THE DETERMINANTS OF LIQUIDITY RISK CASE STUDY IN PRIVATE FOREIGN EXCHANGE BANKS IN INDONESIA PERIOD 2007 – MARCH 2012 FINAL PROJECT
By Fanny Octa Febrina 19009115
Undergraduate Program School of Business and Management Institut Teknologi Bandung
THE DETERMINANTS OF LIQUIDITY RISK CASE STUDY IN PRIVATE FOREIGN EXCHANGE BANKS IN INDONESIA PERIOD 2007 – MARCH 2012 FINAL PROJECT
Fanny Octa Febrina Supervisor: Ir. Achmad Herlanto Anggono, MBA Date of final Presentation: August 15th, 2012 Date of Graduation: October 20th, 2012
ABSTRACT
Global crisis that occur as the effect of U.S subprime mortgage default has affected global financial system. A significant impact of the crisis also felt in banking industry. Many banks do not concern on liquidity risk before this crisis. In fact, a little attention in liquidity made a problem, liquidity has become a major risk faced by banks during the crisis. In Indonesia, many of bank faced liquidity risk at that time. To overcome that problem, central bank of Indonesia also made some regulation according to liquidity problem by released liquidity policy. Besides that, Bank of International Settlement (BIS) also issued Basel III, which presents regulatory standards on liquidity and capital adequacy to monitor and strengthen liquidity risk mitigation. The purpose of this study is to determine the factors that influence liquidity risk. The dependent variable is the Liquidity Coverage Ratio (LCR), which is used as a ratio to measure liquidity risk and the independent variable is the growth of assets and liabilities item consist of demand deposits, savings deposits, time deposits, cash, loan, reserves, securities, and capital. Monthly financial reports obtained from Bank Indonesia, is used to analyze the problem with a sample of Private Foreign Exchange Bank (BUSN) operating in Indonesia as many as 26 banks. Multiple linear regression panel data was used to test the hypothesis in this study. By this studies, known that asset and liabilities instrument growth significantly affect liquidity coverage ratio. There are five variables that affected LCR significantly, which are time deposit, cash, reserves, securities, and capital. It can be concluded that LCR can be used to measure liquidity risk. Although, other ratios need to be used to measure liquidity risk in banking, so all instrument in banking activities can be considered. Keywords: Liquidity risk, Liquidity Coverage Ratio (LCR), Asset and Liabilities Items
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FAKTOR - FAKTOR YANG MENENTUKAN RISIKO LIKUIDITAS STUDI KASUS DALAM BANK UMUM SWASTA DEVISA DI INDONESIA PERIODE 2007 – MARET 2012 TUGAS AKHIR
Fanny Octa Febrina Pembimbing: Ir. Achmad Herlanto Anggono, MBA Tanggal presentasi tugas akhir : 15 Agustus, 2012 Tanggal wisuda : 20 Oktober, 2012
ABSTRAKSI
Krisis global yang terjadi sebagai dampak dari krisis Amerika Serikat telah mempengaruhi sistem keuangan global. Dampak signifikan dari krisis ini juga dirasakan di industri perbankan. Banyak bank yang mengabaikan risiko likuiditas sebelum krisis ini terjadi. Sedikit perhatian terhadap kondisi likuiditas, telah menjadikan risiko likuiditas menjadi isu utama saat krisis terjadi. Di Indonesia, banyak bank yang menghadapi masalah likuiditas pada saat itu. Untuk mengatasi masalah itu, bank sentral Indonesia membuat peraturan untuk mengatasi masalah likuiditas. Selain itu, Bank of International Settlement (BIS) juga mengeluarkan Basel III, yang menyajikan standar peraturan pada likuiditas dan kecukupan modal untuk memantau dan memperkuat mitigasi risiko likuiditas. Tujuan dari penelitian ini adalah untuk menentukan faktor-faktor apa saja yang mempengaruhi risiko likuiditas. Variabel terikat adalah Likuiditas Rasio Cakupan (LCR) yang digunakan sebagai rasio untuk mengukur risiko likuiditas dan variabel independen adalah pertumbuhan pos-pos asset dan liabilitas yang terdiri dari giro, tabungan, deposito berjangka, kas, kredit, cadangan, sekuritas, dan modal. Laporan keuangan bulanan yang didapat dari Bank Indonesia, digunakan untuk menganalisis masalah dengan sampel dari Bank Umum Swasta Nasional Devisa (BUSN) yang beroperasi di Indonesia sebanyak 26 bank. Regresi multi linear data panel digunakan untuk menguji hipotesis dalam penelitian ini. Berdasarkan hasil penelitian, diketahui bahwa pertumbuhan pos-pos asset dan liabilitas berpengaruh secara signifikan terhadap LCR. Terdapat lima variabel mempengaruhi LCR secara signifikan, diantaranya deposito, kas, cadangan, sekuritas, dan modal. Dapat disimpulkan bahwa LCR dapat digunakan untuk mengukur risiko likuiditas. Namun, rasio lain perlu digunakan untuk mengukur risiko likuiditas di perbankan, agar semua instrumen dalam kegiatan perbankan dapat dipertimbangkan. Kata-Kata Kunci: Risiko Likuiditas, Liquidity Coverage Ratio (LCR), Pos-pos Asset dan Likuiditas
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VALIDATION PAGE
THE DETERMINANTS OF LIQUIDITY RISK CASE STUDY IN PRIVATE FOREIGN EXCHANGE BANKS IN INDONESIA PERIOD 2007 – MARCH 2012
By:
FANNY OCTA FEBRINA ID No: 19009115
Undergraduate Program School of Business and Management Institut Teknologi Bandung
Supervisor
__________________________________ Ir. Achmad Herlanto Anggono, MBA NIP: 999089103
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FOREWORD
Praise be to Allah SWT, The cherisher and sustainer of the worlds, God who has been giving His blessing and mercy to the writer to complete this final project entitled " The Determinants Of Liquidity Risk In Private Foreign Exchange Banks In Indonesia Period 2007 – March 2012.” This final project is submitted to fulfill one of the requirements to gain college degree of Business and Management in School Business and Management Institute Technology of Bandung. In finishing this final project, the writer really gives her regards and thanks for people who has given guidance and help!" without them this thesis would not have been possible, they are: •
Ir. Achmad Herlanto Anggono, MBA, the supervisor who has given his best guidance to write a quality content of this final project.
