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www.idx.co.id www.ojk.go.id www.bps.go.id
LAMPIRAN
Lampiran 1 : Pemilihan Bank Melalui Kriteria Berdasarkan Purposive Sampling
No Kode
Bank Nama Bank
KRITERIA Sampel
terpilih Memenuhi Tidak
Memenuhi 1. AGRO Bank Rakyat Indonesia
Agro Niaga Tbk ✓ Sampel 1
2. AGRS Bank Agris Tbk ✓ X
3. BABP Bank MNC
Internasional Tbk ✓ Sampel 2
4. BACA Bank Capital Indonesia
Tbk ✓ X
5. BBCA Bank Central Asia Tbk ✓ Sampel 4
6. BBHI Bank Harda
Internasional Tbk ✓ X
7. BBKP Bank Bukopin Tbk ✓ Sampel 5
8. BBMD Bank Mestika Dharma
Tbk ✓ X
9. BBNI Bank Negara Indonesia
Tbk ✓ Sampel 6
10. BBNP Bank Nusantara
Parahyangan Tbk ✓ Sampel 7
11. BBRI Bank Rakyat Indonesia
(Persero) Tbk ✓ Sampel 8
12. BBTN Bank Tabungan Negara
(Persero) Tbk ✓ Sampel 9
13. BBYB Bank Yudha Bakti Tbk ✓ X
14. BCIC Bank Jtrust
IndonesiaTbk ✓ Sampel
10
15. BDMN Bank Danamon
Indonesia Tbk ✓ Sampel
11 l6. BEKS Bank Pembangunan
Daerah Banten Tbk ✓ X
17. BINA Bank Ina Perdana Tbk ✓ X
18. BJBR Bank Daerah Jabar
Banten Tbk ✓ X
19. BJTM Bank Pembangunan
Daerah Jawa Timur Tbk ✓ X
22. BMRI Bank Mandiri (Persero)
Tbk ✓ Sampel
Internasional Tbk ✓ Sampel
12 31. DNAR Bank Dinar Indonesia
Tbk ✓ X
32. INPC Bank Artha Graha
Internasional Tbk ✓ Sampel
23 33. MAYA Bank Mayapada
Internasional Tbk ✓ X
34. MCOR
Bank China Construction Indonesia
Tbk
✓ Sampel
20
35. MEGA Bank Mega Tbk ✓ Sampel
21
36. NAGA Bank Mitraniaga Tbk ✓ X
37. NISP Bank OCBC NISP Tbk ✓ Sampel
22
38. NOBU Bank Nationalnobu Tbk ✓ X
39. PNBN Bank Pan Indonesia
Tbk ✓ Sampel 3
40. PNBS Bank Panin Syariah
Tbk ✓ X
41. SDRA Bank Woori Saudara
Indonesia 1906 Tbk ✓ X
42. ARTO PT Bank Artos
Indonesia Tbk ✓ X
43. BGTG
Bank Tabungan Pensiunan Nasional
Syariah Tbk
✓ X
44. BGTG Bank Ganesha Tbk ✓ X
Total bank yang terpilih menjadi sampel penelitian 23 Bank Sumber: www.idx.com dan www.ojk.go.id (diolah peneliti)
Lampiran 2 : Data Penelitian
Bank Tahun Total_Kredit Total_Simpanan Leverage Jumlah _Surat_Berharga AGRO 2006 0,729474611 0,783866057 0,907998546 0,002835657 AGRO 2007 0,696936501 0,842605294 0,917116609 0,001628733 AGRO 2008 0,730395763 0,833802353 0,913051097 0,00383235 AGRO 2009 0,769005844 0,823966251 0,896615501 0,006771377 AGRO 2010 0,659521832 0,771740309 0,771756823 0,133813968 AGRO 2011 0,573842115 0,794436815 0,806631687 0,067068042 AGRO 2012 0,597718202 0,73444384 0,782431372 0,057604518 AGRO 2013 0,713046463 0,771785332 0,736043092 0,084201191 AGRO 2014 0,740294614 0,813987874 0,697517426 0,098112821 AGRO 2015 0,731730796 0,804606298 0,701716978 0,086779255 AGRO 2016 0,737509883 0,809485209 0,688486336 0,076163975 BABP 2006 0,754822819 0,843450239 0,893509089 0,012149746 BABP 2007 0,736429188 0,844920563 0,910870084 0,020486599 BABP 2008 0,758786384 0,792723678 0,918416601 0,029304453 BABP 2009 0,733403654 0,853551554 0,920395439 0,023596485 BABP 2010 0,764739345 0,834773284 0,852912711 0,056902852 BABP 2011 0,730211805 0,818994696 0,819095363 0,052767614 BABP 2012 0,70848195 0,832171395 0,799251026 0,073796112 BABP 2013 0,722839291 0,844116657 0,797050627 0,073772101 BABP 2014 0,66543152 0,823320706 0,77526478 0,059189711 BABP 2015 0,622502594 0,808479015 0,74356097 0,118599272 BABP 2016 0,60590099 0,770531357 0,706693018 0,128844213 PNBN 2006 0,416159073 0,688995085 0,838667013 0,062210347 PNBN 2007 0,565790148 0,612447006 0,83713111 0,072571727 PNBN 2008 0,594816497 0,6733567 0,867806796 0,048090041 PNBN 2009 0,543726496 0,735554599 0,866241466 0,041512657 PNBN 2010 0,561482614 0,72115107 0,698908608 0,198806206 PNBN 2011 0,592199579 0,725070457 0,715483602 0,147192622 PNBN 2012 0,640057367 0,727413823 0,71596825 0,102022215 PNBN 2013 0,6706518 0,750938387 0,715117261 0,090404111 PNBN 2014 0,684043865 0,756441479 0,759846402 0,118048331 PNBN 2015 0,692020741 0,738058397 0,713559232 0,10870536 PNBN 2016 0,673052639 0,721588095 0,679127034 0,103175282 BBCA 2006 0,340546328 0,860481812 0,892850586 0,029617894 BBCA 2007 0,350958242 0,867600753 0,898449494 0,042739331 BBCA 2008 0,438093331 0,856562832 0,903081112 0,051052988 BBCA 2009 0,428024138 0,861935942 0,900098276 0,045196428
