ANALISIS SISTEM DETEKSI DINI TERHADAP KRISIS PERBANKAN SYARIAH
Main Article Content
Abstract
Penelitian ini bertujuan untuk menganalisis model sistem deteksi dini (early warning system/EWS) pada perbankan Syariah. Data dalam penelitian ini berbentuk time series bulanan dari bulan Januari 2004 sampai bulan Desember 2016. Indikator dependen dalam penelitian ini adalah indeks ketahanan perbankan syariah (Syariah banking robustness index), indikator dependen ini dibentuk melalui dua komponen yaitu dana pihak ketiga (DPK) dan pembiayaan perbankan Syariah. Sedangkan indikator independen yaitu non performing financing (NPF), financing deposit to ratio (FDR), inflasi, produk domestik bruto (PDB) dan suku bunga. Hasil penelitian menunjukkan berdasarkan indeks ketahanan perbankan Syariah (Syariah banking robustness index), terdapat ketahanan yang buruk pada perbankan Syariah di tahun 2004 dan 2005. Ketahanan yang buruk ini lebih disebabkan oleh faktor internal perbankan. Selain itu, berdasarkan 5 indikator yang digunakan, hanya 3 indikator yang dapat menjadi leading indicators yaitu suku bunga, inflasi dan financing to deposit ratio (FDR). Tiga leading indicators didapatkan berdasarkan penilaian berbagai kriteria, salah satunya adalah noise to signal ratio (NSR). Langkah selanjutnya adalah mengolah 3 leading indicators dengan logit. Hasil dengan logit menunjukkan dari 3 leading indicators,hanya suku bunga yang berpengaruh signifikan dan nilai ods ratio leading indicator suku bunga sebesar 79.29%. Kesimpulan dari penelitian ini adalah indikator suku bunga menjadi indikator yang sangat berpengaruh terhadap kinerja perbankan Syariah.
Article Details
How to Cite
Sumandi, S. (2017). ANALISIS SISTEM DETEKSI DINI TERHADAP KRISIS PERBANKAN SYARIAH. NISBAH: Jurnal Perbankan Syariah, 3(1), 365–381. https://doi.org/10.30997/jn.v3i1.784
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References
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Herrera, Santiago and Conrado Garcia. 1999. User’s Guide to an Early Warning System for Macroeconomics Vulnerability in Latin American Countries, Paper presented in the XVII Latin American Meeting of the Econometric Society, August, Cancun, 1999.
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Kaminsky, Graciela; Lizondo, Saul; Reinhart, Carmen M. 1998. Leading Indicators of Currency Crises. IMF Staff Papers. Vol. 45 (1). p 1-48. March 1998.
Kaminsky, G. and Reinhart, C.M. 1999. The Twin Crises: the Causes of Banking and Balance of Payments Problems, American Economic Review, 89, 473-500
Koc,Emre. 2009. Currency Crisis Theory : Third Generation Models, Master’s Thesis, Bilkent University, Ankara.
Krugman,Paul. 1979. A Model of Balance –of-Payment Crises, Journal of Money, Credit and Banking, Vol.11(August),pp 311-325.
Kunt, Asli Dermiguc and Enrica Detragiache. 1998. The Determinants of Banking Crises in Developing and Developed Countries. IMF Staff Papers Vol. 45 No. 1 (March), International Monetary Fund, Washington.
Kusuma, Dimas Bagus Wiranata. 2009. Analisis Variabel Makroekonomi dan Pemulihan Ekonomi di Indonesia : Studi Deteksi Dini Krisis Mata Uang. Kulliyah of Economics and Management Sciences .International Islamic University Malaysia.
Kusuma, Dimas Bagus Wiranata dan Asif. 2012. Building an Early Warning System for Islamic Banking Crisis in Indonesia Signal Approach Model, draft paper;
Lestano, Jacobs dan Kuper. 2003. Indicators of financial crises do work! An early-warning system for six Asian countries. Department of Economics, University of Groningen.