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The lecturers and tutors in SBM ITB, for all the input and thoughts about the subject and the everlasting positive energy and motivation.
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My parents, Yohan A.N and Eka Pujiasih, especially my mom and my sisters; Amanda and Adinda, and all of my family who always give their supports and motivation.
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My super SBM-mates, Riken, Linda, Meliana, Dhira, Dea, Humaira, thank you for your support and for becoming my super good friend, you guys made my studying in SBM much more fun.
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Marvin, who help me finish my final project and for their constant support during the time I studied.
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Yudis, Gola, Rizky, Tasya, Gloria, Abraham, Faris, Bintang, my partner during this final project.
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SBM 2012 friends, Bingo Company, DG 8, thank you for all the experience within three years together.
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Nadita Ceismi, my friend from primary school that never gets tired to help and support me until now.
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Fellyn, my girlfriend that always send motivational quotes and prays, and also Arina, Nadinastiti, Dea Safitri, Andhari, Icha, Ulfa my beloved junior high school.
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My best friend from senior high school, Irfandie and Nero Girls (Uki, Andri, Yanti, Ana, Ira, Dea Isni) who always help and accompany me during wrote this final project.
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My friends who cannot be mentioned one by one.
Finally, the writer realizes there are unintended errors in writing this final project. She really allows all readers to give their suggestion to improve its content in order to be made as one of the good examples for the next project.
Bandung, July 22, 2012
Fanny Octa Febrina
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LIST OF CONTENTS
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LIST OF IMAGES
Figure 2.1 Research Framework………………………………………………………..15 Figure 3.1 Methodology Framework……………………………………………….…..18 Figure 3.2 Data Analysis Flow………………………………………………...……….21
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LIST OF TABLES Table 2.1 Liquidity Coverage Ratio Formulations……………………………………....8 Table 2.2 Balance Sheet of Commercial Bank…………………………………………10 Table 2.3 Summary of Previous Research……………………………...……………...14 Table 3.1 Samples of Foreign Exchange Banks………………………………......……19 Table 3.2 Identified Variables……………………………………………………...…..20 Table 4.1 Likelihood Ratio Test Result………………………………………………...26 Table 4.2 Hausman Test Result…………………………………...……………….…...27 Table 4.3 Unit Root Test Result ……………………………………………...………..28 Table 4.4 Normality Test Result……………………………………...………………. 29 Table 4.5 Fixed Effect Method Multiple Regression Result……………………...……30 Table 4.6 Coefficient Correlations and The Estimation………………...……………...31 Table 4.7 Fixed Effect Method Multiple Regression Result (Final Result)…………....33
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LIST OF EQUATIONS
Equation 3.1…………………………………………………………………………….22 Equation 3.2…………………………………………………………………………….22 Equation 4.1…………………………………………………………………………….31 Equation 3.2…………………………………………………………………………….34
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LIST OF APPENDICES
APPENDIX 1 .......................................................................................................................... 45 POPULATIONS OF PRIVATE FOREIGN EXCHANGE BANKS
APPENDIX 2 .......................................................................................................................... 46 THE AMOUNT OF ASSETS AND LIABILITIES ITEMS
APPENDIX 3 .......................................................................................................................... 55 THE LIQUIDITY COVERAGE RATIO
APPENDIX 4 .......................................................................................................................... 57 THE GROWTH OF ASSETS AND LIABILITIES ITEMS
APPENDIX 5 .......................................................................................................................... 66 INPUT DATA OF DEPENDENT AND INDEPENDET VARIABLES (LN)
APPENDIX 6 ........................................................................................................................ 118 THE RESULT OF DATA ANALYSIS
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