Pengaruh Pertumbuhan Kredit Terhadap Risiko Sistemik dalam Stabilitas Perbankan di Indonesia (Studi Kasus 25 Bank Go Publik)

Abstract

This study aims to investigate the influence of various types of bank credit on the systemic risk of publicly listed banks in Indonesia. The types of credit examined include household credit, corporate credit, tradeable credit, and non-tradeable credit. Systemic risk is measured using the Marginal Expected Shortfall (MES), which captures the potential for extreme losses in the financial system. The core objective is to assess how each credit type contributes to financial stability over the specified period. The study adopts a quantitative approach, using data from 25 publicly listed banks in Indonesia during the period from 2015 to 2023. Secondary data were collected from reliable sources such as the Indonesia Stock Exchange (IDX), Refinitiv Eikon, and each bank's annual reports. The data were analyzed using a dynamic panel data model, specifically the Generalized Method of Moments- Dynamic Panel Data (GMM-DPD). This method was chosen for its robustness in addressing endogeneity and the dynamic effects among variables. The results indicate that household credit, tradeable credit, and non-tradeable credit have a significant negative impact on systemic risk. In other words, an increase in credit in these sectors tends to reduce systemic risk as measured by MES. Conversely, corporate credit has a significant positive effect on systemic risk. This suggests that credit directed toward more tradable sectors may increase financial system instability.