40 Trilyun USD Milyar USD 140 35 30 Pembiayaan global Pembiayaan ke Indonesia 120 100 25 20 15 80 60 10 40 5 Sumber: BIS (2012) 0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20 0
140 Milyar USD 120 100 80 60 40 20 0 Sumber: BIS (2012) 90 91 92 93 94 95 96 97 98 99 2000 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 2 P A 2 B N R B R p R A Return (3) yaitu (3b) (3c) (3a)
Aktiva Excess Reserve Giro Wajib Minimum Kredit Obligasi Pemerintah SBI Term Deposit PUAB Surat berharga lainnya Passiva Rekening Giro dan Tabungan Deposito Berjangka Sumber dana lain Modal
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 Cross-border loans External borrowing Internal borrowing Foreign loans Internal lending Capital Capital Stand-alone local bank balance sheet Liquid assets Loans Deposits Other funds Cross-border borrowing Capital Gambar 4. Transmisi Global Shock pada Perbankan 2.3 Penelitian International Bank Lending
A B C Local claims of Local claims of Cross foreign affiliates foreign Border in foreign affiliates in Claims 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 Trilyun USD 140 Milyar USD 35 30 25 Foreign Claims International Claims Local Claims 120 100 80 Foreign Claims International Claims Local Claims 20 15 60 10 40 5 Sumber: BIS (2012) 20 Sumber: BIS (2012) 0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 0 90 91 92 93 94 95 96 97 98 99 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Dec.1994 Dec.1995 Dec.1996 Dec.1997 Dec.1998 Dec.1999 Jun.2000 Dec.2000 Jun.2001 Dec.2001 Jun.2002 Dec.2002 Jun.2003 Dec.2003 Jun.2004 Dec.2004 Jun.2005 Dec.2005 Jun.2006 Dec.2006 Jun.2007 Dec.2007 Jun.2008 Dec.2008 Jun.2009 Dec.2009 Jun.2010 Dec.2010 Jun.2011 Dec.2011 14 Milyar USD 12 10 8 6 4 2 Sumber: BIS (2012) 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 99 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Sep.11 15% 17% 17% 22% 29% Sep.09 15% 14% 13% 27% 30% Sep.08 14% 14% 14% 24% 35% 0% 5% 10% 15% 20% 25% 30% 35% 40% Other United States Japan United Kingdom Europe but UK Sumber: BIS (2012) Sep.11 3% 4% 10% 8% 13% 19% 43% Sep.09 4% 6% 8% 15% 17% 21% 30% Sep.08 5% 4% 5% 19% 18% 22% 28% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% Other Swiss Itali Perancis Belanda Jerman UK Sumber: BIS (2012)
12 Miliar USD Total Offshore Centres Developed Developing 70% 60% Offshore Centres Developed Developing 10 50% 8 40% 6 30% 4 20% 2 10% - 0% Sumber: DInt (2012) -10% Sumber: DInt (2012) 4
Des 2011 4% 7% 8% 14% 31% 36% Sep-09 3% 10% 10% 19% 29% 29% Mar-08 8% 7% 10% 20% 26% 30% 0% 5% 10% 15% 20% 25% 30% 35% 40% Sumber: DInt (2012) Other Dev Other Eur Germany UK USA Japan 1,400 1,200 Juta USD Europe Japan USA 1,000 800 600 400 200 Sumber: DInt (2012) -
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 Des. 11 24% 35% 42% BUSN Devisa Sep.08 26% 23% 40% Bank Persero Sep.07 17% 42% 50% 0% 10% 20% 30% 40% 50% 60% Sumber: DInt (2012) 400 350 300 250 Trilyu n Rupia h Kredit Valas Pinjaman LN (RHS) Milyar 12 10 8 200 6 150 100 50 0 Sumber: DInt dan DPIP (2012) 4 2 0 Grafik 14. Kredit Valas dan Utang Luar Negeri Perbankan
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 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 400 350 300 250 200 150 100 50 0 Trilyun Rp Foreign Affiliates Bank BUSN Devisa Bank Persero Total Kredit Valas 2000 1800 1600 1400 1200 1000 800 600 400 200 0 Trilyun Rp Foreign Affiliates Bank BUSN Devisa Bank Persero Total Kredit Rupiah Sumber: DInt dan DPIP (2012) Sumber: DInt dan DPIP (2012) 4.2 Pengujian Dampak Global Financial Shock terhadap Cross Border Lending
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 -0.21 (0.04)***) -0.23 (0.03)**) -0.008-0.010 (0.006) (0.005) 0.006 0.007 (0.002)**) (0.002) *) 0.002-0.003 (0.004) (0.005) 0.003 0.006 (0.008) (0.007) -0.001-0.001 (0.001) (0.001) 0.010 0.010 (0.004)**) (0.004)*) -0.0003-0.0002 (0.0001)***) (0.0001) 2.81 3.29 (1.64) (1.35)*) cons -0.69-0.72 (0.32) (0.31) R-square 0.21 0.22 AB test AR1 AB test AR2 (3) ARELLANO- BOND -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 (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