NUR KHOLISHOH, LILIS (2024) EFISIENSI KEBIJAKAN MONETER DAN RISIKO SISTEMIK PADA INDUSTRI PERBANKAN DI INDONESIA. Master thesis, UNIVERSITAS SULTAN AGENG TIRTAYASA.
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Abstract
This research aims to identify the relation between monetary policy efficiency (MPE), macroprudential policy (MaPP), central bank rate (CBR), financial development (FD), money supply (MS), non-performing loans (NPL), loan to deposit ratio (LDR), and capital adequacy ratio (CAR) on systemic risk in the banking industry in Indonesia for the period from Q1 2010 to Q4 2023. The estimation results using the GMM panel show that MPE has a significant negative relation with systemic risk. However, MaPP has a positive and significant relation with MPE. Meanwhile, CBR has a significant negative relation with systemic risk. On the other hand, financial development and CAR have a positive and significant relation with systemic risk. While money supply, NPL, and LDR have a negative relation with systemic risk. These findings imply that policymakers should increase the efficiency of monetary policy, implement strict monetary policies by raising the central bank rate, and consider monetary policy easing to reduce the level of bank systemic risk.
| Item Type: | Thesis (Master) | |||||||||
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| Additional Information: | Penelitian ini bertujuan untuk mengidentifikasi pengaruh dari efisiensi kebijakan moneter (monetary policy efficiency = MPE), kebijakan makroprudensial (macroprudential policy = MaPP), suku bunga bank sentral (central bank rate = CBR), financial development (FD), jumlah uang beredar (money supply = MS), non-performing loans (NPL), loan to deposit ratio (LDR), capital adequacy ratio (CAR) terhadap Risiko Sistemik (systemic risk) pada industri perbankan di Indonesia pada periode 2010Q1 sampai dengan 2023Q4. Hasil estimasi menggunakan panel GMM menunjukan bahwa MPE memiliki pengaruh negatif dan signifikan terhadap systemic risk. Akan tetapi MaPP memiliki pengaruh positif dan signifikan terhadap MPE. Sedangkan CBR memiliki pengaruh negatif dan signifikan terhadap systemic risk. Sementara itu, financial development dan CAR memiliki pengaruh positif dan signifikan terhadap systemic risk. Sedangkan money supply, NPL dan LDR memiliki pengaruh negatif terhadap systemic risk. Temuan tersebut memberi implikasi kepada pengambil kebijakan supaya meningkatkan efisiensi kebijakan moneter, melakukan kebijakan moneter yang ketat dengan meningkatkan suku bunga bank sentral, serta melakukan pelonggaran kebijakan moneter supaya dapat menurunkan tingkat bank systemic risk. | |||||||||
| Uncontrolled Keywords: | Monetary Policy Efficiency, Macroprudential Policy, Central Bank Rate, Financial Development, Money Supply, NPL, LDR, CAR, Systemic Risk, GMM (Generalized Method of Moments). Monetary Policy Efficiency, Macroprudential Policy, Central Bank Rate, Financial Development, Money Supply, NPL, LDR, CAR, Sistemic Risk, GMM (Generalized Method of Moment). | |||||||||
| Subjects: | H Social Sciences > H Social Sciences (General) | |||||||||
| Divisions: | 08-Pascasarjana | |||||||||
| Depositing User: | Mrs Lilis Nur Kholishoh | |||||||||
| Date Deposited: | 18 Mar 2025 06:21 | |||||||||
| Last Modified: | 18 Mar 2025 06:43 | |||||||||
| URI: | http://eprints.untirta.ac.id/id/eprint/47906 |
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