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0
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60
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120
140
0
5
10
15
20
25
30
35
40
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Pembiayaan global
Pembiayaan ke Indonesia
Trilyun USD Milyar USD
Sumber: BIS (2012)
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60
80
100
120
140
90 91 92 93 94 95 96 97 98 99 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Milyar USD
Sumber: BIS (2012)
1.2 Tujuan Penelitian
(1)
(2)
1.3 Organisasi Penulisan
2.1 Landasan Teori
…. (1)
…. (2)
(3)
yaitu
(3a)
(3b)
(3c)
Risiko
N
2
2
ReturnRARB
2
Rp
B
M
A
P
Aktiva Passiva
Excess Reserve Rekening Giro dan Tabungan
Giro Wajib Minimum Deposito Berjangka
Kredit Sumber dana lain
Obligasi Pemerintah Modal
SBI
Term Deposit
PUAB
Surat berharga lainnya
2.2 Pengaruh
2.2.1 Krisis Global terhadap Pasar Keuangan
ΔRi,t = αi,t + βi,tΔRb,t + εi,t …. (9)
Δ ‐
JCI = f[DJIA,
(10)
α ε
2.2.2 Internal dan External Capital Market dan Neraca Perbankan
Gambar 4. Transmisi Global Shock pada Perbankan
2.3 Penelitian International Bank Lending
Large global bank
Domestic parent
balance sheet
Liquid assets Deposits
Loans
Domestic loans
Cross-border loans
Other funds
External borrowing
Internal borrowing
Capital
Foreign affiliate
balance sheet
Foreign liquid assets Deposits
Loans
Foreign loans
Internal lending
Other funds
Capital
Stand-alone local bank
balance sheet
Liquid assets
Loans
Deposits
Other funds
Capital
Cross-border borrowing
A
B
C
Cross
Border
Claims
Local claims of
foreign affiliates
in foreign
currency
Local claims of
foreign
affiliates in
local currency
International Claims (A+B)
Foreign Claims (A+B+C)
3.2 Pengujian Dampak Global Financial Shock terhadap Cross Border Lending
∆
3.3 Pengujian Dampak Penempatan Perbankan Global ke Indonesia terhadap
Perilaku Kredit di Indonesia Via Foreign Affiliates
4.1 Analisis Deskriptif
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5
10
15
20
25
30
35
40
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Foreign Claims
International Claims
Local Claims
Trilyun USD
Sumber: BIS (2012)
0
20
40
60
80
100
120
140
90 91 92 93 94 95 96 97 98 99 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Foreign Claims
International Claims
Local Claims
Milyar USD
Sumber: BIS (2012)
Grafik 5. Pergerakan International Claims ke Perbankan Indonesia 1994-2011
Sumber: BIS (2012)
Volatilitas pembiayaan perbankan dan sudden reversal tidak hanya dialami Indonesia,
tetapi juga dialami negara berkembang lainnya, seperti Thailand pada krisis 1998 (Grafik 6).
0
2
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6
8
10
12
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Dec
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Dec
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95
Dec
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96
Dec
.19
97
Dec
.19
98
Dec
.19
99
Jun
.20
00
Dec
.20
00
Jun
.20
01
Dec
.20
01
Jun
.20
02
Dec
.20
02
Jun
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Dec
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Dec
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Jun
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Jun
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Dec
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Jun
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Dec
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07
Jun
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Dec
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Jun
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Dec
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Jun
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10
Jun
.20
11
Dec
.20
11
Milyar USD
Sumber: BIS (2012)
0
20
40
60
80
100
120
140
90 91 92 93 94 95 96 97 98 99 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Indonesia
Thailand
Milyar USD
Sumber: BIS (2012)
35%
30%
22%
14%
13%
17%
14%
14%
17%
14%
15%
15%
24%
27%
29%
0% 5% 10% 15% 20% 25% 30% 35% 40%
Sep.08
Sep.09
Sep.11
Other United States Japan United Kingdom Europe but UK Sumber: BIS (2012)
28%
30%
43%
22%
21%
19%
18%
17%
8%
5%
8%
10%
4%
4%
3%
19%
15%
13%
5%
6%
4%
0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50%
Sep.08
Sep.09
Sep.11
Other Swiss Itali Perancis Belanda Jerman UK Sumber: BIS (2012)
4
-
2
4
6
8
10
12 Total Developed
Offshore Centres Developing
