Analisis Macro Stress-Testing terhadap Perbankan di Indonesia
DOI:
https://doi.org/10.18196/jerss.v2i1.9945Keywords:
Stress Test, NPL, VAR (IRF)Abstract
Sektor perbankan merupakan sarana dalam menunjang pembangunan suatu negara. Sektor perbankan menjadi salah satu lembaga pembiayaan bagi masyarakat. Terjadinya krisis ekonomi dan keuangan yang disebabkan oleh faktor makroekonomi akan berdampak pada kestabilan kondisi perbankan. Hal tersebut biasanya bermula dari meningkatnya risiko kredit yang bermasalah, sehingga akan mengganggu sistem perbankan yang ada. Penelitian ini menggunakan metode stress test dengan memanfaatkan instrumen vector autoregressive (VAR) yaitu impulse response function (IRF). Variabel yang digunakan dalam penelitian ini adalah non performing loan (NPL) sebagai variabel terikat dan sebagai variabel bebas yaitu inflasi, PDB, BI rate, kurs, dan harga minyak dunia. Hasilnya menunjukkan bahwa guncangan pada variabel inflasi dan BI rate berpengaruh terhadap respon NPL yang relatif tinggi. Sedangkan secara simultan, kombinasi guncangan dari varibel inflasi, kurs, dan harga minyak dunia, memiliki pengaruh yang sangat besar terhadap NPL yang relatif tinggi.References
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