BBCA 2010 0,449918317 0,8577708 0,79068679 0,310648863 BBCA 2011 0,491624311 0,849446622 0,779929646 0,17011698 BBCA 2012 0,56090431 0,848638956 0,776322614 0,136378946 BBCA 2013 0,621268758 0,836636324 0,749190813 0,109636041 BBCA 2014 0,634802957 0,823466717 0,726346553 0,118418548 BBCA 2015 0,634397156 0,81198885 0,710219737 0,115925053 BBCA 2016 0,622407412 0,789828367 0,670769312 0,173729089 BBKP 2006 0,553049574 0,799979669 0,941429475 0,012533794 BBKP 2007 0,524821724 0,831000493 0,945756272 0,009203146 BBKP 2008 0,664121244 0,813055341 0,93683035 0,01602389 BBKP 2009 0,694747222 0,835083971 0,934542283 0,013637876 BBKP 2010 0,642479597 0,86112095 0,869737975 0,137415967 BBKP 2011 0,622309118 0,839651274 0,840806741 0,069932075 BBKP 2012 0,68121175 0,808221822 0,840527515 0,037037719 BBKP 2013 0,666997653 0,814398438 0,837044395 0,05585269 BBKP 2014 0,666129605 0,820723187 0,815248223 0,102071351 BBKP 2015 0,683533069 0,819434771 0,826337772 0,105954753 BBKP 2016 0,697028098 0,791433709 0,808588793 0,117485656 BBNI 2006 0,395201737 0,798543693 0,915416135 0,027322115 BBNI 2007 0,441133747 0,795571089 0,908450759 0,026590513 BBNI 2008 0,553888238 0,787675997 0,915541688 0,025300979 BBNI 2009 0,561883367 0,81014618 0,913460482 0,031876682 BBNI 2010 0,555801842 0,809840499 0,794850471 0,205061893 BBNI 2011 0,57681779 0,774422777 0,72686534 0,168812509 BBNI 2012 0,642268958 0,689427536 0,65422067 0,147532643 BBNI 2013 0,642268958 0,763326635 0,731489659 0,144914819 BBNI 2014 0,654508736 0,76544277 0,723642187 0,135903903 BBNI 2015 0,663435176 0,756410739 0,710687198 0,110684258 BBNI 2016 0,659321543 0,727426584 0,694877073 0,124819634 BBNP 2006 0,49812728 0,883564652 0,928475243 0,033890051 BBNP 2007 0,449965775 0,888702801 0,91634307 0,017752178 BBNP 2008 0,569352449 0,882847359 0,905474292 0,009144482 BBNP 2009 0,548899028 0,896000886 0,91413058 0,001817077 BBNP 2010 0,666258164 0,877367177 0,822017642 0,09220773 BBNP 2011 0,722893326 0,870599021 0,817763467 0,047507997 BBNP 2012 0,731433082 0,847058286 0,831197112 0,028715295 BBNP 2013 0,727792362 0,837750925 0,798640728 0,032160234 BBNP 2014 0,701902859 0,821214765 0,776060158 0,050240938 BBNP 2015 0,735223483 0,832228652 0,739837181 0,063926303 BBNP 2016 0,699758796 0,823937728 0,705284095 0,107015467
BBRI 2007 0,584444874 0,805944497 0,895088012 0,027560576 BBRI 2008 0,64052956 0,807036439 0,905784385 0,027570126 BBRI 2009 0,676213243 0,807741546 0,906202686 0,027346536 BBRI 2010 0,681897387 0,805227832 0,805496143 0,113980087 BBRI 2011 0,68406994 0,809877385 0,787661423 0,113413853 BBRI 2012 0,663033589 0,800905583 0,752607197 0,102077869 BBRI 2013 0,717421084 0,800962472 0,744393789 0,092183977 BBRI 2014 0,693456719 0,785657004 0,73701988 0,08645618 BBRI 2015 0,652041853 0,766712226 0,735531696 0,136749639 BBRI 2016 0,671195653 0,75147068 0,70319846 0,13730232 BBTN 2006 0,549720442 0,668360865 0,94743055 0,00595785 BBTN 2007 0,591399776 0,655814449 0,937411811 0,007254922 BBTN 2008 0,679314803 0,670740889 0,926809039 0,008194149 BBTN 2009 0,724208393 0,688936533 0,926682492 0,006738762 BBTN 2010 0,724322582 0,648573347 0,794548294 0,113739617 BBTN 2011 0,707581524 0,657468034 0,820531248 0,045103155 BBTN 2012 0,694631939 0,665009194 0,830491031 0,045871235 BBTN 2013 0,699533076 0,670316621 0,82269299 0,066145515 BBTN 2014 0,714474715 0,689732157 0,831722174 