Evaluation on foreign exchange and non-foreign exchange banks performance in Indonesia before and during monetary crisis

DAMAYANTI, Ratih, Dr. Mudrajad Kuncoro, M.Soc.Sc

2002 | Tesis | Magister Manajemen

Penelitian dengan topik pengaruh krisis ekonomi dan moneter telah banyak dilakukan, demikian juga dengan evaluasi terhadap kinerj a perbankan menggunakan CAMEL analisis (capital, asset quality, management, earnings, and liquidity). Penelitian ini juga mengambil topik mengenai pengaruh krisis terhadap kinerja perbankan di Indonesia, dimana aspek-aspek CAMEL digunakan sebagai indikator kinerja bank. Meskipun demikian, karena bank devisa dan non-devisa selama krisis mendapat pengaruh secara berbeda terhadap kinerja keuangannnya, maka penelitian ini bennaksud untuk mendapatkan bukti empirik dari adanya pengaruh krisis moneter terhadap kinerja kedua status bank tersebut. Yaitu dengan mengevaluasi kinerja bank devisa dan non-devisa pada waktu sebelum dan selama krisis berlangsung (1994- 1999). Studi empiris dilakukan terhadap 21 sampel komersial bank yang listing di BEJ yang diambil secara purposive sampling. Penelitian ini bermaksud untuk mengevaluasi kinerja bank berdasarkan statusnya sebagai bank devisa dan non-devisa pada waktu sebelum dan selama krisis berlangsung, dan untuk menguji apakah beberapa ratio-ratio penting menunjukkan probabilitas status bank. T-Test digunakan utuk menguji status bank apakah berbeda secara statistik menurut rasio-rasio CAMEL. Regresi Logistik juga diaplikasikan untuk memprediksi atau mengklasifikasi bank status. Had-hasil empiris menunjukkan bahwa rasio-rasio CAR, RORA, ROA, OEOI and LDR berbeda secara statistik antara bank devisa dan non-devisa pada periode 1994-1999. Berdasarkan kelima rasio ini kinerja bank devisa lebih rendah daripada bank non-devisa. Selanjutnya, ada enam variabel penjelas yang secara statistik signifikan untuk menjelaskan atau memprediksi status bank sebagai bank devisa atau non-devisa dengan kebenaran klasifikasi 94.4%. Keenam variable ini adalah lima rasio CAR, RORA, NPM, NCM dan LDR, dan satu variabel dummy waktu. Variabel-variabel ini memprediksi atau mengklasifikasi bahwa kinerj a keuangan bank devisa berbeda dengan bank non-devisa selama periode 1994 sampai 1999. Kinerja keuangan bank devisa dan non-devisa diprediksi berbeda secara signifikan antara periode sebelum dan selama krisis. Selma krisis bank devisa diprediksi mempunyai kinerja keuangan yang lebih bunk dari bank non-devisa. Hasil ini mengimplikasikan bahwa selama krisis moneter bank devisa menghadapi risiko yang lebih tinggi disebabkan karena eksposur valasnya. Oleh karena itu Bank Indonesia harus menyediakan peraturan yang jelas untuk secara lebih baik mangklasifikasikan status bank, dan meningkatkan formulasi serta efektifitas dari pelaksanaan pembatasan-pembatasan dan peraturan-peraturan yang telah ditetapkan terhadap kegiatan bank devisa

Studies using the influence of economic and monetary crisis as a topic have been many performed, as well as evaluation toward banking performance using CAMEL (capital, asset quality, management, earnings, and ‘liquidity) analysis. This study also exploits the topic concerning the influence of crisis toward banking performance in Indonesia, in which CAMEL aspects are used as indicator of bank performance. Nevertheless, since foreign exchange banks and non-foreign exchange banks are influenced dissimilarly on their financial performance during the crisis, so this study is intended to obtain empirical evidences from the existence of crisis influence toward performance of these two-bank status. That is, by evaluating performance of foreign exchange and non-foreign exchange banks on the time before and during the crisis (1994-1999). Empirical study is performed on 21 samples of commercial banks listed in Jakarta Stock Exchange, which are obtained by purposive sampling. This study attempts to evaluate bank performance based on their status as Forex and Non-Forex Banks on the period before and during the crisis, and to test whether several important ratios determine the probability of bank status. T Test is used to examine whether tke status of bank is statistically different in term of CAMEL ratios. Logistic Regression Model is also applied to predict or classify the status of bank. The empirical results show that CAR, RORA, ROA, OEOI and LDR ratios are statistically different between Forex and Non-Forex Banks over 1994- 1999 periods. Performance of Forex Banks is lower than Non-Forex Banks on these five ratios. Furthermore, there are six explanatory variables statistically significant to reliably explain or predict the status of bank as Forex and Non-Forex Banks with correct classification of 94.4%. These variables are five ratios of CAR, RORA, NPM, NCM, and LDR, and a time dummy variable as indicator of crisis. The variables predict or classify that financial performance of Forex Banks are different to the Non- Forex Banks over the 1994 to 1999 periods. Financial performance of Forex and Non-Forex Banks are predicted significantly different on the period before crisis compare to during the crisis. During the crisis Forex Banks are predicted to have worse financial performance than Non-Forex Bank. The results imply that during monetary crisis Forex Banks face highly risks as a result of their foreign exchange exposure. Therefore, Bank Indonesia has to provide a clear regulation to better classify the status of banks, and improve the formulation and the effectiveness of implementation toward several limitations and regulations have been established toward foreign exchange bank activities.

Kata Kunci : Kinerja Bank,Perbankan Indonesia,Analisis CAMEL, Bank Performance, CAMEL Analysis, Foreign Exchange and Non-Foreign Exchange Bank, and Foreign Exchange Exposure