MEMPREDIKSI GEJOLAK PERBANKAN DI INDONESIA DENGAN PENDEKATAN MARKOV SWITCHING VAR
Abstract
Penelitian ini bertujuan untuk mendeteksi indikator dini penyebab krisis perbankan konvensional dan perbankan syariah, mengidentifikasi periode terpanjang gejolak antara kedua perbankan serta membandingkan stabilitas antara keduanya. Metode yang digunakan yaitu pendekatan Markov Switching Vector Autoregressive (MS-VAR), dimana kelebihan pendekatan ini adalah nilai batas indeks krisis (threshold) merupakan variabel endogenous dengan kata lain periode distress dan lamanya gejolak merupakan bagian dari hasil estimasi. Leading indikator mikro untuk perbankan konvensional adalah cash ratio dan leading indicator makro untuk perbankan konvensional adalah interest rate. Sedangkan leading indikator mikro untuk perbankan syariah yaitu bank deposit dan cash ratio serta leading indicator makro untuk perbankan syariah yaitu interest rate, inflasi, kredit domestik, money supply dan current account/gdp. Z-score perbankan konvensional lebih tinggi (10.98) dari Z-score perbankan syariah (9.93) artinya secara umum perbankan konvensional lebih stabil dari perbankan syariah. Namun periode gejolak dialami perbankan konvensional yaitu sekitar Oktober 2014 – Januari 2016 sedangkan periode gejolak perbankan syariah sekitar Januari 2008 – Desember 2008.
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