Minsky, Hyman P. 1992. The Financial Instability Hypothesis. The Jerome Levy Economics Institute of Bard College. Working Paper No. 74. ISSN 1547-366X.
Miskhin, Frederic S. 1996. Understanding Financial Crises:A Developing Country Perspective. Federal Reserve Bank of New York,Graduate School of Business, Columbia University and National Bureau of Economic Research
Mishkin, F. S. 2010. Over The Cliff : From The Subprime to The Global Financial Crisis.Working Paper 16609 : http://www.nber.org/papers/w16609
Nasution, Anwar. 2003. Masalah-masalah Sistem keuangan dan Perbankan Indonesia, Paper disajikan dalam Seminar Pembangunan Hukum Nasional VIII yang diselenggarakan oleh Badan Pembinaan Hukum Nasional - Departemen Kehakiman dan Hak Asasi Manusia Rl. tanggal 14-18 Juli 2003 di Denpasar.
Otoritas Jasa Keuangan. 2014. Booklet Perbankan Indonesia 2014. Departemen Perizinan dan Informasi Perbankan. EDISI 1ISSN : 1858 – 4233
Reinhart,Goldstein dan Kaminsky. 2000. Assessing Financial Vulnerability: An Early Warning System for Emerging Markets. Washington, DC: Institute for International Economics.
Schoenmaker, Dirk. 2008. A New Financial Stability Framework for Europe. The Financial Regulator, Vol 13(3), December 2008.
Susanti, Weni Septi. 2016. Analisis Tekanan Perbankan di Indonesia. Skripsi tidak di publikasikan, Universitas Muhammadiyah Yogyakarta, Yogyakarta.
Warjiyo, P. 2016. Bauran Kebijakan Bank Sentral:Konsepsi Pokok dan Pengalaman Bank Indonesia. i-viii, 55 hlm.; 15,2 cm x 22,8 cm. -- (Seri Kebanksentralan ; 25) .
Winarno, Wing Wahyu. 2015. Analisis Ekonometrika dan Statistiks dengan Eviews. UPP STIM YKPN. Yogyakarta.
Wolken, Tony., 2013, Measuring Systemic Risk: the role of Macro-prudential Indicators. Bulletin Vol. 76 No. 4,Reserve Bank of New Zealand
Allen, Franklin. 2015. Moral Hazard and Government Guarantees in the Banking Industry. Journal of Financial Regulation Advance Access published February 2, 2015.
Al-Osaimy, Mahmood H. and Ahmed S. Bamakhramah. 2004. An EarlyWarning System for Islamic Banks Performance. J.KAU: Islamic Econ., Vol. 17, No. 1, pp. 3-14 (1425 A.H / 2004 A.D). King Abdul-Aziz University - Jeddah - Saudi Arabia.
Ascarya. 2009. Pelajaran yang dapat dipetik dari Krisis Berulang: Perspektif Ekonomi Islam. Buletin Ekonomi Moneter dan Perbankan, Volume 12 Nomor 1 Juli 2009: 33-82.
Bank Indonesia. 2007. Booklet Stabilitas Sistem Keuangan : Stabilitas Sistem Keuangan Apa, Mengapa, dan Bagaimana? Direktorat Penelitian dan Pengaturan Perbankan Biro Stabiltas Sistem Keuangan.
Bank Indonesia. 2015. Peraturan Bank Indonesia Nomor 17/11/PBI/2015 tentang wajib giro minimum bank umum dalam rupiah dan valuta asing bagi bank umum konvensional.
Bank Indonesia. 2016. Mitigasi Risiko Sistemik dan Penguatan Intermedasi Dalam Upaya Menjaga Stabilitas Sistem Keuangan. Kajian Stabilitas Keuangan. No. 27, September 2016.