Miliar USD
Sumber: DInt (2012)
-10%
0%
10%
20%
30%
40%
50%
60%
70%
Offshore Centres Developed Developing
Sumber: DInt (2012)
20%
29%
36%
26%
19%
31%
7%
29%
8%
8%
3%
4%
30%
10%
14%
10%
10%
7%
0% 5% 10% 15% 20% 25% 30% 35% 40%
Mar-08
Sep-09
Des 2011
Other Dev Other Eur Germany UK USA Japan Sumber: DInt (2012)
-
200
400
600
800
1,000
1,200
1,400
Europe Japan USA
Juta USD
Sumber: DInt (2012)
Grafik 14. Kredit Valas dan Utang Luar Negeri Perbankan
17%
40%
42%
42%
23%
35%
50%
26%
24%
0% 10% 20% 30% 40% 50% 60%
Sep.07
Sep.08
Des. 11
BUSN Devisa
Bank Persero
Sumber: DInt (2012)
0
2
4
6
8
10
12
0
50
100
150
200
250
300
350
400
Mar
-07
Jun
-07
Sep
-07
Dec
-07
Mar
-08
Jun
-08
Sep
-08
Dec
-08
Mar
-09
Jun
-09
Sep
-09
Dec
-09
Mar
-10
Jun
-10
Sep
-10
Dec
-10
Mar
-11
Jun
-11
Sep
-11
Kredit Valas Pinjaman LN (RHS) Milyar Trilyun Rupiah
Sumber: DInt dan DPIP (2012)
4.2 Pengujian Dampak Global Financial Shock terhadap Cross Border Lending
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400
Sep
.200
0
Feb
.200
1
Jul.2
001
Dec
.200
1
May
.200
2
Oct
.200
2
Mar
.200
3
Ags
.200
3
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.200
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04
No
v.20
04
Ap
r.20
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.200
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Jul.2
006
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.200
7
Mar
.200
8
Ags
.200
8
Jan
.200
9
Jun
.20
09
No
v.20
09
Ap
r.20
10
Sep
.201
0
Feb
.201
1
Jul.2
011
Dec
.201
1
Foreign Affiliates Bank Persero
Bank BUSN Devisa Total Kredit Valas
Trilyun Rp
Sumber: DInt dan DPIP (2012)
0
200
400
600
800
1000
1200
1400
1600
1800
2000
Sep
.200
0
Feb
.200
1
Jul.2
001
Dec
.200
1
May
.200
2
Oct
.20
02
Mar
.200
3
Ags
.200
3
Jan
.200
4
Jun
.200
4
No
v.20
04
Ap
r.20
05
Sep
.200
5
Feb
.200
6
Jul.2
006
Dec
.200
6
May
.200
7
Oct
.20
07
Mar
.200
8
Ags
.200
8
Jan
.200
9
Jun
.200
9
No
v.20
09
Ap
r.20
10
Sep
.201
0
Feb
.201
1
Jul.2
011
Dec
.201
1
Foreign Affiliates Bank Persero
Bank BUSN Devisa Total Kredit Rupiah
Trilyun Rp
Sumber: DInt dan DPIP (2012)
Variabel Coef. Robust Std. Err
-0.23 0.03***)
-0.010 0.005**)
0.007 0.002***)
-0.003 0.004
0.006 0.006
-0.002 0.00009*)
-0.0002 0.00009***)
0.01 0.003***)
3.29 1.14***)
cons -0.72 0.26
5 Uji sargan tidak dapat dilakukan setelah menggunakan model panel dinamis dengan robust standard
error karena distribusi tes sargan tidak diketahui saat disturbances bersifat heteroskedastic (Drukker, 2008)
4.3 Pengujian Dampak Penempatan Perbankan Global ke Indonesia terhadap
Perilaku Kredit di Indonesia Via Foreign Affiliate
Variabel ARELLANO-BOND (REV1)
0. 655
(0.013)***
0.245
(0.051)***
-0.01
(0.009)
0.462
(0.089)***
0.087
(0.007)***
0.01
(0.006)*
0.579
(0.024)***
-0.01
(0.001)***
-0.103
(0.018)***
0.047
(0.025)*
Sargan Test 0.48
Variabel p-value (Fisher) p-value Breitung p-value IPS p-value LLC
0.0000***) 0.0000***) 0.0000***) 0.0000***)
0.0783*) 0.0123**) 0.0407**) 0.0000***)
0.0027***) 0.0000***) 0.0018***) 0.0008***)
0.0920*) 0.0264**) 0.0941*) 0.1237
0.0071**) 0.8283 0.2566 0.0004***)
0.0733*) 0.2960 0.0299 0.0000***)
0.0000***) 0.0000***) 0.0000***) 0.0509*)
0.0001***) 0.0000***) 0.0001***) 0.0478**)
0.0037***) 0.1642 0.0030***) 0.0000***)
Variabel (1)
OLS
(2)
FE
(3)
ARELLANO-
BOND
-0.21
(0.04)***)
-0.23
(0.03)**)
-0.23
(0.03)***)
-0.008
(0.006)
-0.010
(0.005)
-0.010
(0.005)**)
0.006
(0.002)**)
0.007
(0.002) *)
0.007
(0.002)***)
0.002
(0.004)
-0.003
(0.005)
-0.003
(0.004)
0.003
(0.008)
0.006
(0.007)
0.006
(0.006)
-0.001
(0.001)
-0.001
(0.001)
-0.002
(0.0009)*)
0.010
(0.004)**)
0.010
(0.004)*)
0.010
(0.003)***)
-0.0003
(0.0001)***)
-0.0002
(0.0001)
-0.0002
(0.00009)***)
2.81
(1.64)
3.29
(1.35)*)
3.29
(1.14)***)
cons -0.69
(0.32)
-0.72
(0.31)
-0.72
(0.26)
R-square
AB test AR1
AB test AR2
0.21 0.22
0.06
0.72
Variabel (1)
OLS(4)
(2)
FE(1)
(3)
A-B (REV1)
0.782
(0.004)***
0.651
(0.06)***
0. 655
(0.013)***
-0.04
(0.002)***
0.202
(0.187)
0.245
(0.051)***
-0.011
(0.001)***
-0.023
(0.029)
-0.01
(0.009)
0.799
(0.04)***
0.437
(0.228)*
0.462
(0.089)***
0.097
(0.004)***
0.101
(0.028)***
0.087
(0.007)***
0.004
(0.001)***
0.01
(0.02)
0.01
(0.006)*
0.259
(0.005)***
0.504
(0.097)***
0.579
(0.024)***
-0.003
(0.0005)***
-0.007
(0.004)*
-0.01
(0.001)***
-0.086
(0.008)***
-0.103
(0.039)***
-0.103
(0.018)***
0.028
(0.009)***
0.004
(0.072)
0.047
(0.025)*
R-square
Sargan Test
0.96 0.96
0.48
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