0,075313316 BBTN 2015 0,739083319 0,689949469 0,837635564 0,061489729 BBTN 2016 0,718300311 0,678729614 0,822708423 0,066305291 BCIC 2006 0,166571299 0,75915474 0,957418068 0,229951387 BCIC 2007 0,220725646 0,695859749 0,92082552 0,260615067 BCIC 2008 0,451317181 0,763518879 1,008616788 0,289753222 BCIC 2009 0,651833903 0,769764377 0,95411601 0,276591251 BCIC 2010 0,626234279 0,816825164 0,855788385 0,334820651 BCIC 2011 0,679031945 0,829448005 0,850610129 0,204505442 BCIC 2012 0,745791672 0,870715373 0,839476399 0,095667208 BCIC 2013 0,757584361 0,862431979 0,851134266 0,094910672 BCIC 2014 0,713018472 0,852688825 0,810816768 0,182494012 BCIC 2015 0,674933784 0,836288292 0,808315036 0,187133355 BCIC 2016 0,738555521 0,771357377 0,840016267 0,0941515 BDMN 2006 0,512443537 0,66713314 0,880670989 0,071444505 BDMN 2007 0,540234228 0,664094395 0,881482682 0,042851051 BDMN 2008 0,61746334 0,6848055 0,8889285 0,022851947 BDMN 2009 0,604100291 0,701104445 0,853581777 0,018060959 BDMN 2010 0,583297847 0,808558471 -1,865775087 0,079460188 BDMN 2011 0,67537854 0,686970182 0,829556877 0,055216411 BDMN 2012 0,696539645 0,69278133 0,82363405 0,070009259 BDMN 2013 0,708202424 0,699903174 0,817330056 0,077835693 BDMN 2014 0,667997529 0,703449102 0,823208061 0,078974531
BDMN 2015 0,633076367 0,698279607 0,817943088 0,086984262 BDMN 2016 0,639307184 0,699581542 0,783406952 0,152944465 BVIC 2006 0,399186112 0,754510458 0,890524564 0,191205711 BVIC 2007 0,386291294 0,620148105 0,908247159 0,212287746 BVIC 2008 0,395867908 0,660801121 0,913981465 0,147763473 BVIC 2009 0,382427759 0,689815915 0,901214294 0,115613145 BVIC 2010 0,387421665 0,743230468 0,871677219 0,355389525 BVIC 2011 0,514842709 0,666419141 0,888895372 0,261289855 BVIC 2012 0,528903967 0,696369807 0,888619277 0,308360374 BVIC 2013 0,581755333 0,684610753 0,90535354 0,258271892 BVIC 2014 0,576275013 0,711482739 0,908423146 0,255776637 BVIC 2015 0,556681792 0,69155686 0,903743029 0,274660705 BVIC 2016 0,548289385 0,714066125 0,90040838 0,287136962 BKSW 2006 0,58941265 0,906463244 0,928700303 0,010294418 BKSW 2007 0,608054683 0,852509119 0,937029806 0,009810129 BKSW 2008 0,679331306 0,892159957 0,935777473 0,019684258 BKSW 2009 0,623591183 0,911701443 0,927059725 0,016403992 BKSW 2010 0,666897391 0,912014841 0,928871397 0,129159407 BKSW 2011 0,499466033 0,717577743 0,73613512 0,064869489 BKSW 2012 0,651197072 0,769124332 0,79684556 0,060724279 BKSW 2013 0,716852139 0,707218024 0,809444501 0,064662253 BKSW 2014 0,723714692 0,726119553 0,872365897 0,022856789 BKSW 2015 0,787183019 0,768658648 0,902908346 0,026384372 BKSW 2016 0,758632619 0,82004094 0,896766191 0,024907319 BMRI 2006 0,412067859 0,771840631 0,900673805 0,01398643 BMRI 2007 0,423751603 0,772290227 0,894722868 0,01528823 BMRI 2008 0,466591801 0,800172362 0,901777928 0,007867806 BMRI 2009 0,490318179 0,801220577 0,9043974 0,013809471 BMRI 2010 0,528102607 0,803681186 0,887288924 0,274642283 BMRI 2011 0,559940222 0,770418844 0,859357262 0,206961487 BMRI 2012 0,604370373 0,751368092 0,873161545 0,163331991 BMRI 2013 0,631484043 0,756256532 0,872671826 0,146907708 BMRI 2014 0,639003081 0,7514227 0,871028637 0,138993137 BMRI 2015 0,628242535 0,740116571 0,869780006 0,141184681 BMRI 2016 0,64423739 0,734608424 0,8436441 0,127316292 BNGA 2006 0,731356984 0,827439657 0,894302778 0,014545009 BNGA 2007 0,761857244 0,81948451 0,892438046 0,005911605 BNGA 2008 0,770875009 0,8169176 0,906640603 0,009960831 BNGA 2009 0,734672726 0,812844917 0,898448067 0,018600218 BNGA 2010 0,719388241 0,815140231 0,874867247 0,093291886
