40
Milyar USD
Trilyun USD
35
120
Pembiayaan global Pembiayaan ke Indonesia
30
140
100
25 80 20 60 15 40
10
20
5 Sumber: BIS (2012) 0
0 2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
140 Milyar USD 120 100 80 60 40 20 0
Sumber: BIS (2012) 90 91 92 93 94 95 96 97 98 992000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
1.2
Tujuan Penelitian
(1)
(2)
1.3
Organisasi Penulisan
2.1
Landasan Teori
…. (1) …. (2)
Risiko M 2
A P
2 B
2
N
R B Rp
RA
Return
(3) yaitu (3a) (3b) (3c)
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
Large global bank
Domestic parent balance sheet
Foreign affiliate balance sheet
Liquid assets
Deposits
Foreign liquid assets
Deposits
Loans
Other funds
Loans
Other funds
Domestic loans
External borrowing
Foreign loans
Cross-border loans
Internal borrowing
Internal lending
Capital
Capital
Stand-alone local bank balance sheet Liquid assets
Deposits
Loans
Other funds Cross-border borrowing
Capital
Gambar 4. Transmisi Global Shock pada Perbankan
2.3
Penelitian International Bank Lending
A Cross Border Claims
B
C
Local claims of
Local claims of
foreign affiliates
foreign
in foreign
affiliates in
currency
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
40
140 Trilyun USD
Milyar USD 120
35 30
Foreign Claims International Claims Local Claims
Foreign Claims International Claims
100
25
Local Claims
80
20 60
15 40
10 5
Sumber: BIS (2012)
0
20
Sumber: BIS (2012)
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
90 91 92 93 94 95 96 97 98 992000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
14
Milyar USD
12
10
8
6
4
2
Sumber: BIS (2012) Jun.2011
Dec.2011
Jun.2010
Dec.2010
Jun.2009
Dec.2009
Jun.2008
Dec.2008
Jun.2007
Dec.2007
Jun.2006
Dec.2006
Jun.2005
Dec.2005
Jun.2004
Dec.2004
Jun.2003
Dec.2003
Jun.2002
Dec.2002
Jun.2001
Dec.2001
Jun.2000
Dec.2000
Dec.1999
Dec.1998
Dec.1997
Dec.1996
Dec.1995
Dec.1994
0
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). 140 Milyar USD Indonesia
120
Thailand
100 80 60 40 20 0
Sumber: BIS (2012) 90 91 92 93 94 95 96 97 98 992000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
29% 15% Sep.11
17% 17% 22% 27% 15% 14%
Sep.09 13%
30% 24% 14% 14% 14%
Sep.08
35% 0%
5%
10%
Other Sumber: BIS (2012)
United States
4%
8%
Japan
5%
40%
Europe but UK
43%
17%
21%
30%
19% 18%
10%
Other Sumber: BIS (2012)
United Kingdom
35%
15% 8%
5%
0%
30%
19%
4% 5%
Sep.08
25%
10%
6% 4%
Sep.09
20%
13%
3%
Sep.11
15%
15%
Swiss
20%
Itali
22% 25%
Perancis
28% 30%
Belanda
35%
Jerman
40%
UK
45%
50%
70% 12
Miliar USD
Total Offshore Centres
Developed Developing
60%
10
50%
8
40%
6
30%
20%
4
10%
2
0% -10%
Sumber: DInt (2012)
4
Sumber: DInt (2012)
Offshore Centres Developed Developing
7% 4%
Des 2011
14%
8%
31%
36%
10%
10%
3%
Sep-09
29%
19%
29%
10%
30%
8% 7%
Mar-08
26%
20%
0%
5% Other Dev
10%
15% Other Eur
