Comparing Credit Risk in Islamic and Conventional Banking Using Bank-Level Panel Data

Akhmad Akbar Susamto; Danes Quirira Octavio; Dyah Titis Kusuma Wardani

doi:10.21580/economica.2020.11.2.5027

Authors

Akhmad Akbar Susamto Universitas Gadjah Mada, Yogyakarta, Indonesia https://orcid.org/0000-0003-4064-5498
Danes Quirira Octavio Universitas Gadjah Mada, Yogyakarta, Indonesia
Dyah Titis Kusuma Wardani Universitas Muhammadiyah Yogyakarta, Indonesia

DOI:

https://doi.org/10.21580/economica.2020.11.2.5027

Keywords:

Credit risk, Islamic bank, Conventional bank

Abstract

Abstract: This paper investigates if there is a difference in the level of the credit risk of Islamic as compared to the level of credit risk of conventional banks. This paper further investigates the importance of various credit risk determinants and possible differences in how such determinants affect credit risk in Islamic and conventional banking industries. This paper employs dynamic panel regressions using system GMM estimators. The sample includes 11 Islamic and 95 conventional banks in Indonesia throughout 2003-2018. Based on the results, it is concluded that there is no difference in the level of the credit risk of Islamic as compared to that of conventional banks. It is also concluded that credit risk is significantly affected by current and lagged asset size, lagged financing, current profitability, lagged economic growth, and current inflation. The effect of lagged financing, current profitability, and lagged economic growth is different in Islamic and conventional banking.

Abstrak: Makalah ini menganalisis apakah terdapat perbedaan antara tingkat risiko kredit pada perbankan syariah dan tingkat risiko kredit pada perbankan konvensional. Makalah ini selanjutnya juga menganalisis signifikansi faktor-faktor yang diduga mempengaruhi risiko kredit dan kemungkinan perbedaan pengaruh faktor-faktor tersebut terhadap risiko kredit pada perbankan syariah dibandingkan pada perbankan konvensional. Makalah ini menggunakan regresi panel dinamis dengan system generalized method of moments (GMM) estimator. Sampel dalam makalah ini mencakup 11 bank syariah dan 95 bank konvensional di Indonesia selama periode 2003-2018. Berdasarkan hasil analisis, dapat disimpulkan bahwa tidak terdapat perbedaan perbedaan antara tingkat risiko kredit pada perbankan syariah dan tingkat risiko kredit pada perbankan konvensional. Begitu pula, dapat disimpulkan bahwa risiko kredit secara signifikan dipengaruhi oleh ukuran aset tahun ini dan tahun lalu, pembiayaan tahun lalu, profitabilitas tahun ini, pertumbuhan ekonomi tahun lalu dan inflasi tahun ini. Pengaruh pembiayaan tahun lalu, profitabilitas tahun ini, dan pertumbuhan ekonomi tahun lalu, secara khusus berbeda pada perbankan syariah dibandingkan pada perbankan konvensional.

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Author Biographies

Akhmad Akbar Susamto, Universitas Gadjah Mada, Yogyakarta

Scopus ID: 57195902678
ORCHID ID: https://orcid.org/0000-0003-4064-5498
Google Scholar Profile: https://scholar.google.co.id/citations?user=AyjRIVYAAAAJ&hl=en
Sinta ID: 6120719

Danes Quirira Octavio, Universitas Gadjah Mada, Yogyakarta

Pusat Kajian Ekonomika dan Bisnis Syariah FEB UGM

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