BNGA 2012 0,715113951 0,755844812 0,887147341 0,075009009 BNGA 2013 0,672728161 0,742800001 0,88405408 0,082620489 BNGA 2014 0,705305628 0,738549979 0,874662889 0,109798253 BNGA 2015 0,700657077 0,740659879 0,88068519 0,114152781 BNGA 2016 0,693741461 0,726308313 0,858220806 0,121549938 BNII 2006 0,450711116 0,764136823 0,890271282 0,05772685 BNII 2007 0,498876454 0,730078596 0,890723045 0,048454408 BNII 2008 0,618690491 0,776206552 0,903506989 0,027576625 BNII 2009 0,631468449 0,797664164 0,909097232 0,02487317 BNII 2010 0,672702533 0,799639127 0,894668787 0,110752293 BNII 2011 0,687354738 0,799169238 0,899153709 0,10007875 BNII 2012 0,694123682 0,779017322 0,914773821 0,085105526 BNII 2013 0,661802859 0,774644789 0,913628811 0,09143607 BNII 2014 0,679609969 0,741670409 0,908784492 0,102193726 BNII 2015 0,647672997 0,723627986 0,902812078 0,066148919 BNII 2016 0,623839499 0,698663649 0,888530857 0,112409655 BNLI 2006 0,616094973 0,795277988 0,91389083 0,00830259 BNLI 2007 0,645627986 0,754463378 0,903694053 0,015122091 BNLI 2008 0,693966942 0,774358257 0,910795069 0,006689201 BNLI 2009 0,68309573 0,792681763 0,915568896 0,002972899 BNLI 2010 0,668949199 0,778550989 0,899023109 0,110648858 BNLI 2011 0,65791463 0,771845328 0,880285833 0,071730198 BNLI 2012 0,692829975 0,750480243 0,909637984 0,054901895 BNLI 2013 0,660300587 0,730812184 0,912057621 0,065560575 BNLI 2014 0,651191043 0,724295048 0,908810699 0,082926757 BNLI 2015 0,636797052 0,727443133 0,905549141 0,091053995 BNLI 2016 0,600427884 0,703963984 0,87969967 0,125671394 BSIM 2006 0,344787287 0,866142331 0,905134631 0,081270421 BSIM 2007 0,469299317 0,869289695 0,949086802 0,029302081 BSIM 2008 0,651571433 0,800676975 0,9375612 0,021717506 BSIM 2009 0,610814762 0,871461414 0,927383873 0,021745222 BSIM 2010 0,639294882 0,870619404 0,927677472 0,110819888 BSIM 2011 0,588526698 0,837436717 0,916379288 0,114951151 BSIM 2012 0,633469165 0,828329464 0,902746786 0,076336224 BSIM 2013 0,599186344 0,776077433 0,84204963 0,074709372 BSIM 2014 0,560615594 0,757446058 0,851645745 0,070481098 BSIM 2015 0,54912006 0,730736467 0,866546336 0,085556555 BSIM 2016 0,567974847 0,724420819 0,853790604 0,084447997 BSWD 2006 0,468430896 1,117160706 0,877202572 0,004309306 BSWD 2007 0,453169392 0,855960151 0,885464446 0,00209091 BSWD 2008 0,646571829 0,80978317 0,813501863 0,008854169
BSWD 2009 0,647047583 0,774899357 0,797597033 0,040995041 BSWD 2010 0,622368113 0,78537051 0,807419166 0,226096856 BSWD 2011 0,704167254 0,786911683 0,815145278 0,09756737 BSWD 2012 0,662350803 0,809341985 0,850269962 0,038245447 BSWD 2013 0,721163601 0,78003412 0,855768285 0,05126682 BSWD 2014 0,666745393 0,731796997 0,880646583 0,122048864 BSWD 2015 0,580055044 0,721734562 0,823203401 0,261268659 BSWD 2016 0,617213448 0,733161762 0,810083391 0,292748177 MCOR 2006 0,435834507 0,717307287 0,794822886 0,120020072 MCOR 2007 0,350277243 0,745660388 0,833944597 0,055155804 MCOR 2008 0,616483079 0,826020724 0,869583515 0,047194631 MCOR 2009 0,560654756 0,857863407 0,882537447 0,049914525 MCOR 2010 0,682395219 0,847012971 0,886607624 0,091203035 MCOR 2011 0,69742537 0,875053086 0,897585535 0,068442168 MCOR 2012 0,704900857 0,871394559 0,894266569 0,064344288 MCOR 2013 0,731389418 0,840758602 0,876550367 0,060273805 MCOR 2014 0,717556624 0,827974882 0,870325504 0,063934975 MCOR 2015 0,707062339 0,826149558 0,866584313 0,061728666 MCOR 2016 0,661496292 0,783302051 0,826409301 0,071709596 MEGA 2006 0,409385613 0,866326176 0,932615683 0,036409824 MEGA 2007 0,386552143 0,834828464 0,916511907 0,008746765 MEGA 2008 0,511301794 0,826422123 0,920647074 0,006681294 MEGA 2009 0,486382735 0,838247213 0,913350643 0,091818931 MEGA 2010 0,491067907 0,819928878 0,885956555 0,27065662 MEGA 2011 0,522988277 0,811217009 0,901701695 0,210049314 MEGA 2012 0,495240238 0,795422406 0,899454097 0,205219111 MEGA 2013 0,475878419 0,799348109 0,892082963 0,251159605 