簡易檢索 / 詳目顯示

回結果列表
研究生： Steven Anthony
Steven Anthony
論文名稱： The Determinants of Non-Performing Loans for Commercial Banks in Indonesia
The Determinants of Non-Performing Loans for Commercial Banks in Indonesia
指導教授： 陳俊男
Chun-Nan Chen
口試委員: 林軒竹
Hsuan-Chun Lin
陳嬿如
Yen-Ru Chen
謝劍平
Joseph C.P. Shieh
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2018
畢業學年度： 106
語文別： 英文
論文頁數： 70
中文關鍵詞： Internal Banking Variable 、External Variable 、Macroeconomic 、Non-Performing Loan 、Multiple Regression 、Indonesia
外文關鍵詞： Internal Banking Variable, External Variable, Macroeconomic, Non-Performing Loan, Multiple Regression, Indonesia
相關次數： 點閱：311  下載：0 
分享至:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報

    • In the global economy, banking plays an important role to give funding to the company who need money to do an expansion. However, the bank might face credit risk that will affect the banking system. Therefore, this study aims to find out factors that affect Commercial Bank’s Non-Performing Loan (NPL) in Indonesia. The variable used to test the model are from banking’s internal variable and external variable such as macroeconomics. Sample data is gathered from Indonesia Banking Statistic and some various sources from 2009 to 2017. The internal variables of this research are Capital Adequacy Ratio (CAR), Loan to Deposit Ratio (LDR), Net Interest Margin (NIM), Operating Expense per Operating Income (OEOI) and Return on Asset (ROA). The external variables of this research are Inflation, Exchange Rate, Interest Rate, Oil Price, Lending Rate, Import and Gross Domestic Product (GDP). The methodology used in this research is Multiple Regression. The model also includes dummy variables to capture the yearly effect of the model. The result showed that there is a positive significant impact of NIM, CAR, Lending Rate and GDP variables on NPL, also showed that there is a negative significant impact of OEOI, Interest Rate and Import variables on NPL. Further, the robustness of the model also checked through sensitivity analysis, which found out that the model is robust.

    In the global economy, banking plays an important role to give funding to the company who need money to do an expansion. However, the bank might face credit risk that will affect the banking system. Therefore, this study aims to find out factors that affect Commercial Bank’s Non-Performing Loan (NPL) in Indonesia. The variable used to test the model are from banking’s internal variable and external variable such as macroeconomics. Sample data is gathered from Indonesia Banking Statistic and some various sources from 2009 to 2017. The internal variables of this research are Capital Adequacy Ratio (CAR), Loan to Deposit Ratio (LDR), Net Interest Margin (NIM), Operating Expense per Operating Income (OEOI) and Return on Asset (ROA). The external variables of this research are Inflation, Exchange Rate, Interest Rate, Oil Price, Lending Rate, Import and Gross Domestic Product (GDP). The methodology used in this research is Multiple Regression. The model also includes dummy variables to capture the yearly effect of the model. The result showed that there is a positive significant impact of NIM, CAR, Lending Rate and GDP variables on NPL, also showed that there is a negative significant impact of OEOI, Interest Rate and Import variables on NPL. Further, the robustness of the model also checked through sensitivity analysis, which found out that the model is robust.

