No abstract

No abstract

Issues related to financial stability are a very complex problem, especially the global crisis impact in 2008. Based on these conditions, the Basel Committee on Banking Supervision introduced a macroprudential policy to mitigate financial system risk systemically. The study aims to analyze the impact of macroprudential policy on the banks’ risk exposure by adopting credit risk as a risk proxy. By adopting a panel dynamic approach, credit risk is used to be a dependent variable while independent variables consist of the reserve requirement, capital buffer, and a net open position in either conventional and Islamic banks. The observation period starts from 2014 to 2019 with quarterly data, and it involves 22 banks in Indonesia. The study found that macroprudential policy has a long-run relationship to Islamic banks' credit risk but not to conventional banks. The result from Variance Decompositions (VDs) and Impulse Response Factors (IRFs) also showed that each independent variables have an impact to credit risk value in many different directions.  According to that, this study suggests that Indonesian financial authority has to pay attention to the different effectiveness and impact of its macroprudential policy, which has to consider the specific characteristics of either conventional or Islamic banks..

Since the implementation of Banking Regulation Number 10 year 1998, Indonesia has two banking systems that must be maintained and controlled, is conventional banking and Islamic banking. Indonesia as a developing country is very vulnerable to economic turmoil related to macroeconomic factors. The problematic crisis experienced by Indonesia in 1998 has been a proof of the weakness of the resilience of the banking system in Indonesia, especially in conventional banking. The condition of syariah banking in Indonesia which majority originated from the Islamic bank window has the potential to have a high degree of vulnerability during a crisis. Let's say in the management of liquidity management is still dependent on the parent company, namely conventional banking. If conventional banking is experiencing financial difficulties due to unfavorable macroeconomic conditions, then the management of subsidiaries' liquidity also has the possibility to be disturbed. Based on the results of data analysis that has been described previously shows that macroeconomic factors such as the interest rate of Bank Indonesia, inflation rate and GDP growth have a significant influence on the performance of banks both measured by the level of profit and risk. This shows that the banking industry in Indonesia should pay great attention to the dynamics of macroeconomic factors that are happening. This should be done by the bank to be able to respond appropriately to the macroeconomic conditions that are and will happen to the fore.Keywords                   : Macroeconomics, Dual Banking System, Panel Data EstimationCorrespondence to      : jannatul.mustain@ep.uad.ac.id, fakhrunnasfaaza@gmail.com ABSTRAK  Sejak diterapkannya Undang-Undang No.10 Tahun 1998, Indonesia memiliki dua sistem perbankan yang harus dijaga dan dikendalikan yakni perbankan konvensional serta perbankan syariah. Indonesia sebagai negara berkembang sangat rentan terhadap gejolak ekonomi terkait faktor makroekonomi. Problematika krisis yang dialami oleh Indonesia ditahun 1998 menjadi bukti terkait lemahnya daya tahan sistem perbankan di Indonesia, terutama pada perbankan konvensional. Kondisi perbankan syariah di Indonesia yang mayoritas berawal dari islamic bank window berpotensi untuk memiliki tingkat kerentanan yang tinggi ketika terjadi krisis. Misalkan saja dalam pengelolaan manajemen likuiditas yang masih bergantung kepada perusahan induk, yakni perbankan konvensional. Jika perbankan konvensional sedang mengalami kesulitan keuangan karena kondisi makro ekonomi yang kurang baik, maka manajemen likuditas anak perusahaan pun memiliki kemungkinan untuk terganggu. Berdasarkan hasil analisa data yang telah dijelaskan sebelumnya menunjukan bahwa faktor makro ekonomi seperti tingkat suku bunga Bank Indonesia, tingkat inflasi dan pertumbuhan GDP memiliki pengaruh yang signifikan terhadap kinerja perbankan baik diukur dengan tingkat keuntungan maupun resiko. Hal ini menunjukan bahwa industri perbankan di Indonesia harus memberikan perhatian yang besar terhadap dinamika faktor makro ekonomi yang sedang terjadi. Hal tersebut harus dilakukan oleh bank untuk dapat memberikan respon secara tepat terhadap kondisi ekonomi makro yang sedang dan akan terjadi kedepan.Kata Kunci                 : Makro Ekonomi, Sistem Perbankan Ganda, Estimasi Data PanelKorespondensi             : jannatul.mustain@ep.uad.ac.id, fakhrunnasfaaza@gmail.com