RSS Feed (xml)
By : Fiathin Romza, SE
Abstract
Bank lending to economic sectors have a high risk. To minimize these risks, it is necessary to measure the default probability at Indonesian banks. This study aims to measure the level of default probability of banking sector in Indonesia using the Merton model. The study also measured the level of banking efficiency by using a model of Data Envelopment Analysis (DEA). The relationship between the level of default probability and the efficiency of the sector is used as an early warning system to the default condition of Indonesian banks. Further panel data regression analysis conducted to determine the effect of external and internal banking variables on the results of the default probability estimates of the banking sector in Indonesia.
Default probability of sector research was conducted based on credit data provided six categories of commercial banks, namely State-Owned Banks, Foreign Exchange of National Private Commercial Banks, Non Foreign Exchange of National Private Commercial Banks, Regional Development Banks, Bank of mixture, and foreign banks, as well as Islamic Banking credit given to the 10 sectors of the economy during the period of 2005 -2010. Banking efficiency is measured using data Third Party Fund (DPK), equity, number of bank offices, Interest of Bank Indonesia Certificates (SBI) as input variables and the data of total loans, credit to economic sector, non-performing loans (NPLs), Loan to Deposit Ratio (LDR) as an output variable. While the panel data regression analysis, the dependent variable used is the default probability of banking sector in Indonesia and the independent variables used are inflation, Composite Stock Price Index (IHSG), and placement of banking at Bank Indonesia Certificates (SBI).
The results show that default probability of sector has increased from year to year. Level of default probability was highest in the sector of electricity, gas, and water with an average of 58.44%, while the lowest level of default probability occurred in trade, restaurants and hotels with an average of 0.74% in 2010. The results of measurement of the efficiency of banking with Warwick Windows DEA software showed that all categories of banking during the period 2005-2010 has a high degree of efficiency (> 75%) and average level of efficiency indicates perfect (100%). Based on the relationship between the level of default probability and the efficiency of the banking sector is derived model of an early warning system that can be used as a signal of the current banking conditions. While the results of regression analysis of panel data shows that external and internal banking factors (inflation, IHSG, and placements at SBI) can affect the default probability of sector.
JEL : E5
Keywords: Credit to Economic Sector, Default Probability of Sector, Merton Model, and Banking Efficiency.
No comments:
Post a Comment