Pengaruh Ekonomi Makro Terhadap Risiko Sektoral di Indonesia  

Oleh:

Widodo, Priyo Rokhadi ; Tarsidin

Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI
Dalam koleksi: Bulletin of Monetary Economics and Banking (ex: Buletin Ekonomi Moneter dan Perbankan) vol. 10 no. 2 (Oct. 2007), page 91-122.
Topik: Sectoral Risk; Default Risk; Probability to Default
Fulltext: 2_Priyo_Rokhadi.pdf (335.6KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: BB62.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The disintermediation of Indonesian banking isprobably 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.

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