We investigate the default probability of Indonesian banks using the copula approach and analyze the macro-financial factors that drive them. We use quarterly data comprised of 80 banks from 2005 to 2019. We find empirical evidence that Common Equity Tier 1 (CET 1) ratio, inefficiency ratio, and deposit ratio have negatively impacted the bank’s default probability. We also find that macroecon…
Skripsi ini mengevaluasi bagaimana faktor-faktor makroekonomi memengaruhi kredit macet (NPL) pada UMKM Indonesia dari Jan 2011 hingga Mar 2023. Dengan menggunakan model Autoregressive Distributed Lag (ARDL), penelitian ini menyelidiki NPL bersama dengan tujuh variabel: NPL tertunda, tingkat suku bunga, inflasi, PDB riil, kurs mata uang, pengangguran, dan jumlah uang beredar (M2), ditambah denga…
Printed Journal
09/09
This study analyzes the effect macroeconomics variables specifically inflation, interest rate, and the exchange rate of rupiah against united states dollar along with firm financial performance which are price to earning ratio, debt to equity ratio, and return on equity on stock return. This study used multiple linear regression as a tool for analyzing the effect of independent variables on dep…
This study aims to examine the effect of fluctuations in crude oil and natural gas prices on macroeconomic variables (inflation, exchange rates, and production index) and stock return valuation of the Composite Stock Price Index (IDX) and mining sector stocks in Indonesia. This study uses a sample of commodity prices for crude oil and natural gas as well as macroeconomic variable returns and st…
This study?s background is to explore how significant are macroeconomic variables (MEV) in explaining stock movements in the developing economy for every sector and each firm of those sectors. To overcome the deficiencies of traditional index base studies, which provide only cumulative impact and response of MEV and Stock movements, fill the gap of existing literature that is not available for …
We use an exhaustive list of Indonesia?s macroeconomic variables in a comparative analysis to determine which predictor variables are most important in forecasting Indonesia?s inflation rate. We use monthly time-series data for 30 macroeconomic variables. Using both in-sample and out-of-sample predictability evaluations, we report consistent evidence of inflation rate predictability using 11 ou…
Penelitian ini membahas pengaruh volatilitas harga minyak terhadap variabel makroekonomi, khususnya pertumbuhan ekonomi, inflasi dan output gap. Data yang digunakan adalah standar deviasi triwulanan dari harga minyak spot price West Texas Intermediate (WTI) dan variabel makroekonomi 19 negara di dunia periode waktu 1997Q1-2013Q4. Penelitian ini menggunakan sistem persamaan Least Square Dummy Va…
Skripsi ini bertujuan untuk menganalisa faktor-faktor penentu perubahan tingkat proteksi perdagangan di Indonesia antar waktu. Melalui pendekatan ekonomi politik model endogenitas tarif, penelitian ini menjelaskan peran variabel-variabel makroekonomi, yakni pertumbuhan ekonomi, tingkat harga, keseimbangan neraca perdagangan dan tingkat pengangguran, da lam mempengaruhi tingkat tarif. Ber…