    ABSTRACT i ACKNOWLEDGEMENTS ii TABLE OF CONTENTS iii LIST OF TABLES v LIST OF FIGURE vi CHAPTER I. INTRODUCTION 1 1.1 Motivation and Background 1 1.2 Research Objective 4 1.3 Research Concept and Flowchart 4 1.4 The Limitation of the Research 5 CHAPTER II. LITERATURE REVIEW 6 2.1 Non-Performing Loan (NPL) 6 2.2 Internal Variable 7 2.2.1 Capital Adequacy Ratio (CAR) 7 2.2.2 Loan to Deposit Ratio (LDR) 8 2.2.3 Net Interest Margin (NIM) 9 2.2.4 Operating Expense per Operating Income (OEOI) 9 2.2.5 Return on Assets (ROA) 10 2.3 External Variable 11 2.3.1 Inflation 11 2.3.2 Exchange Rate 11 2.3.3 Interest Rate 12 2.3.4 Oil Price 13 2.3.5 Lending Rate 14 2.3.6 Import 14 2.3.7 Gross Domestic Product (GDP) 15 CHAPTER III. DATA & METHODOLOGY 16 3.1 Empirical Data 16 3.2 Methodology 19 CHAPTER IV. EMPIRICAL STUDY 24 4.1 Variable Selection and Classical Assumption 24 4.2 Descriptive Statistic 32 4.3 Regression 34 4.4 Sensitivity Analysis 36 4.4.1 First Sensitivity Analysis 36 4.4.2 Second Sensitivity Analysis 39 4.5 Discussion of the Result 42 4.5.1 Capital Adequacy Ratio on Non-Performing Loan 42 4.5.2 Loan to Deposit Ratio on Non-Performing Loan 42 4.5.3 Net Interest Margin on Non-Performing Loan 43 4.5.4 Op. Expense per Op. Income on Non-Performing Loan 43 4.5.5 Return on Assets on Non-Performing Loan 43 4.5.6 Inflation Rate on Non-Performing Loan 44 4.5.7 Exchange Rate on Non-Performing Loan 44 4.5.8 Interest Rate on Non-Performing Loan 44 4.5.9 Oil Price on Non-Performing Loan 45 4.5.10 Lending Rate on Non-Performing Loan 45 4.5.11 Import on Non-Performing Loan 46 4.5.12 Gross Domestic Product on Non-Performing Loan 46 4.5.13 Dummy Variable 47 CHAPTER V. CONCLUSION & SUGGESTION 48 5.1 Conclusion 48 5.2 Suggestion 50 APPENDIX 51 Appendix 1 Descriptive Statistic 51 Appendix 2 Normality Test 52 Appendix 3 Multicollinearity Test 53 Appendix 4 Autocorrelation Test 56 Appendix 5 Heteroscedasticity Test 57 Appendix 6 Regression Result (Before Newey-West) 58 Appendix 7 Regression Result (After Newey-West) 60 Appendix 8 Sensitivity Analysis / Robustness Test Result 62 REFERENCES 68

