FAKTOR-FAKTOR YANG MEMPENGARUHI RISIKO KREDIT MODAL KERJA BANK PEMBANGUNAN DAERAH DI INDONESIA

Abstract

Penyaluran kredit BPD masih didominasi kredit konsumsi dibandingkan kredit modal  kerja. Risiko kredit modal kerja BPD yang dikur dalam Non Performing Loan mengalami peningkatan selama penerapan BRC. Penelitian ini bertujuan untuk menganalisis respon NPL kredit modal kerja BPD akibat perubahan faktor internal bank dan besarnya kontribusi faktor tersebut terhadap perubahan NPL. Data yang digunakan adalah time series berdasarkan bulanan tahun 2011-2014 yang   diperoleh   dari   Bank   Indonesia.   Metode   analisis   yang   digunakan   adalah       Vector Autoregression dengan analisis Impulse Response Function dan Variance Decomposition. Hasil impulse response function menunjukan NPL merespon positif terhadap perubahan LDR dan bank size tetapi merespon negatif terhadap perubahan tingkat bunga kredit modal kerja. Hasil Variance decomposition menunjukan bahwa variabel yang paling berkontribusi pada perubahan NPL  adalah bank size.

 BPD loan portofolio is still dominated by consumer loans than working capital loans. BPD working capital loans risk which measured by non performing loans is increased during implementation of the BRC. This study aimed to analyze the NPL response of BPD working capital loans due to changes of bank internal factors and the amount of factors contributing to NPL change. The data used is based on monthly time series in 2011 to 2014 that obtained from Bank of Indonesia. The analytical method used is Vector Autoregression with Impulse Response Function and Variance Decomposition analysis. The results of impulse response function indicate that NPL respond positively to LDR and bank size change but respond negatively to interest rates change. Variance decomposition results showed that the variables that most contribute to the change of NPL of BPD working capital loans is bank size.