Dampak Risiko Iklim dan Paparan Bencana Alam Terhadap Stabilitas Perbankan: Studi dari Enam Negara ASEAN

Jainuri, Muhammad Rafi (2026) Dampak Risiko Iklim dan Paparan Bencana Alam Terhadap Stabilitas Perbankan: Studi dari Enam Negara ASEAN. Masters thesis, Institut Teknologi Sepuluh Nopember.

Text 6031241006-Master_Thesis.pdf - Accepted Version Restricted to Repository staff only Download (3MB) | Request a copy

Abstract

Eskalasi krisis ekologi global merepresentasikan ancaman sistemik bagi sektor keuangan, khususnya di kawasan ASEAN yang berkarakter kerentanan iklim tinggi. Penelitian ini menginvestigasi pengaruh Climate Risk Index (CRI) dan Natural Disaster Exposure (NDE) terhadap stabilitas perbankan (Z-score) pada 98 bank komersial di enam negara ASEAN (Indonesia, Malaysia, Singapura, Thailand, Filipina, Vietnam) periode 2010–2023. Estimasi dilakukan melalui Fixed Effects Model dengan Driscoll-Kraay standard errors sebagai model utama, dilengkapi robustness check menggunakan NPL Ratio, dummy structural break COVID-19, serta Two-Step System GMM untuk menguji ketahanan dinamis. Hasil membuktikan CRI berpengaruh negatif signifikan terhadap Z-score secara konsisten pada seluruh model statis, meski efeknya melemah dan kehilangan signifikansi pada estimasi GMM dinamis dengan mengindikasikan sensitivitas hubungan tersebut terhadap spesifikasi model jangka panjang. Sebaliknya, NDE tidak signifikan pada model dasar, namun berbalik menjadi positif signifikan setelah structural break COVID-19 dikendalikan, mendukung hipotesis creative destruction di mana ekspansi kredit rekonstruksi pascabencana justru menopang Z-score pada kondisi normal dimana efek yang kemudian melemah tajam saat berpapasan dengan krisis sistemik. ROA dan CAR konsisten positif signifikan sebagai sabuk pengaman stabilitas, sementara bank size berpengaruh negatif pada model statis (moral hazard too-big-to-fail) namun berbalik positif pada GMM. Uji robustness NPL Ratio mengungkap bank merespons risiko iklim melalui pengetatan kredit defensif. Temuan ini menegaskan bahwa risiko iklim struktural dan paparan bencana akut memiliki mekanisme transmisi berbeda terhadap stabilitas perbankan ASEAN, sehingga otoritas makroprudensial perlu mengintegrasikan climate stress-testing yang mengakomodasi skenario guncangan majemuk (compound shock) ke dalam kerangka regulasi perbankan.
========================================================================================================================
The escalation of the global ecological crisis poses a systemic threat to the financial sector, particularly in the highly climate-vulnerable ASEAN region. This study examines the effects of the Climate Risk Index (CRI) and Natural Disaster Exposure (NDE) on banking stability (Z-score) across 98 commercial banks in six ASEAN countries Indonesia, Malaysia, Singapore, Thailand, the Philippines, and Vietnam over 2010–2023. Estimation employs a Fixed Effects Model with Driscoll-Kraay standard errors as the primary model, supplemented by robustness checks using the NPL Ratio, a COVID-19 structural break dummy, and Two-Step System GMM to test dynamic robustness. Results show CRI exerts a significant negative effect on Z-score consistently across all static models, though this effect weakens and loses significance under dynamic GMM estimation, indicating sensitivity to long-run model specification. Conversely, NDE is insignificant in the baseline model but becomes significantly positive once the COVID-19 structural break is controlled for, supporting the creative destruction hypothesis, whereby post-disaster reconstruction credit expansion sustains Z-score under normal conditions an effect that weakens sharply during systemic crises. ROA and CAR remain consistently positive and significant as stability safeguards, while bank size shows a negative effect in static models (too-big-to-fail moral hazard) but reverses to positive under GMM. The NPL Ratio robustness test reveals that banks respond to climate risk through defensive credit tightening. These findings confirm that structural climate risk and acute disaster exposure operate through distinct transmission mechanisms, underscoring the need for macroprudential authorities to integrate climate stress-testing that accommodates compound shock scenarios into banking regulatory frameworks.

Item Type:	Thesis (Masters)
Uncontrolled Keywords:	Climate Risk Index, Natural Disaster Exposure, Z-score, Non-Performing Loans, Driscoll-Kraay, System GMM
Subjects:	H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HA Statistics > HA31.3 Regression. Correlation. Logistic regression analysis. H Social Sciences > HC Economic History and Conditions > HC79.E5 Sustainable development. (circular economy)
Divisions:	Faculty of Creative Design and Digital Business (CREABIZ) > Business Management > (S2) Master Thesis
Depositing User:	Muhammad Rafi Jainuri
Date Deposited:	30 Jul 2026 09:36
Last Modified:	30 Jul 2026 09:36
URI:	http://repository.its.ac.id/id/eprint/141321

Actions (login required)

View Item