ANALISIS PENGARUH FAKTOR MAKROEKONOMI TERHADAP VOLATILITAS NON-PERFORMING LOAN 3 BANK UMUM DI INDONESIA PERIODE 2004:1 – 2014:4

RATNA MUSTIKA A, Muhammad Edhie Purnawan, M.A., Ph.D.

2015 | Skripsi | ILMU EKONOMI

Penelitian ini bertujuan untuk menganalisis pengaruh faktor makroekonomi terhadap non-performing loan 3 bank umum, yaitu Bank BRI, Bank Mandiri, dan Bank BCA. Periode dalam penelitian ini dimulai dari kuartal I 2004 sampai kuartal IV 2014. Variabel makroekonomi yang digunakan pada penelitian ini adalah BI rate, GDP growth, inflasi, dan nilai tukar. Penelitian ini menggunakan metode ARCH di mana persamaan varian menjelaskan bahwa residual tidak konstan dan dipengaruhi oleh residual periode sebelumnya. Penelitian menunjukkan bahwa terdapat pengaruh positif dan signifikan antara BI rate terhadap NPL serta pengaruh negatif dan signifikan antara nilai tukar dan NPL ketiga bank. Sementara itu, GDP growth terbukti berpengaruh negatif terhadap NPL Bank BRI dan NPL Bank BCA tetapi berpengaruh positif terhadap NPL Bank Mandiri. Sedangkan variabel inflasi terbukti berpengaruh negatif terhadap NPL Bank BRI dan NPL Bank BCA.

This study aimed to analyze the effect of macroeconomic factors on the non-performing loan of 3 commercial banks, namely Bank BRI, Bank Mandiri, and Bank BCA. This study starts from the first quarter of 2004 to the fourth quarter of 2014. The macroeconomic variables used in this study are BI rate, GDP growth, inflation, and exchange rates. This study uses ARCH method where variant equation explains that the residuals are not constant and affected by the residuals earlier period. The study shows that there are positive and significant correlation between the BI rate to the NPLs as well as a negative and significant effect between the exchange rate and the NPLs of three banks. Meanwhile, GDP growth proved negative effect on the NPL Bank BRI and NPL Bank BCA but positive effect on the NPL Bank Mandiri. While the inflation variable proven negative effect on the NPL Bank BRI and NPL Bank BCA.

Kata Kunci : Non-performing loan, Bank BRI, Bank Mandiri, Bank BCA, ARCH