ANALISIS PENGARUH FAKTOR INTERNAL DAN EKSTERNAL

TERHADAP NON-PERFORMING LOAN

TESIS

Diajukan Sebagai Salah Satu Syarat Penyelesaian

Program Pascasarjana Magister Manajemen

OLEH :

RIRIEN DIAHAYU TRISNAWATI

2013 611 101

SEKOLAH TINGGI ILMU EKONOMI PERBANAS

PROGRAM PASCASARJANA MAGISTER MANAJEMEN

SURABAYA

2016

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KATA PENGANTAR

Puji syukur kami panjatkan kepada Tuhan Yang Maha Esa atas segala

rahmat dan karunia-Nya sehingga Penulis dapat menyelesaikan tesis ini dengan

judul “ANALISIS PENGARUH FAKTOR INTERNAL DAN EKSTERNAL

TERHADAP NON-PERFORMING LOAN”

Terwujudnya Tesis ini tidak lepas dari bantuan semua pihak secara

langsung maupun tidak langsung. Untuk itu sudah selayaknya pada kesempatan

yang baik ini, penulis ingin menyampaikan ucapan terima kasih dan penghargaan

yang setinggi-tingginya kepada :

1. Dr. Lutfi, S.E, M. Fin. selaku Ketua Sekolah Tinggi Ilmu Ekonomi Perbanas

Surabaya.

2. Prof. Dr. Tatik Suryani, Psi, MM, selaku Ketua Program Studi Magister

Manajemen Sekolah Tinggi Ilmu Ekonomi Perbanas Surabaya yang selalu

memberikan bimbingan dan dukungan dalam penyusunan tesis ini

3. Dr. Drs. Emanuel Kristijadi, M.M selaku Dosen Pembimbing yang dengan

sabar bersedia membimbing dan mengarahkan penulis dalam rangka

penyusunan Tesis hingga terwujudnya Tesis ini.

4. Bapak dan Ibu Dosen Sekolah Tinggi Ilmu Ekonomi Perbanas Surabaya, yang

telah banyak memberikan bekal ilmu yang bermanfaat bagi penulis, serta

seluruh staff perpustakaan dan karyawan Sekolah Tinggi Ilmu Ekonomi

Perbanas Surabaya

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5. Orang tua, suami dan kedua anakku “NIKO & NAEL”, keluarga dan sahabat

yang senantiasa membantu dan memberikan dorongan

Penulis menyadari bahwa dalam penyusunan Tesis ini masih banyak

terdapat kekurangan karena keterbatasan kemampuan dan waktu, untuk itu dengan

ikhlas dan tulus penulis sangat mengharapkan saran dan kritik yang membangun

dan berguna bagi pembaca lain agar Tesis ini lebih mendekati dari kesempurnaan.

Surabaya, September 2016

Penulis

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DAFTAR ISI

HALAMAN JUDUL ...................................................................................... i

HALAMAN PERSETUJUAN SIAP DIUJI ................................................ ii

HALAMAN LULUS UJIAN TESISI ........................................................... iii

HALAMAN PENGESAHAN TESIS............................................................ iv

KATA PENGANTAR .................................................................................... v

DAFTAR ISI ................................................................................................... vii

DAFTAR TABEL........................................................................................... ix

DAFTAR GAMBAR ...................................................................................... x

DAFTAR LAMPIRAN .................................................................................. vi

ABSTRACT .................................................................................................... xii

BAB I PENDAHULUAN

1.1 Latar Belakang Masalah ........................................................... 1

1.2 Perumusan Masalah .................................................................. 7

1.3 Tujuan Penelitian ...................................................................... 7

1.4 Manfaat Penelitian .................................................................... 8

1.5 Sistematika Penulisan .............................................................. 7

BAB II TINJAUAN PUSTAKA

2.1 Penelitian Terdahulu ................................................................ 10

2.2 Landasan Teori ......................................................................... 18

2.2.1 Asymetric Information & moral Hazard....................... 18

2.2.2 Pengertian Bank ............................................................ 20

2.3 Pengertian Kredit ...................................................................... 24

2.3.1 Risiko kredit ................................................................. 32

2.3.2 Non-Performing Loan (NPL) ....................................... 31

2.3.3 Portofolio Kredit ........................................................... 32

2.3.4 Capital Adequacy Ratio (CAR) .................................... 34

2.3.5 Gross Domestic Product ............................................... 35

2.3.6 BI Rate .......................................................................... 36

2.3.7 Nilai Tukar (kurs) ......................................................... 37

2.4 Hipotesis Pemikiran .................................................................. 38

2.5 Hipotesis Penelitian .................................................................. 39

BAB III METODE PENELITIAN

3.1 Rancangan penelitian ................................................................ 44

3.2 Batasan Penelitian .................................................................... 44

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3.3 Definisi Operasional Variable & Pengukuran Variabel ........... 45

