The Effects of Macro Economic Indicator and Financial Ratio on Non Performing Financing of Sharia Commercial Banking in Indonesia

Abstract

This research aims to analyze the relationships and effects of macroeconomic indicator variable and financial ratio on non performing financing (NPF) of sharia commercial banks in Indonesia. Data used in this research is obtained from Bank Indonesia, Central Bureau of Statistics (BPS), and Financial Services Authority (OJK). This research uses time series data from January 2010 to August 2016. This research method uses quantitative method by VAR approach through eviews program. This research showed that there was no long-run equilibrium relationship between variables of NPF, inflation, exchange rate, FDR, CAR and OER. Besides, all independent variables simultaneously affected NPF variable. Based on variable contribution on NPF shock, macroeconomic indicator variables contributed on NPF shock were inflation and exchange rate, meanwhile financial ratio variables contributed on NPF shock were CAR and OER. Seen from NPF response, only CAR variable was responded positively in the early period, meanwhile other variables were responded negative and fluctuatingly. The effects of each variable on NPF were temporary since those effects would vanish after an over-five month period. Based on causality test, there was only a one-way relationship from FDR to OER

Bahasa Indonesia Abstrak: Penelitian ini bertujuan untuk menganalisis hubungan dan pengaruh variabel indikator makroekonomi dan rasio keuangan terhadap non performing financing (NPF) pada bank umum syariah di Indonesia. Data yang digunakan dalam penelitian ini diperoleh dari Bank Indonesia, Badan Pusat Statistik dan Otoritas Jasa Keuangan. Penelitian ini menggunakan data time series dari bulan Januari 2010 sampai dengan Agustus 2016. Metode penelitian ini menggunakan metode kuantitatif dengan pendekatan VAR melalui program eviews. Hasil penelitian menunjukkan bahwa tidak terdapat hubungan keseimbangan jangka panjang di antara variabel NPF, GDP, Inflasi, nilai tukar, FDR, CAR, dan OER. Selain itu, seluruh variabel independen berpengaruh secara simultan terhadap variabel NPF. Berdasarkan kontribusi variabel terhadap shock NPF, variabel indikator makroekonomi yang berkontribusi terhadap shock NPF adalah inflasi dan kurs, sedangkan variabel rasio keuangan yang berkontribusi terhadap shock NPF adalah CAR dan OER. Dilihat dari respon NPF, hanya variabel CAR yang direspon secara positif oleh NPF pada awal periode sedangkan variabel yang lainnya direspon secara negatif dengan fluktuatif. Pengaruh masing-masing variabel terhadap NPF bersifat sementara karena pengaruh tersebut akan hilang setelah periode lima bulan ke atas. Berdasarkan uji kausalitas, hanya terdapat hubungan searah dari FDR ke OER.