Musdholifah (2014) Prediksi Krisis Dan Sistem Peringatan dini Sektor Perbankan Di Asia. Doctor thesis, Universitas Brawijaya.
Abstract
Penelitian ini menfokuskan pada dua hal. Pertama, penelitian berfokus pada model prediksi krisis perbankan di Asia dengan menggunakan lima kelompok variabel yaitu makroekonomi, internal bank, institusional, efek contagion, dan faktor global yang dijabarkan menjadi 25 variabel bebas. Pengukuran kondisi krisis menggunakan metode indeks yaitu CD (Crisis and Default) indeks. Kedua, menyusun sistem peringatan dini krisis perbankan di Asia dengan menggunakan metode sinyal. Penelitian ini menggabungkan teori krisis generasi pertama, kedua, dan ketiga serta menambahkan pengaruh faktor global kedalam model prediksi krisis. Obyek penelitian ini adalah enam negara Asia yakni India, Jepang, Korea, Indonesia, Malaysia, dan Thailand. Periode penelitian meliputi tahun 1995-2014. Data penelitian diperoleh dari akses melalui internet ke laman masing-masing bank sentral negara sampel, Worldbank, ADB dan IMF. Analisis data menggunakan metode logit untuk menyusun model prediksi krisis dan metode signal untuk sistem peringatan dini (EWS). Penelitian ini menunjukkan hasil, pertama bahwa model prediksi krisis perbankan di Asia ditentukan oleh penurunan GDP riil, penurunan tingkat inflasi, peningkatan rasio kecukupan modal, peningkatan rasio profitabilitas ROA, penurunan rasio profitabilitas ROE dan rasio pendapatan bunga terhadap pendapatan operasi, penurunan rasio likuiditas, peningkatan rasio sensitivitas terhadap pasar, penurunan kualitas institusional, serta peningkatan suku bunga riil AS. Sedangkan, efek contagion tidak signifikan dalam penelitian. Kedua, model prediksi krisis yang telah dibuat sebelumnya bisa menjadi sistem peringatan dini krisis perbankan untuk periode out sample 2009-2014.
English Abstract
This study focuses on two things. First, the study focused on the prediction models in Asian banking crises using five group variables, namely, macroeconomic, internal bank, institutional, contagion effects, and global factors that are translated into 25 independent variables. Crisis condition measured by index namely CD (Crisis and Default) index. Second, this study constructed an early warning system in the Asian banking crisis by signaling method. This study combined first-generation crisis theory, second-generation, and third-generation as well as adding the influence of global factors into crisis prediction model. The object of this study was six Asian countries namely India, Japan, Korea, Indonesia, Malaysia, and Thailand with research period 1995-2012. Data were obtained by accessing internet into website of central banks of the sample countries, World Bank, ADB and IMF. Data analyzed using logit method to construct predictive models and signaling method for early warning system (EWS). This study resulted, first that predicting model of the banking crisis in Asia is determined by a decrease in real GDP and inflation rate, an increase in the capital adequacy ratio, the increase in profitability ratio ROA, decreasing of ROE and ratio of interest income to operating income, a decrease in the liquidity ratio, the increase ratio of sensitivity to market, decreasing in institutional quality, as well as an increase in U.S. real interest rates. Meanwhile, the contagion effect is not significant in this study. Second, the crisis prediction model could be an early warning system for the banking crisis in out sample period 2009-2014.
| Item Type: | Thesis (Doctor) |
|---|---|
| Identification Number: | DES/332.1/MUS/p/061403370 |
| Subjects: | 300 Social sciences > 332 Financial economics > 332.1 Banks |
| Divisions: | S2/S3 > Doktor Ilmu Ekonomi, Fakultas Ekonomi dan Bisnis |
| Depositing User: | Budi Wahyono Wahyono |
| Date Deposited: | 30 Jun 2014 13:29 |
| Last Modified: | 30 Jun 2014 13:29 |
| URI: | http://repository.ub.ac.id/id/eprint/160724 |
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