    Abid, L., Ouertani, M. N., & Ghorbel, S. Z. (2014). Macroeconomic and Bank-Specific Determinants of Household’s Non-Performing Loans in Tunisia: a Dynamic Panel Data. Procedia Economics and Finance, 58 – 68.
    Adisaputra, I. (2012). Analisis Faktor-Faktor yang Mempengaruhi Non Performing Loan pada PT.Bank Mandiri (Persero) Tbk. Makassar: Fakultas Ekonomi dan Bisnis Universitas Hasanuddin.
    Ali, M. H. (2004). Asset Liability Management, Menyiasati Risiko Pasar dan Risiko Operasional dalam Perbankan. Jakarta: PT. Elex Media Kompetindo Kelompok Gramedia.
    Almarzoqi, R., & Naceur, S. B. (2015). Determinants of Bank Interest Margins in the Caucasus and Central Asia. IMF Working Paper.
    Alodayni, S. (2016). Oil Prices, Credit Risks in Banking Systems, and Macro-Financial Linkages across GCC Oil Exporters. International Journal of Financial Studies.
    Amadeo, K. (2018, January 10). Crude Oil, Its Prices, Trends, and Impact on the Economy and You. Retrieved from The Balance: https://www.thebalance.com/crude-oil-prices-trends-and-impact-on-the-economy-and-you-3305738
    Amediku, S. (2006). Stress tests of the Ghanaian Banking Sector : A VAR Approach. Ghana: Bank of Ghana.
    Bank Indonesia. (2016). Bank Indonesia Regulation. Bank Indonesia.
    Bank Indonesia. (n.d.). Explanation of BI Rate. Retrieved from Bank Indonesia Official Website: https://www.bi.go.id/en/moneter/bi-rate/penjelasan/Contents/Default.aspx
    Barus, A. C., & Erick. (2016). Analisis Faktor-Faktor Yang Mempengaruhi Non-Performing Loan Pada Bank Umum di Indonesia. STIE Mikroskil.
    Berger, A., & DeYoung, R. (1997). Problem Loans and Cost Efficiency in Commercial Banks. Journal of Banking and Finance,, Vol. 21.
    Dimitrios, A., Helen, L., & Mike, T. (2016). Determinants of non-performing loans: Evidence from Euro-area countries. Finance Research Letters, 116-119.
    Espinoza, R., & Prasad, A. (2010). Nonperforming Loans in the GCC Banking System and their Macroeconomic Effects. International Monetary Fund.
    Festic, M., & Romih, D. (2009). Cyclicality of The Banking Sector Performance and Macro Environment in The Czech Republic, Slovakia and Slovenia. Prague Economic Paper.
    Fofack, H. (2005). Non-Performing Loans in Sub-Saharan Africa: Causal Analysis and Macroeconomic Implications. Africa: World Bank Policy Research Working Paper.
    Gujarati, D. N. (2004). Basic Econometrics, Fourth Edition. The Mcgraw-Hill Companies.
    Janvisloo, M. A., & Muhammad, J. (2013). Non-Performing Loans Sensitivity to Macro Variables: Panel Evidence from Malaysian Commercial Banks. American Journal of Economics, 16-21.
    Kusuma, E. C., & Haryanto, A. (2016). Analisis Pengaruh Variabel kinerja Bank (CAR, ROA, BOPO dan LDR), Serta Pertumbuhan Kredit dan Kualitas Kredit Terhadap Non-Performing Loan (NPL). DIPONEGORO JOURNAL OF MANAGEMENT, 1-13.
    Lestari, S. (2011). Faktor-Faktor yang Mempengaruhi Tingkat Kesehatan Bank (Studi Kasus di PD BPR Bank Daerah Kota Madiun). Universitas Sebelas Maret.
    Louzis, D. P., Vouldis, A. T., & Metaxas, V. L. (2012). Macroeconomic and bank-specific determinants of non-performing loans. Journal of Banking & Finance, 1012-1027.
    Lu, X., & White, H. (2014). Robustness checks and robustness tests in applied economics. Journal of Econometrics, 194-206.
    Makri, V., Tsagkanos, A., & Bellas, A. (2014). Determinants of Non-Performing Loans: The Case of Eurozone. PANOECONOMICUS, pp. 193-206.
    Mankiw, N. (2012). Principles of Macroeconomics. USA: Cengage Learning.
    McConnell, C., Brue, S., & Flynn, S. (2009). Economics. New York: McGraw Hill.
    Messai, A. S., & Jouini, F. (2013). Micro and Macro Determinants of Non-performing Loans. International Journal of Economics and Financial Issues, pp.852-860.
    Monokroussos, P., & Gortsos, C. (2017). Non-Performing Loans and Resolving Private Sector Insolvency. Athens: Springer Nature.
    Murumba, I. (2013). The Relationship between Real GDP and Non-performing Loans: Evidence from Nigeria (1995 – 2009). International Journal of Capacity Building in Education and Management (IJCBEM), Vol.2 No.1.
    Posner, E. A. (2014). How Do Bank Regulators Determine Capital Adequacy Requirements? Chicago: Coase-Sandor Working Paper Series in Law and Economics.
    Putri, M. (2015). Analisis Faktor-Faktor Yang Mempengaruhi Non-Performing Loan Berdasarkan Jenis Penggunaan Kredit Pada Kepemilikan Bank umum di Indonesia. Bogor: Institut Pertanian Bogor.
    Retnadi, D. (2006). Memilih Bank yang Sehat: Kenali Kinerja dan Pelayanannya. Jakarta: PT Elex Media Komputindo.
    Rime, B. (2001). Capital Requirement and Bank Behaviour: Empirical Evidence for Switzerland. Journal of Banking & Finance, 789-805.
    Rivai, H. V., Basir, S., Sudarto, S., & Veithzal, A. P. (2013). Commercial Bank Management: Manajemen Perbankan dari Teori ke Praktik (1st ed.). Jakarta: PT Raja Grafindo Persada.
    Rochet, J.-C. (1992). Capital requirements and the behaviour of commercial banks. European Economic Review, 1137-1170.
    Shingjergji, A. (2013). The Impact of Macroeconomic Variables on the Non Performing Loans in the Albanian Banking System During 2005 - 2012. Academic Journal of Interdisciplinary Studies, Vol. 2, No. 9.
    Simorangkir, I. (2011). Penyebab Bank Runs di Indonesia : Bad Luck atau Fundamental? Buletin Ekonomi Moneter dan Perbankan.
    Taylor, C. (2018, April 13). What Is Robustness in Statistics? The Strength of Statistical Models, Tests, and Procedures. Retrieved from ThoughtCo.: https://www.thoughtco.com/what-is-robustness-in-statistics-3126323
    Valahzaghard, M. K., Kashefi, M., Alikhani, A., & Hosseini, S. E. (2012). The Effect of Macroeconomic Factors on Credit Risk in the Banking System of Iran. Management Science Letters.
    Wooldridge, J. M. (2013). Introductory Econometrics A Modern Approach 5th Edition. Mason: South-Western, Cengage Learning.
    Wu, W. C., Chang, C. O., & Selvili, Z. (2003). Banking System, Real Estate Markets, and Nonperforming Loans. International Real Estate Review, 43-62.
    Zeman, J., & Jurca, P. (2008). Macro Stress Testing Of The Slovak Banking Sector. Bratislava: National Bank of Slovakia.

    無法下載圖示 全文公開日期 2023/07/06 (校內網路)
    全文公開日期 本全文未授權公開 (校外網路)
    全文公開日期 本全文未授權公開 (國家圖書館：臺灣博碩士論文系統)
    QR CODE