PENGARUH DINAMIKA MAKROEKONOMI TERHADAP NON-PERFORMING FINANCING PERBANKAN SYARIAH DI INDONESIA: PENDEKATAN NON-LINEAR AUTOREGRESSIVE DISTRIBUTED LAG (NARDL) PERIODE (2015-2025).

FAHRIZA DIANI JATI, . (2026) PENGARUH DINAMIKA MAKROEKONOMI TERHADAP NON-PERFORMING FINANCING PERBANKAN SYARIAH DI INDONESIA: PENDEKATAN NON-LINEAR AUTOREGRESSIVE DISTRIBUTED LAG (NARDL) PERIODE (2015-2025). Sarjana thesis, UNIVERSITAS NEGERI JAKARTA.

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Abstract

Penelitian ini bertujuan untuk menganalisis bagaimana risiko pembiayaan (Non-Performing Financing/NPF) perbankan syariah di Indonesia merespons dinamika variabel makroekonomi secara asimetris, yang meliputi Pertumbuhan Ekonomi (IPI), Inflasi, dan Nilai Tukar. Latar belakang penelitian ini didasari oleh urgensi mitigasi risiko di tengah fenomena "stabilitas semu" pasca-pandemi serta adanya inkonsistensi temuan literatur terdahulu yang masih didominasi oleh pendekatan linear. Pendekatan konvensional tersebut dinilai kurang akurat dalam menangkap perilaku variabel makroekonomi yang fluktuatif. Unit analisis penelitian ini adalah industri perbankan syariah nasional dengan menggunakan data runtun waktu bulanan periode Januari 2015 hingga September 2025. Teknik analisis data menggunakan estimasi Non-Linear Autoregressive Distributed Lag (NARDL) yang memecah variabel independen menjadi komponen perubahan positif dan negatif, serta dilengkapi dengan Uji Wald untuk validasi statistik asimetri dan Error Correction Term (ECT) untuk mengukur kecepatan penyesuaian. Hasil penelitian menunjukkan pola variable-specific: (1) Pertumbuhan Ekonomi (IPI) memiliki pengaruh negatif yang dominan namun bersifat simetris, mengindikasikan bahwa mekanisme bagi hasil bekerja efektif mendistribusikan risiko secara proporsional sesuai siklus bisnis; (2) Inflasi tidak berpengaruh signifikan dalam jangka panjang, membuktikan ketahanan nasabah syariah yang didukung oleh kepastian arus kas pada akad Murabahah; dan (3) Nilai Tukar terbukti memiliki pengaruh asimetris yang signifikan. Dinamika depresiasi Rupiah berdampak jauh lebih destruktif terhadap kualitas aset dibandingkan perbaikan saat apresiasi, mengonfirmasi validitas jalur neraca (balance sheet channel) yang non-linear. Secara sistemik, perbankan syariah menunjukkan stabilitas yang kokoh dengan estimasi waktu pemulihan mandiri sekitar 4,4 bulan. Penelitian ini merekomendasikan penerapan strategi lindung nilai asimetris bagi manajemen perbankan dan kalibrasi kebijakan stress testing skenario ganda bagi regulator untuk menjaga stabilitas sistem keuangan. ***** This study aims to investigate the dynamic and asymmetric responses of Islamic banking financing risk (Non-Performing Financing/NPF) in Indonesia to macroeconomic variable shocks, specifically Economic Growth (IPI), Inflation, and Exchange Rate. This research is motivated by the urgency of risk mitigation amidst the post-pandemic "pseudo-stability" phenomenon and the inconsistency of prior literature findings dominated by linear approaches. Such conventional approaches are considered less accurate in capturing the behavior of fluctuating macroeconomic variables. The unit of analysis is the national Islamic banking industry using monthly time-series data from January 2015 to September 2025. The data analysis technique employs the Non-Linear Autoregressive Distributed Lag (NARDL) estimation, which decomposes independent variables into positive and negative shock components, complemented by the Wald Test for statistical asymmetry validation and the Error Correction Term (ECT) to measure adjustment speed. The results reveal variable-specific patterns: (1) Economic Growth (IPI) exhibits a dominant negative effect but is symmetric, indicating that the profit-loss sharing mechanism effectively distributes risk proportionally according to the business cycle; (2) Inflation has no significant long-term effect, proving the resilience of Islamic banking customers supported by cash flow certainty in Murabahah contracts; and (3) The Exchange Rate is proven to have a significant asymmetric effect. Rupiah depreciation dynamics have a far more destructive impact on asset quality compared to the improvements during appreciation, confirming the validity of the non-linear balance sheet channel. Systemically, Islamic banking demonstrates robust stability with an estimated self-recovery time of approximately 4.4 months. This study recommends the implementation of asymmetric hedging strategies for banking management and the calibration of dual-scenario stress testing policies for regulators to maintain financial system stability.

Item Type:	Thesis (Sarjana)
Additional Information:	1). Dr. Herlitah, S.Sos., M.Ec.Dev.; 2). Siti Fatimah Zahra, S.E.I., M.E.
Subjects:	Ilmu Sosial > Teori Ekonomi Manajemen > Pendidikan, Riset Penelitian Bisnis
Divisions:	FE > S1 Pendidikan Ekonomi
Depositing User:	Fahriza Diani Jati .
Date Deposited:	11 Aug 2026 02:22
Last Modified:	11 Aug 2026 02:22
URI:	http://repository.unj.ac.id/id/eprint/69727

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