3.3.1 Non Performing Loan ................................................... 45

3.3.2 Portofolio Kredit ........................................................... 46

3.3.3 Capital Adequacy Ratio ................................................ 46

3.3.4 Pertumbuhan Gross Domestic product ......................... 47

3.3.5 BI Rate .......................................................................... 48

3.3.6 Nilai Tukar (kurs) ......................................................... 48

3.4 Populasi dan Tehnik Sampling ................................................. 48

3.4.1 Populasi ........................................................................ 48

3.4.2 Tehnik Sampling ........................................................... 49

3.5 Data dan Metode pengumpulan Data ....................................... 50

3.6 Tehnik Analisis Data ............................................................... 50

3.6.1 Uji Asumsi Klasik ........................................................ 51

3.6.1.1 Uji Normalitas ................................................... 51

3.6.1.2 Uji Autokorelasi ................................................ 51

3.6.1.3 Uji Multikolinearitas ......................................... 51

3.6.1.4 Uji Heterokedastisitas ....................................... 52

3.6.2 Analisis Regresi ............................................................ 53

BAB IV GAMBARAM SUBYEK PENELITIAN DAN ANALISIS DATA

4.1 Gambaran Subyek Penelitian .................................................. 58

4.2 Analisis Data ............................................................................ 58

4.2.1 Analisis deskriptif ......................................................... 59

4.2.2 Uji Asumsi Klasik ........................................................ 63

4.2.3 Analisis Regresi ............................................................ 67

4.2.4 Pembehasan .................................................................. 72

BAB V PENUTUP

5.1 Kesimpulan .............................................................................. 83

5.2 Keterbatasan Penelitian ........................................................... 85

5.3 Saran ...................................................................................... 85

DAFTAR RUJUKAN

LAMPIRAN

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DAFTAR TABEL

Halaman

Tabel 1.1 : NPL Bank Umum Menurut Kelompok Bank 2011-2014 .............. 5

Tabel 3.1 : Sampel Penelitian Bank Swasta Devisa ........................................ 50

Tabel 4.1 : Sampel Peusahaan ......................................................................... 58

Tabel 4.2 : Hasil Analisis Deskriptif Data ....................................................... 59

Tabel 4.3 : Hasil Uji Normalitas ...................................................................... 64

Tabel 4.4 : Dasar Penentuan Terjadinya Autokorelasi ..................................... 64

Tabel 4.5 : Hasil Uji Autokorelasi ................................................................... 65

Tabel 4.6 : Hasil Uji Multikolinieritas............................................................... 65

Tabel 4.7 : Hasil Uji Heteroskedastistas ......................................................... 66

Tabel 4.8 : Hasil Analisis Regresi Linier Berganda ......................................... 67

Tabel 4.9 : Hasil Analisis Regresi Uji Simultan (Uji F) ............................... 69

Tabel 4.10 : Hasil Regresi Model Summary .................................................... 70

Tabel 4.11 : Hasil Regresi Uji Parsial (Uji t) .................................................. 71

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DAFTAR GAMBAR

Halaman

Gambar 2.1 : Kerangka Konseptual Penelitian ............................................... 38

Gambar 3.1 : Daerah penerimaan dan penolakan Ho untuk Uji – F ............... 54

Gambar 3.2 : Daerah penerimaan dan penolakan Ho untuk Uji-t sisi kanan .... 56

Gambar 3.3 : Daerah penerimaan dan penolakan Ho untuk Uji-t sisi kiri ........ 56

Gambar 4.1 : Pertumbuhan GDP periode tahun 2010 sd 2014 ....................... 61

Gambar 4.2 : Perkembangan BI Rate periode tahun 2010 sd 2014 .................. 62

Gambar 4.3 : Perkembangan Nilai Tukar/kurs periode tahun 2010 sd 2014 .... 62

Gambar 4.4 : Grafik Portofolio Kredit (LAR) terhadap NPL ........................... 73

Gambar 4.5 : Grafik CAR terhadap NPL ........................................................ 76

Gambar 4.6 : Grafik GDP terhadap NPL ......................................................... 78

Gambar 4.7 : Grafik BI Rate terhadap NPL .................................................... 79

Gambar 4.8 : Grafik Kurs/nilai tukar terhadap NPL ........................................ 81

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DAFTAR LAMPIRAN

Lampiran 1 : Data Penelitian

Lampiran 2 : Statistik Deskriptif

Lampiran 3 : Uji Asumsi Klasik

Lampiran 4 : Analisis regresi berganda

Lampiran 5 : Jadwal Penyusunan Tesis

Lampiran 6 : Surat Pernyataan

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ABSTRACT

Bank is a financial institution that is the most important affecting the

economy of both micro and macro. The level of nonperforming loans usually

occurs reflected by the ratio of Non-Performing Loan (NPL) that occurred in the

bank. The lower NPL ratio, then the lower level of problem loans is happening,

which means the better the condition of the bank. Non-performing loans is one

indicator in assessing the performance of the functions of the bank, which the

bank is functioning as an intermediary institution. The aims of this study to

analyze the influence of the credit portfolio, CAR, GDP value, BI rate and

exchange rate on Non-Performing Loan at National Private Banks (foreign

exchange) in Indonesia.

This study uses study design causality. The population in this study is a

group of National Private Banks (foreign exchange) registered at Bank Indonesia.

Total population of the study was 35 National Private Banks (foreign exchange)

registered in Bank Indonesia period 2010 until 2014. This study uses a

quantitative method with multiple regression analysis.

The results of research and discussion can be concluded that credit portfolio,

BI rate and exchange rate has influence on Non Performing Loan (NPL) at the

National Private Banks (foreign exchange) in Indonesia. While Capital

Adequency Ratio (CAR) and Gross Domestic Product (GDP) in real has no

influence on Non Performing Loan at the National Private Banks (foreign

exchange) in Indonesia.

Keywords: Credit Portfolio, Capital Adequency Ratio, Gross Domestic

Product, BI Rate, Exchange Rate, Non Performing Loan