PENGARUH EKONOMI MAKRO TERHADAP RISIKO SEKTORAL DI INDONESIA

PENGARUH EKONOMI MAKRO TERHADAP RISIKO SEKTORAL DI INDONESIA

The disintermediation of Indonesian banking is probably due to the high level of the real sector risk. This paper analyzes the profile and the dynamics of this sectoral risk established from the median of individual firm's default risks. We measure the firm's default risk with the KMV’s Ex...

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Bibliographic Details
Main Authors: Priyo Rokhadi Widodo, Tarsidin Tarsidin
Format: Article
Language:Indonesian
Published: Bank Indonesia 2007-10-01
Series:Bulletin Ekonomi Moneter dan Perbankan
Online Access:https://www.bmeb-bi.org/index.php/BEMP/article/view/220
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spelling doaj-180b05503c4a484c932ee059971e74c42020-11-24T21:42:47ZindBank IndonesiaBulletin Ekonomi Moneter dan Perbankan1410-80462460-91962007-10-011029112210.21098/bemp.v10i2.220220PENGARUH EKONOMI MAKRO TERHADAP RISIKO SEKTORAL DI INDONESIAPriyo Rokhadi WidodoTarsidin TarsidinThe disintermediation of Indonesian banking is probably due to the high level of the real sector risk. This paper analyzes the profile and the dynamics of this sectoral risk established from the median of individual firm's default risks. We measure the firm's default risk with the KMV’s Expected Default Frequency (EDF). The data shows a high correlation coefficient among the sectoral risk, and through the generalized impulse response, the interrelation of the sectoral risk is revealed. The macroeconomic variables also affect the sectoral risk. The positive shock of the BI rate, the nominal exchange rate or the inflation, causes an increase of the sectoral risk. On the other hand, a positive shock of the economic growth causes a decrease on the sectoral risk. Keywords: Sectoral risk, default risk, probability to default JEL Classification: G30, G33https://www.bmeb-bi.org/index.php/BEMP/article/view/220
collection DOAJ
language Indonesian
format Article
sources DOAJ
author Priyo Rokhadi Widodo
Tarsidin Tarsidin
spellingShingle Priyo Rokhadi Widodo
Tarsidin Tarsidin
PENGARUH EKONOMI MAKRO TERHADAP RISIKO SEKTORAL DI INDONESIA
Bulletin Ekonomi Moneter dan Perbankan
author_facet Priyo Rokhadi Widodo
Tarsidin Tarsidin
author_sort Priyo Rokhadi Widodo
title PENGARUH EKONOMI MAKRO TERHADAP RISIKO SEKTORAL DI INDONESIA
title_short PENGARUH EKONOMI MAKRO TERHADAP RISIKO SEKTORAL DI INDONESIA
title_full PENGARUH EKONOMI MAKRO TERHADAP RISIKO SEKTORAL DI INDONESIA
title_fullStr PENGARUH EKONOMI MAKRO TERHADAP RISIKO SEKTORAL DI INDONESIA
title_full_unstemmed PENGARUH EKONOMI MAKRO TERHADAP RISIKO SEKTORAL DI INDONESIA
title_sort pengaruh ekonomi makro terhadap risiko sektoral di indonesia
publisher Bank Indonesia
series Bulletin Ekonomi Moneter dan Perbankan
issn 1410-8046
2460-9196
publishDate 2007-10-01
description The disintermediation of Indonesian banking is probably due to the high level of the real sector risk. This paper analyzes the profile and the dynamics of this sectoral risk established from the median of individual firm's default risks. We measure the firm's default risk with the KMV’s Expected Default Frequency (EDF). The data shows a high correlation coefficient among the sectoral risk, and through the generalized impulse response, the interrelation of the sectoral risk is revealed. The macroeconomic variables also affect the sectoral risk. The positive shock of the BI rate, the nominal exchange rate or the inflation, causes an increase of the sectoral risk. On the other hand, a positive shock of the economic growth causes a decrease on the sectoral risk. Keywords: Sectoral risk, default risk, probability to default JEL Classification: G30, G33
url https://www.bmeb-bi.org/index.php/BEMP/article/view/220
work_keys_str_mv AT priyorokhadiwidodo pengaruhekonomimakroterhadaprisikosektoraldiindonesia
AT tarsidintarsidin pengaruhekonomimakroterhadaprisikosektoraldiindonesia
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