MEGA 2014 0,53249868 0,793469156 0,889401901 0,210230023 MEGA 2015 0,528591998 0,778717662 0,870669217 0,242576089 MEGA 2016 0,448246792 0,712930156 0,815921962 0,243610184 NISP 2006 0,617924944 0,781247437 0,895750748 0,008526232 NISP 2007 0,652957157 0,733573621 0,885296044 0,005679017 NISP 2008 0,681524113 0,762691221 0,88269358 0,004710595 NISP 2009 0,574985938 0,794665097 0,887330335 0,00332034 NISP 2010 0,616060065 0,79097579 0,713061953 0,154601444 NISP 2011 0,657974143 0,771672735 0,70120951 0,118568848 NISP 2012 0,677619241 0,757200037 0,76754943 0,105394262 NISP 2013 0,660965626 0,703548134 0,762554328 0,130512211 NISP 2014 0,631193697 0,691517297 0,717747715 0,156382758 NISP 2015 0,624818701 0,694911957 0,739599955 0,125643858
Lampiran 3 : Hasil Perhitungan Statistik Deskriptif Tahun 2006
TOTAL_KRE DiT
TOTAL_SIM
PANAN LEVERAGE
JUMLAH__SURA T_BERHARGA Mean 0.507139 0.804748 0.902871 0.046339 Median 0.498127 0.795278 0.900674 0.027291 Maximum 0.754823 1.117161 0.957418 0.229951 Minimum 0.166571 0.667133 0.794823 0.002836 Std. Dev. 0.144938 0.093943 0.036200 0.060018 Skewness -0.127440 1.403031 -1.072050 1.950746 Kurtosis 2.725603 6.510234 4.848557 5.977221 Jarque-Bera 0.134414 19.35423 7.680393 23.08192 Probability 0.935002 0.000063 0.021489 0.000010
Sum 11.66420 18.50920 20.76603 1.065794
Sum Sq. Dev. 0.462156 0.194157 0.028830 0.079246
Observations 23 23 23 23
INPC 2006 0,666426741 0,790422704 0,948794728 0,003992606 INPC 2007 0,647649418 0,862552216 0,943397255 0,001248127 INPC 2008 0,717621032 0,81783816 0,940758128 2,51286E-07 INPC 2009 0,709940266 0,837164918 0,935540533 2,0392E-07 INPC 2010 0,706003401 0,84735524 0,846094919 0,123838448 INPC 2011 0,695464258 0,84019734 0,79173078 0,112955631 INPC 2012 0,698951354 0,854145232 0,864798013 0,091646844 INPC 2013 0,74237617 0,820818842 0,758305235 0,074646849 INPC 2014 0,734159812 0,826829303 0,761607019 0,078209652 INPC 2015 0,689636974 0,847358111 0,782642823 0,088963321 INPC 2016 0,649868513 0,801866272 0,680151687 0,111665399
Tahun 2007 Skewness -0.129862 -0.651880 -0.718791 2.580209 Kurtosis 2.393246 2.190503 3.522825 8.565919 Skewness -0.591887 -0.690257 -0.010234 3.213134 Kurtosis 2.446073 2.867015 5.807767 12.85755
Tahun 2009 Skewness -0.513942 -0.486410 -1.595598 3.112404 Kurtosis 2.572065 2.691392 6.362118 12.80493 Skewness -0.928671 -0.880295 -4.393295 0.893766 Kurtosis 3.369971 4.442553 20.56433 2.496741
Tahun 2011 Skewness -0.462839 -0.694188 -0.417605 0.818733 Kurtosis 1.849957 2.677930 2.255003 2.615859 Skewness -1.049697 -0.185269 -0.828836 1.877715 Kurtosis 3.447283 1.984627 3.234070 6.728654
Tahun 2013 Skewness -1.356051 -0.185227 -0.125104 1.822306 Kurtosis 5.134189 1.998456 1.750739 5.698031
Tahun 2015
Lampiran 4 Regresi I
Null Hypothesis: GDP has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.962440 0.0466 Test critical values: 1% level -3.592462
5% level -2.931404
10% level -2.603944
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDP)
Method: Least Squares Date: 04/25/19 Time: 01:50 Sample (adjusted): 2 44
Included observations: 43 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
GDP(-1) -0.092419 0.031197 -2.962440 0.0051 C 0.590296 0.193686 3.047698 0.0040 R-squared 0.176311 Mean dependent var 0.016879 Adjusted R-squared 0.156221 S.D. dependent var 0.049341 S.E. of regression 0.045324 Akaike info criterion -3.304586 Sum squared resid 0.084223 Schwarz criterion -3.222670 Log likelihood 73.04860 Hannan-Quinn criter. -3.274378 F-statistic 8.776049 Durbin-Watson stat 2.269914 Prob(F-statistic) 0.005061
Null Hypothesis: TOTAL_KREDIT has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.064313 0.2596 Test critical values: 1% level -3.592462
5% level -2.931404
10% level -2.603944