Beachy, Ben. 2012. A Financial Crisis Manual : Causes, Consequences, and Lessons of the Financial Crisis. Global Development and Environment Institute. Working Paper No. 12-06
Berry, Christine, Josh Ryan-Collins and Tony Greenham. 2015. Financial System Resilience Index Building a strong financial system. New Economics Foundation
Blancher, N., S. Mitra., H. Morsy., A. Otani., T. Severo., and L. Valderma.. 2013. “Systemic Risk Monitoring(“SysMo”) Toolkit – A User Guide”, IMF Working Paper No. 13/168, July.
Bussiere dan Marcel. 2002. Toward A New Early Warning System of Financial Crises. Working Paper No.145. European Central Bank.
Ceraa dan saxena,. 2000. Contagion, Mnonsoons and Domestic Turmoil in Indonesia : A Case Study in The Asian Currency Crisis. IMF. Working Paper, May 2000.
Choudhury, Alam Masudul. 2010. The Islamic Panacea to Global Financial Predicament : A New Financial Architecture. Jurnal Hadhari 2 (2) (2010): 41-72.
Crossen, Christopher. Xuan Liang, Andriy Protsyk, Jing Zhang. 2014. Measuring the Banking System’s Resilience. A report prepared for The Clearing House Association. Moody’s Analytics.
Demirgüç-Kunt, A. and E. Detragiache. 1998. The Determinants of Banking Crises: Evidence from Developing and Developed Countries. IMF Staff Papers, 45, 81-109.
Dewi, Ervien Kurnia. 2015. Analisis Keterkaitan Tekanan Indeks Nilai Tukar Terhadap Variabel Makro Terpilih di Indonesia. Skripsi. Universitas Muhammadiyah Yogyakarta. Yogyakarta.
Duasa, Jarita., Wiranata, D. B., & Sumandi. 2016. Building An Early Warning Toward the Reselience of Islamic Banking in Indonesia. di presentasikan dalam 10th Call for Paper International Conference Bulletin of Monetary Economic And Banking, 08-09 agustus 2016.
Edison, Hali J. 2000. Do Indicator of Financial Crises Work? An Evaluation of An Early Warning System. Board of Governors of the Federal Reserve System International Finance Discussion Papers, Number 675.
Goldstein, Kaminsky and Reinhart. 2000. Assesing Financial Vulnerability: An Early Warning System for Emerging Markets. Washington DC: Institute for International Economics.
Gunadi, Taruna dan Harun. 2013. Penggunaan Indeks Stabilitas Sistem Keuangan (ISSK) dalam Pelaksanaan Surveilans Makroprudensial. Working Paper. Bank Indonesia.
Gunadi, I., Yumanita, D., Hafidz, J., & Astuti, R. I. 2013. Identifikasi Indikator Countercyclical Capital Buffer. Kajian Stabilitas Keuangan (No.21, September 2013). Jakarta: Bank Indonesia.
Hadad Muliaman D, Wimboh Santoso, Bambang Arianto. 2003. Indikator Awal Krisis Perbankan. Direktorat Penelitian dan Pengaturan Perbankan, Bank Indonesia
Hagen, Ho. 2006. Money Market Pressure and the Determinants of Banking Crises. Department of Economics, University of Bonn, Indiana University, and CEPR, Walter-Flex-Str. 3, D-53113, Bonn, Germany.
Hardy, Daniel C. & Ceyla Pazarbasioglu. 1999. Determinants and Leading Indicators of Banking Crises: Further Evidence. IMF Staff Papers Vol. 46 No. 3 September/December 1999, International Monetary Fund, Washington.
Herrera, Santiago and Conrado Garcia. 1999. User’s Guide to an Early Warning System for Macroeconomics Vulnerability in Latin American Countries, Paper presented in the XVII Latin American Meeting of the Econometric Society, August, Cancun, 1999.
Imansyah dan Kusdarjito. 2009. Meramalkan Potensi Risiko Krisis atau Instabilitas di Sektor Keuangan: Pendekatan Jaringan Saraf Buatan. Kajian Stabilitas Keuangan no 13 September 2009. Direktorat Penelitian dan Pengaturan Perbankan Biro Stabilitas Sistem Keuangan. Bank Indonesia. Jakarta.
