoro, Ph.D.

2013 | Tesis | S2 Magister Manajemen

Pada penelitian ini dilakukan analisa pengaruh makro ekonomi Indonesia sebagai variabel independen dengan lima indikator yang sempat bergejolak ketika krisis global berimbas ke Indonesia yaitu inflasi, nilai tukar rupiah terhadap dollar amerika serikat, BI rate, Jumlah Uang beredar dan Product Domestic Bruto (PDB), terhadap kinerja keuangan industri perbankan nasional yaitu kinerja profitabilitas Bank Swasta Nasional Devisa yang diukur melalui nilai Return On Asset (ROA) sebagai variabel dependen. Data yang digunakan sebanyak 36 Bank hingga akhir tahun 2011 dengan total asset nasional sebesar 40,07% dari Total asset perbankan nasional, diperhitungkan per kwartal dalam delapan tahun terakhir selama periode tahun 2004 hingga tahun 2011 dimana perekonomian Indonesia sempat terimbas krisis global di penghujung tahun 2008. Pengambilan data sekunder didapatkan melalui data statistik terkait yang diolah dengan metode kuantitatif yaitu T test, regresi linear dengan uji asumsi klasik yang digunakan. Tujuan utama dalam penelitian ini adalah meneliti sejauh mana pengaruh perubahan kondisi lima indikator makroekonomi terhadap kinerja profitabilitas bank umum swasta nasional devisa di Indonesia, berdasarkan nilai ROA sebelum dan sesudah krisis global 2008, dengan hasil menunjukkan bahwa variabel kurs tengah adalah variabel yang signifikan sedangkan model regresi terbaik menunjukkan bahwa suku bunga Bank Indonesia, kurs tengah dan produk domestik bruto adalah variabel independen yang berpengaruh terhadap variabel dependen ROA sebelum dan sesudah krisis global dengan arah hubungan negatif. Selain itu juga menganalisis kondisi perbedaan profitabilitas bank (ROA) yang signifikan antara sebelum krisis global dan pasca krisis global 2008 dengan hasil nilai ROA berbeda signifikan antara nilai ROA sebelum krisis secara signifikan lebih besar daripada setelah krisis.

In this study, analysis of influence of Indonesian macro economy was performed as independent variable, with five indicators which experienced fluctuations when global crisis reached Indonesia, which were inflation, exchange rate of rupiah against American dollar, BI rate, money in circulation and Gross Domestic Product (GDP), on the financial performance of national banking industry, which is profitability performance of Foreign Exchange Bank measured by the value of Return On Asset (ROA) as dependent variable. The data used came from 36 banks until the end of 2011 with total national asset 40,07% of total national banking asset, calculated per quarter in the last eight years for the period of 2004 to 2011 when Indonesian economy was hit by global crisis at the end of 2008. Secondary data was collected with related statistical data which was processed with quantitative methods, which was T-test, linear regression with classical assumption test. The main purpose of this study was to discover how far the influence of the changes of the condition of the five macro economy indicators on the performance of bank in Indonesia, based on ROA value before and after 2008 global crisis, with the result showing that the variable exchange rate of rupiah against American dollar is the only one that had a significant influence on ROA but with the regression method to looking for the best model the variable is Bank Indonesia interest rate, exchange rate of rupiah and gross domestic product were independent variables which had significant influence on ROA dependent variable before and after global crisis, with negative direction of relation. This study also analyzed the significant different bank profitability (ROA) before and after crisis with ROA value before and after global crisis were significantly different, in which the ROA value before global crisis was significantly bigger than after it.

Kata Kunci : Makro Ekonomi, Kinerja profitabilitas Bank, ROA, Kurs Tengah, Inflasi, SBI, Jumlah uang beredar dan PDB