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(TOTAL_KREDIT) Method: Least Squares
Date: 04/25/19 Time: 01:51 Sample (adjusted): 2 44
Included observations: 43 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
TOTAL_KREDIT(-1) -0.091405 0.044279 -2.064313 0.0454 C 0.059683 0.027532 2.167811 0.0360 R-squared 0.094151 Mean dependent var 0.003079 Adjusted R-squared 0.072057 S.D. dependent var 0.016820 S.E. of regression 0.016203 Akaike info criterion -5.361905 Sum squared resid 0.010763 Schwarz criterion -5.279989 Log likelihood 117.2810 Hannan-Quinn criter. -5.331697 F-statistic 4.261390 Durbin-Watson stat 1.837193 Prob(F-statistic) 0.045354
Null Hypothesis: TOTAL_SIMPANAN has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.132147 0.2336 Test critical values: 1% level -3.592462
5% level -2.931404
10% level -2.603944
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(TOTAL_SIMPANAN) Method: Least Squares
Date: 04/25/19 Time: 01:52 Sample (adjusted): 2 44
Included observations: 43 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
TOTAL_SIMPANAN
C 0.177855 0.084017 2.116891 0.0404 R-squared 0.099812 Mean dependent var -0.001225 Adjusted R-squared 0.077856 S.D. dependent var 0.014445 S.E. of regression 0.013871 Akaike info criterion -5.672605 Sum squared resid 0.007889 Schwarz criterion -5.590688 Log likelihood 123.9610 Hannan-Quinn criter. -5.642397 F-statistic 4.546050 Durbin-Watson stat 2.380947 Prob(F-statistic) 0.039033
Null Hypothesis: LEVERAGE has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.387122 0.0001 Test critical values: 1% level -3.592462
5% level -2.931404
10% level -2.603944
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(LEVERAGE) Method: Least Squares
Date: 04/25/19 Time: 01:54 Sample (adjusted): 2 44
Included observations: 43 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
LEVERAGE(-1) -0.828878 0.153863 -5.387122 0.0000 C 0.694008 0.130012 5.338028 0.0000 R-squared 0.414462 Mean dependent var -0.002912 Adjusted R-squared 0.400181 S.D. dependent var 0.109451 S.E. of regression 0.084768 Akaike info criterion -2.052402 Sum squared resid 0.294610 Schwarz criterion -1.970486 Log likelihood 46.12665 Hannan-Quinn criter. -2.022194 F-statistic 29.02108 Durbin-Watson stat 2.055074 Prob(F-statistic) 0.000003
Null Hypothesis: JUMLAH_SURAT_BERHARGA has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.055052 0.2633 Test critical values: 1% level -3.592462
5% level -2.931404
10% level -2.603944
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(JUMLAH_SURAT_BERHARGA) Method: Least Squares
Date: 04/25/19 Time: 01:55 Sample (adjusted): 2 44
Included observations: 43 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
JUMLAH_SURAT_BERHAR
GA(-1) -0.181058 0.088104 -2.055052 0.0463
C 0.018515 0.008810 2.101580 0.0418
R-squared 0.093386 Mean dependent var 0.002185 Adjusted R-squared 0.071274 S.D. dependent var 0.025889 S.E. of regression 0.024950 Akaike info criterion -4.498524 Sum squared resid 0.025522 Schwarz criterion -4.416608 Log likelihood 98.71827 Hannan-Quinn criter. -4.468316 F-statistic 4.223238 Durbin-Watson stat 2.038737 Prob(F-statistic) 0.046283
Null Hypothesis: D(GDP) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -6.488457 0.0000 Test critical values: 1% level -3.596616
5% level -2.933158
10% level -2.604867
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDP,2)
Method: Least Squares
Sample (adjusted): 3 44
Included observations: 42 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(GDP(-1)) -1.028345 0.158488 -6.488457 0.0000 C 0.017567 0.008273 2.123424 0.0400 R-squared 0.512790 Mean dependent var -0.000398 Adjusted R-squared 0.500610 S.D. dependent var 0.071494 S.E. of regression 0.050523 Akaike info criterion -3.086336 Sum squared resid 0.102102 Schwarz criterion -3.003590 Log likelihood 66.81306 Hannan-Quinn criter. -3.056007 F-statistic 42.10008 Durbin-Watson stat 1.992993 Prob(F-statistic) 0.000000