Kaminsky, Graciela; Lizondo, Saul; Reinhart, Carmen M. 1998. Leading Indicators of Currency Crises. IMF Staff Papers. Vol. 45 (1). p 1-48. March 1998.
Kaminsky, G. and Reinhart, C.M. 1999. The Twin Crises: the Causes of Banking and Balance of Payments Problems, American Economic Review, 89, 473-500
Koc,Emre. 2009. Currency Crisis Theory : Third Generation Models, Master’s Thesis, Bilkent University, Ankara.
Krugman,Paul. 1979. A Model of Balance –of-Payment Crises, Journal of Money, Credit and Banking, Vol.11(August),pp 311-325.
Kunt, Asli Dermiguc and Enrica Detragiache. 1998. The Determinants of Banking Crises in Developing and Developed Countries. IMF Staff Papers Vol. 45 No. 1 (March), International Monetary Fund, Washington.
Kusuma, Dimas Bagus Wiranata. 2009. Analisis Variabel Makroekonomi dan Pemulihan Ekonomi di Indonesia : Studi Deteksi Dini Krisis Mata Uang. Kulliyah of Economics and Management Sciences .International Islamic University Malaysia.
Kusuma, Dimas Bagus Wiranata dan Asif. 2012. Building an Early Warning System for Islamic Banking Crisis in Indonesia Signal Approach Model, draft paper;
Lestano, Jacobs dan Kuper. 2003. Indicators of financial crises do work! An early-warning system for six Asian countries. Department of Economics, University of Groningen.
Minsky, Hyman P. 1992. The Financial Instability Hypothesis. The Jerome Levy Economics Institute of Bard College. Working Paper No. 74. ISSN 1547-366X.
Miskhin, Frederic S. 1996. Understanding Financial Crises:A Developing Country Perspective. Federal Reserve Bank of New York,Graduate School of Business, Columbia University and National Bureau of Economic Research
Mishkin, F. S. 2010. Over The Cliff : From The Subprime to The Global Financial Crisis.Working Paper 16609 : http://www.nber.org/papers/w16609
Nasution, Anwar. 2003. Masalah-masalah Sistem keuangan dan Perbankan Indonesia, Paper disajikan dalam Seminar Pembangunan Hukum Nasional VIII yang diselenggarakan oleh Badan Pembinaan Hukum Nasional - Departemen Kehakiman dan Hak Asasi Manusia Rl. tanggal 14-18 Juli 2003 di Denpasar.
Otoritas Jasa Keuangan. 2014. Booklet Perbankan Indonesia 2014. Departemen Perizinan dan Informasi Perbankan. EDISI 1ISSN : 1858 – 4233
Reinhart,Goldstein dan Kaminsky. 2000. Assessing Financial Vulnerability: An Early Warning System for Emerging Markets. Washington, DC: Institute for International Economics.
Schoenmaker, Dirk. 2008. A New Financial Stability Framework for Europe. The Financial Regulator, Vol 13(3), December 2008.
Susanti, Weni Septi. 2016. Analisis Tekanan Perbankan di Indonesia. Skripsi tidak di publikasikan, Universitas Muhammadiyah Yogyakarta, Yogyakarta.
Warjiyo, P. 2016. Bauran Kebijakan Bank Sentral:Konsepsi Pokok dan Pengalaman Bank Indonesia. i-viii, 55 hlm.; 15,2 cm x 22,8 cm. -- (Seri Kebanksentralan ; 25) .
Winarno, Wing Wahyu. 2015. Analisis Ekonometrika dan Statistiks dengan Eviews. UPP STIM YKPN. Yogyakarta.
Wolken, Tony., 2013, Measuring Systemic Risk: the role of Macro-prudential Indicators. Bulletin Vol. 76 No. 4,Reserve Bank of New Zealand