Macro Determinants on Non-Performing Loans of Indonesia Commercial Banks (Credit Risk Scenario)

Abstract

A stable financial system is significant for an economy. Commercial banks play a critical role in facilitating the flow of credit and boosting the productivity of businesses through investment funding. In addition to receiving deposits, commercial banks provide loans to customers, exposing them to credit risk in the form of non-performing loans (NPL). This study aims to analyze the determinants of NPL and stress-test macro variables in the Indonesian banking system. The findings of this study, which used a data panel (Stata 17) and the Monte Carlo Stressing test of the Value at Risk (VAR) approach by studying a sample of 43 Commercial Banks listed on the IDX from 2008.1 to 2023.4, are significant. The main findings are Non-Performing Loan lag -1 (NPLt-1), Loan Deposit Ratio (LDR), Interest rate (SBI) and inflation (INF), and the significance of Non-Performing Loan (NPL). The results of the NPL Stress Scenario based on the VaR approach with interest rate and inflation shock carried out are still much lower than based on the provisions of Bank Indonesia Regulation Number 06/10/PBI/2004 concerning the Health Level Assessment System for Commercial Banks, the NPL ratio is 5 percent. It can be concluded that the NPL condition of commercial banks in Indonesia from 2008 to 2023 is still below the specified limit to face serious credit problems. These significant findings can engage and interest the audience, particularly those involved in the Indonesian banking system and macro prudential policies, and provide them with valuable insights. Keywords—Commercial Banks; Non-Performing Loan; Value at RiskSistem keuangan yang sehat sangat penting bagi perekonomian suatu negara. Lembaga keuangan khususnya Bank Komersial tidak hanya memfasilitasi aliran kredit dalam perekonomian, tetapi juga meningkatkan produktivitas unit bisnis melalui pendanaan investasi. Selain menerima simpanan, bank umum juga memberikan pinjaman kepada nasabah sehingga menimbulkan resiko kredit dalam bentuk Non-Performing Loan (NPL). Penelitian ini bertujuan menganalisis factor penentu NPLserta melakukan stress testing variable makro pada sistem perbankan di Indonesia. Penelitian menggunakan pendekatan data panel (Stata 17) dan Value at Risk dengan Monte Carlo Stress Test pada 43 sampel Bank Umum yang terdaftar di Bursa Efek Indonesia selama periode 2008.1 hingga 2003.4. Berdasarkan hasil olah, Non-Performing Loan pada periode sebelumnya (NPL-1), Loan to Deposit Ratio (LDR), suku bunga (SBI) dan Inflasi (INF) berpengaruh signifikan terhadap Non-Performing Loan (NPL). Sementara itu, hasil skenario stress test NPL berdasarkan pendekatan VaR dengan shock suku bunga dan inflasi menunjukkan kondisi yang masih lebih rendah dibandingkan denan ketentuan Bank Indonesia berdasarkan peraturan nomor 06/10/PBI/2004 tentang Sistem Penilaian Tingkat Kesehatan Bank Umum dengan rasio NPL sebesar 5 persen. Sehingga dapat disimpulkan kondisi NPL Bank Umum di Indonesia selama periode 2008 hingga 2023 masih berada dibawah batas yang ditentukan untuk menghadapi permasalahan kredit yang serius. Temuan ini diharapkan dapat menarik perhatian pembaca dan memberikan wawasan khususnya bagi pengambil keputusan dalam sistem perbankan Indonesia dan kebijakan makroprudensial. Kata kunci— Bank Komersial; Non-Performing Loan; Value at Risk