ANALISIS PENGARUH KEBIJAKAN MONETER DAN MAKROPRUDENSIAL TERHADAP RISIKO BANK DI INDONESIA

Pristanto Silalahi, Telisa Aulia Falianty

Abstract


ABSTRAK

 

Tujuan dari penelitian ini adalah untuk menganalisis pengaruh kebijakan moneter dan kebijakan makroprudensial dalam stabilitas perekonomian dengan memitigasi risiko bank di Indonesia. Penelitian ini menggunakan pendekatan z-score untuk mengidentifikasi sekaligus sebagai proksi dari risiko bank. Model data yang digunakan adalah panel data dari tahun 2012 - 2019 dengan sampel 30 Bank. Hasil dari penelitian ini menunjukkan bahwa hampir setiap tahunnya risiko bank meningkat selama periode penelitian dengan metode pengukuran z-score. Hasil dari analisis regresi data panel menunjukkan bahwa kebijakan moneter dengan instrument variabel interest rate (IR) berpengaruh signifikan negatif terhadap risiko bank. Kemudian kebijakan makroprudensial dengan instrument variabel GWM berpengaruh signifikan negatif terhadap risiko bank, hal ini sesuai dengan adanya teori prosiklikalitas di Indonesia.

 

Kata kunci: kebijakan moneter : kebijakan makroprudensial; risiko bank

 

 

ABSTRACT

 

The purpose of this study is to analyze the effect of monetary policy and macroprudential policy on economic stability by mitigating bank risk in Indonesia. This study uses a z-score approach to identify as well as a proxy for bank risk. The data model used is panel data from 2012 - to 2019 with a sample of 30 banks. The results of this study indicate that almost every year bank risk increases during the study period using the z-score measurement method. The results of the panel data regression analysis show that monetary policy with the interest rate (IR) variable instrument has a significant negative effect on bank risk. Then macroprudential policy with the variable reserve requirement instrument has a significant negative effect on bank risk, this is under the procyclicality theory in Indonesia.

 

Keywords: monetary policy: macroprudential policy; bank risk

Keywords


kebijakan moneter; kebijakan makroprudensial; risiko bank; monetary policy; macroprudential policy; bank risk

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References


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DOI: http://dx.doi.org/10.21460/jrmb.2022.171.418

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