20% Germany
25% UK
30% USA
35%
Japan
Sumber: DInt (2012)
1,400
Juta USD Europe
1,200
1,000
800
600
400
200
Sumber: DInt (2012) -
Japan
USA
40%
24% Des. 11
35% 42% BUSN Devisa 26% 23%
Sep.08
Bank Persero 40% 50%
Sep.07
42% 17%
0% 10% Sumber: DInt (2012)
400
20%
Trilyu n Rupia h
350 300
30%
40%
Kredit Valas
50%
60%
Pinjaman LN (RHS)
12
Milyar
10 8
250 200
6
150
4
100 2
50 Jun-11
Sep-11
Dec-10
Mar-11
Jun-10
Sep-10
Dec-09
Mar-10
Jun-09
Sep-09
Dec-08
0 Mar-09
Jun-08
Sep-08
Dec-07
Mar-08
Jun-07
Mar-07
0
Sep-07
Sumber: DInt dan DPIP (2012)
Grafik 14. Kredit Valas dan Utang Luar Negeri Perbankan
Trilyun Rp
200
50
0
Sumber: DInt dan DPIP (2012)
4.2 Sep.2000 Feb.2001 Jul.2001 Dec.2001 May.2002 Oct.2002 Mar.2003 Ags.2003 Jan.2004 Jun.2004 Nov.2004 Apr.2005 Sep.2005 Feb.2006 Jul.2006 Dec.2006 May.2007 Oct.2007 Mar.2008 Ags.2008 Jan.2009 Jun.2009 Nov.2009 Apr.2010 Sep.2010 Feb.2011 Jul.2011 Dec.2011
350
Sep.2000 Feb.2001 Jul.2001 Dec.2001 May.2002 Oct.2002 Mar.2003 Ags.2003 Jan.2004 Jun.2004 Nov.2004 Apr.2005 Sep.2005 Feb.2006 Jul.2006 Dec.2006 May.2007 Oct.2007 Mar.2008 Ags.2008 Jan.2009 Jun.2009 Nov.2009 Apr.2010 Sep.2010 Feb.2011 Jul.2011 Dec.2011
400
Foreign Affiliates Bank Persero 2000
Bank BUSN Devisa Total Kredit Valas 1800
300
1400
250
1200
150
600
100
400
Trilyun Rp Foreign Affiliates Bank Persero
Bank BUSN Devisa
1600
Total Kredit Rupiah
1000 800
200
0
Sumber: DInt dan DPIP (2012)
Pengujian Dampak Global Financial Shock terhadap Cross Border Lending
Variabel
cons
5
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***)
-0.72
0.26
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)***
Sargan Test
0.01 (0.006)* 0.579 (0.024)*** -0.01 (0.001)*** -0.103 (0.018)*** 0.047 (0.025)* 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
cons R-square AB test AR1 AB test AR2
(1) OLS
(2) FE
-0.21 (0.04)***) -0.008 (0.006) 0.006 (0.002)**) 0.002 (0.004) 0.003 (0.008) -0.001 (0.001) 0.010 (0.004)**) -0.0003 (0.0001)***) 2.81 (1.64) -0.69 (0.32) 0.21
-0.23 (0.03)**) -0.010 (0.005) 0.007 (0.002) *) -0.003 (0.005) 0.006 (0.007) -0.001 (0.001) 0.010 (0.004)*) -0.0002 (0.0001) 3.29 (1.35)*) -0.72 (0.31) 0.22
(3) ARELLANOBOND -0.23 (0.03)***) -0.010 (0.005)**) 0.007 (0.002)***) -0.003 (0.004) 0.006 (0.006) -0.002 (0.0009)*) 0.010 (0.003)***) -0.0002 (0.00009)***) 3.29 (1.14)***) -0.72 (0.26) 0.06 0.72
Variabel
R-square Sargan Test
(1) OLS(4)
(2) FE(1)
0.782 (0.004)*** -0.04 (0.002)*** -0.011 (0.001)*** 0.799 (0.04)*** 0.097 (0.004)*** 0.004 (0.001)*** 0.259 (0.005)*** -0.003 (0.0005)*** -0.086 (0.008)*** 0.028 (0.009)***
0.651 (0.06)*** 0.202 (0.187) -0.023 (0.029) 0.437 (0.228)* 0.101 (0.028)*** 0.01 (0.02) 0.504 (0.097)*** -0.007 (0.004)* -0.103 (0.039)*** 0.004 (0.072)
0.96
0.96
(3) A-B (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)* 0.48