Null Hypothesis: D(TOTAL_KREDIT) has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -5.065864 0.0002 Test critical values: 1% level -3.600987
5% level -2.935001
10% level -2.605836
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(TOTAL_KREDIT,2) Method: Least Squares
Date: 04/25/19 Time: 01:57 Sample (adjusted): 4 44
Included observations: 41 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
Adjusted R-squared 0.450481 S.D. dependent var 0.023256 S.E. of regression 0.017240 Akaike info criterion -5.212847 Sum squared resid 0.011294 Schwarz criterion -5.087464
Log likelihood 109.8634 Hannan-Quinn criter. -5.167189 F-statistic 17.39544 Durbin-Watson stat 1.865514 Prob(F-statistic) 0.000004
Null Hypothesis: D(TOTAL_SIMPANAN) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -9.194325 0.0000 Test critical values: 1% level -3.596616
5% level -2.933158
10% level -2.604867
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(TOTAL_SIMPANAN,2) Method: Least Squares
Date: 04/25/19 Time: 01:58 Sample (adjusted): 3 44
Included observations: 42 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(TOTAL_SIMPANA
N(-1)) -1.362502 0.148189 -9.194325 0.0000 C -0.001750 0.002141 -0.817325 0.4186 R-squared 0.678807 Mean dependent var 0.000215 Adjusted R-squared 0.670777 S.D. dependent var 0.024060 S.E. of regression 0.013805 Akaike info criterion -5.681121 Sum squared resid 0.007623 Schwarz criterion -5.598375 Log likelihood 121.3035 Hannan-Quinn criter. -5.650791 F-statistic 84.53561 Durbin-Watson stat 2.245907 Prob(F-statistic) 0.000000
Null Hypothesis: D(LEVERAGE) has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -7.499062 0.0000
5% level -2.935001
10% level -2.605836
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(LEVERAGE,2) Method: Least Squares
Date: 04/25/19 Time: 01:59 Sample (adjusted): 4 44
Included observations: 41 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(LEVERAGE(-1)) -1.997337 0.266345 -7.499062 0.0000 D(LEVERAGE(-1),2) 0.325283 0.153413 2.120314 0.0406 C -0.005846 0.014666 -0.398600 0.6924 R-squared 0.779625 Mean dependent var 7.53E-05 Adjusted R-squared 0.768026 S.D. dependent var 0.194711 S.E. of regression 0.093780 Akaike info criterion -1.825376 Sum squared resid 0.334198 Schwarz criterion -1.699993 Log likelihood 40.42020 Hannan-Quinn criter. -1.779718 F-statistic 67.21652 Durbin-Watson stat 2.162776 Prob(F-statistic) 0.000000
Null Hypothesis: D(JUMLAH_SURAT_BERHARGA) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=9)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -7.052897 0.0000
Test critical values: 1% level -3.596616
5% level -2.933158
10% level -2.604867
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(JUMLAH_SURAT_BERHARGA,2) Method: Least Squares
Date: 04/25/19 Time: 02:00 Sample (adjusted): 3 44
Included observations: 42 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
D(JUMLAH_SURAT_BERHAR
GA(-1)) -1.109017 0.157243 -7.052897 0.0000
C 0.002395 0.004085 0.586330 0.5609
R-squared 0.554285 Mean dependent var -0.000167 Adjusted R-squared 0.543142 S.D. dependent var 0.039013 S.E. of regression 0.026369 Akaike info criterion -4.386799 Sum squared resid 0.027813 Schwarz criterion -4.304052 Log likelihood 94.12277 Hannan-Quinn criter. -4.356469 F-statistic 49.74335 Durbin-Watson stat 2.010387 Prob(F-statistic) 0.000000
Lampiran 5 Regresi II
Date: 04/25/19 Time: 02:03 Sample (adjusted): 4 44
Included observations: 41 after adjustments Trend assumption: Linear deterministic trend
