Ramadhani, Novilia and Prof. Dr. Ghozali Maski,, SE., MS. (2022) Macroeconomic Stress Testing Pada Probability Of Default Perbankan Di Indonesia Tahun 2007-2021. Sarjana thesis, Universitas Brawijaya.
Abstract
Penelitian ini bertujuan untuk mengetahui dan menganalisis besarnya probability of default perbankan di Indonesia periode 2007-2021 melalui macroeconomic stress testing yang didasarkan pada simulasi skenario ekonomi sangat berat (Severely Adverse Scenario) yang berasal dari guncangan variabel makroekonomi. Penelitian ini merupakan penelitian kuantitatif deduktif dengan menggunakan metode analisis regresi linier berganda. Adapun variabel bebas dalam penelitian ini yaitu pertumbuhan PDB riil, exchange rate, inflasi, suku bunga, dan harga minyak dunia dan variabel terikat yaitu probability of default yang diproksikan dengan NPL net. Jenis stress test yang digunakan dalam penelitian ini meliputi sensitivity testing dan hypothetical scenario testing. Dengan menggunakan Bank BRI, Bank Mandiri, dan Bank BCA sebagai sampel, penelitian ini menghasilkan pengaruh dan besaran yang berbeda pada probability of default Bank BUKU IV, dimana probability of default Bank BUKU IV seluruhnya menunjukkan hasil yang sensitif ketika terjadi guncangan variabel makroekonomi. Selain itu hasil penelitian menunjukkan bahwa variable PDB Riil dan harga minyak dunia berpengaruh negatif dan signifikan terhadap probability of default Bank BRI, Bank Mandiri, dan Bank BCA, kemudian variabel exchange rate berpengaruh positif dan signifikan terhadap probability of default Bank BRI, Bank Mandiri, dan Bank BCA. Sedangkan variabel inflasi berpengaruh positif dan tidak signifikan terhadap probability of default Bank BRI, Bank Mandiri, dan Bank BCA. Variabel terakhir yaitu suku bunga berpengaruh positif dan tidak signifikan terhadap Bank BRI dan Bank BCA, namun berpengaruh signifikan terhadap Bank Mandiri.
English Abstract
The objective of this research is to identify and analyze the magnitude of probability of default in Indonesian banks in the period of 2007-2021 using macroeconomic stress testing based on the severely adverse scenario simulation coming from macroeconomic variable shocks. This quantitative deductive research use multiple linear regression. The independent variables are real GDP growth, inflation, interest rate, and world oil price, while the dependent variable is probability of default that is proxied by net NPL. The stress test used in this study includes sensitivity testing amd hypothetical scenario testing. Using Bank BRI, Bank Mandiri, and Bank BCA as the sample, this research produces different effects and vii magnitudes in the probability of default of BUKU IV banks, in which the said probability in the overall shows sensitive results in the event of macroeconomics variable shocks. In addition, the results of the study show that the real GDP variable and world oil prices have a negative and significant effect on the probability of default of Bank BRI, Bank Mandiri, and Bank BCA, then the exchange rate variable has a positive and significant effect on the probability of default of Bank BRI, Bank Mandiri. , and Bank BCA. While the inflation variable has a positive and insignificant effect on the probability of default of Bank BRI, Bank Mandiri, and Bank BCA. The last variable, namely interest rates, has a positive and insignificant effect on Bank BRI and Bank BCA, but has a significant effect on Bank Mandiri
Other obstract
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| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | 0522020027 |
| Uncontrolled Keywords: | Probability of Default, Macroeconomic Stress Testing, Sensitivity Testing, Hypothetical Scenario Testing, Guncangan Variabel Makroekonom, Probability of Default, Macroeconomic Stress Testing, Sensitivity Testing, Hypothetical Scenario Testing, Macroeconomic variable shocks |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Fakultas Ekonomi dan Bisnis > Ilmu Ekonomi |
| Depositing User: | Nur Cholis |
| Date Deposited: | 12 Jul 2022 04:26 |
| Last Modified: | 12 Jul 2022 04:26 |
| URI: | http://repository.ub.ac.id/id/eprint/191931 |
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Text (DALAM MASA EMBARGO)
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