KOMPETISI DAN STABILITAS PERBANKAN DI INDONESIA Suatu Pendekatan Analisis Panel Vector Autoregression

Abstract

Abstract:Banking fragility phenomenon in the world as well as in Indonesia whip out some interesting issues to be investigated. The objective of this study is to investigate the dynamic causality relationship between competitionand stability of bank in Indonesia. The relationship between competition and stability of bank has long been a controversy before some crises takes place in the world either in theoretical or in empirical sphere. The crucial question such as will competition increase stability of banking industry or the other way around will competition create instability in banking system in Indonesiaare going to be investigated in this study. Stability will be analyzed by z-score, and competition will be measured by HHI. Testing the relationship between competition and stability will be conducted by Panel Vector Autoregression, a relatively new approach in econometrics. Empirical result indicates that competition decreasedstability of banking industry,whereas stability has aninsignificant effect to competition.Key words:competition, bank stability, panel vector autoregression, granger causality analysis Abstrak: Fenomena kerentanan perbankan baik di dunia dan khususnya di Indonesia membersitkan beberapa isu yang menarik untuk dikaji lebih jauh. Tujuan studi ini adalah untuk meneliti bagaimanakah hubungan kausalitas dinamik diantara kompetisi dan stabilitas perbankan di Indonesia.Hubungan antara kompetisi dan stabilitas perbankan telah menjadi perdebatan sebelum berbagai kirisis di dunia terjadi baik di tataran teoritik maupun empirik. Dalam penelitian ini akan dianalisis apakah kompetisi akan menciptakan stabilitas perbankan ataukah kompetisi akan menyebabkan kerapuhan dalam sistem perbankan. Dalam penelitian ini stabilitas akan dianalisa dengan metode zscore,kompetisi akan diukur dengan HHI. Hubungan antara kompetisi, dan stabilitas akan diuji dengan Panel Vector Autoregression sebuah pendekatan yang relatif baru dalam ekonometrika.Hasil penelitian ini menunjukkan kompetisi menurunkantingkat stabilitas perbankan. Dalam arah yang sebaliknya, stabilitas tidak mempunyai pengaruh yang signifikan terhadap kompetisi.Kata kunci:kompetisi, stabilitas bank, panel vectorautoregression, granger casuality analysis. PENDAHULUANLembaga perbankan sangat penting dalam proses intermediasi dunia perekonomian modern. Bank berperan menghubungkan kelompok masyarakat yang memiliki surplus dengan kelompok masayarakat yang membutuhkan uang. Lembaga perbankan dapat

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