Series: GDP TOTAL_KREDIT TOTAL_SIMPANAN LEVERAGE JUMLAH_SURAT_BERHARGA
Lags interval (in first differences): 1 to 2
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.633343 92.47970 69.81889 0.0003 At most 1 * 0.429661 51.34322 47.85613 0.0227 At most 2 0.355455 28.32069 29.79707 0.0733 At most 3 0.212528 10.31305 15.49471 0.2574 At most 4 0.012532 0.517046 3.841466 0.4721 Trace test indicates 2 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.633343 41.13648 33.87687 0.0057 At most 1 0.429661 23.02253 27.58434 0.1725 At most 2 0.355455 18.00764 21.13162 0.1296
At most 4 0.012532 0.517046 3.841466 0.4721 Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
GDP -10.61722 21.63818 -37.30751 -49.87349 -24.03941 2.073996 -15.16598 17.13236 -80.80200 -113.6576 4.212121 -39.84853 2.219034 -2.349215 14.18275 -1.148364 -1.705191 -76.40854 8.188970 5.319882
Unrestricted Adjustment Coefficients (alpha):
D(GDP) 0.018732 -0.002702 -0.003891 0.012831 -0.001755
1 Cointegrating Equation(s): Log likelihood 541.1132 Normalized cointegrating coefficients (standard error in parentheses)
GDP Adjustment coefficients (standard error in parentheses)
D(GDP) -0.309766
GA)
(0.07748)
2 Cointegrating Equation(s): Log likelihood 552.6244 Normalized cointegrating coefficients (standard error in parentheses)
GDP Adjustment coefficients (standard error in parentheses)
D(GDP) -0.281079 0.753432 D(LEVERAGE) -0.424647 0.891858 (0.27456) (0.67681) D(JUMLAH_SU
RAT_BERHAR
GA) 0.110664 -0.246847 (0.08848) (0.21810)
3 Cointegrating Equation(s): Log likelihood 561.6282 Normalized cointegrating coefficients (standard error in parentheses)
GDP Adjustment coefficients (standard error in parentheses)
D(GDP) -0.289149 0.812447 -0.787688
(0.03467) (0.08906) (0.10541) D(LEVERAGE) -0.459237 1.144793 -1.738879 (0.26921) (0.69156) (0.81857) D(JUMLAH_SU
RAT_BERHAR
GA) 0.127244 -0.368087 0.494348
(0.08399) (0.21576) (0.25538)
4 Cointegrating Equation(s): Log likelihood 566.5262 Normalized cointegrating coefficients (standard error in parentheses)
GDP Adjustment coefficients (standard error in parentheses)
D(GDP) -0.235105 0.301167 -0.759216 0.893922 D(LEVERAGE) -0.398488 0.570082 -1.706876 -0.398714 (0.26989) (0.86203) (0.80314) (1.31317) D(JUMLAH_SU
RAT_BERHAR
GA) 0.103592 -0.144334 0.481888 -0.340692
(0.08325) (0.26592) (0.24775) (0.40508)
Lampiran 6 Regresi III
Pairwise Granger Causality Tests Date: 04/25/19 Time: 02:04 Sample: 1 44
Lags: 1
Null Hypothesis: Obs F-Statistic Prob.
TOTAL_KREDIT does not Granger Cause GDP 43 0.13138 0.7189
GDP does not Granger Cause TOTAL_KREDIT 5.77477 0.0210
TOTAL_SIMPANAN does not Granger Cause GDP 43 3.27142 0.0780
GDP does not Granger Cause TOTAL_SIMPANAN 2.13107 0.1522
LEVERAGE does not Granger Cause GDP 43 0.06920 0.7939
GDP does not Granger Cause LEVERAGE 6.21944 0.0169
JUMLAH_SURAT_BERHARGA does not Granger Cause GDP 43 0.98999 0.3257 GDP does not Granger Cause JUMLAH_SURAT_BERHARGA 2.67292 0.1099 TOTAL_SIMPANAN does not Granger Cause TOTAL_KREDIT 43 0.13040 0.7199 TOTAL_KREDIT does not Granger Cause TOTAL_SIMPANAN 0.11336 0.7381 LEVERAGE does not Granger Cause TOTAL_KREDIT 43 5.79274 0.0208
TOTAL_KREDIT does not Granger Cause LEVERAGE 5.66539 0.0222
JUMLAH_SURAT_BERHARGA does not Granger Cause TOTAL_KREDIT 43 1.05842 0.3098 TOTAL_KREDIT does not Granger Cause JUMLAH_SURAT_BERHARGA 2.51040 0.1210 LEVERAGE does not Granger Cause TOTAL_SIMPANAN 43 1.90218 0.1755 TOTAL_SIMPANAN does not Granger Cause LEVERAGE 0.38372 0.5391 JUMLAH_SURAT_BERHARGA does not Granger Cause
TOTAL_SIMPANAN 43 3.40741 0.0723
TOTAL_SIMPANAN does not Granger Cause JUMLAH_SURAT_BERHARGA 6.9E-06 0.9979 JUMLAH_SURAT_BERHARGA does not Granger Cause LEVERAGE 43 2.11731 0.1534 LEVERAGE does not Granger Cause JUMLAH_SURAT_BERHARGA 0.10360 0.7492