The influence of capital risk, liquidity risk, and credit risk, on profitability with macroprudential intermediation ratio as a moderating variable
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Aug 7, 2023
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Abstract
The banking industry faces bank business activities with increasingly complex risks due to rapid development that creates new risk exposures, so the bank must implement good risk management to reduce risks arising from bank activities. This study aims to determine the determinants of profitability, such as capital risk, liquidity risk, credit risk, and macroprudential intermediation ratio as moderation variables. This study utilized information taken from the financial statements of bank companies that have been registered on the IDX by using a purposive sampling test method that met the research criteria. The research period was taken for five years with a total of 130 data from 26 banking sector entities. This study utilized multiple linear analysis methods with secondary data types. The study results revealed a simultaneous influence between capital risk, liquidity risk, credit risk, and macroprudential intermediation ratios on profitability. Capital risk has a negative impact on profitability, liquidity risk shows a a positive relationship with profitability, and the presence of capital risk mediated by macroprudential intermediation ratios strengthens the relationship with profitability. Additionally, liquidity risk mediated by macroprudential intermediation ratios strenghthens the relationshio with profitability, while credit risk mediated by macroprudential intermediation ratios weakens the relationship with profitability.
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How to Cite
Febiyanni, F., & Hermanto, H. (2023). The influence of capital risk, liquidity risk, and credit risk, on profitability with macroprudential intermediation ratio as a moderating variable. Enrichment : Journal of Management, 13(3), 1984-1992. https://doi.org/10.35335/enrichment.v13i3.1397
References
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Anggari, N. L. S., & Dana, I. M. (2020). The Effect of Capital Adequacy Ratio, Third Party Funds, Loan to Deposit Ratio, Bank Size on Profitability in Banking Companies on IDX. American Journal of Humanities and Social Sciences Research (AJHSSR), 4(12), 334–338.
Ariwidanta K.T, & Wiksuana I.G.B. (2018). The Effect of Credit and Liquidity Risk on Bank Profitability and Capital Adequacy Ratio As Mediation Variabels In Indonesia. Russian Journal of Agricultural and Socio-Economic Sciences, 9(September), 165–171.
Badawi, A., Nugroho, L., & Hidayah, N. (2021). Islamic Bank Performance: Does Low-Cost Fund and Labor Cost Affect it ? Business, Economics and Management Research Journal, 4(2), 81–92.
Blakesley, D., Weston, G. ., & Hall, J. . (1991). The Role of Endogenous Auxin in Root Initiation. Plant Growth Regulation, 10(4), 341–353. https://doi.org/10.1007/BF00024593
Cooke, J. E. (1970). The Compromise of 1790. The William and Mary Quarterly, 27(4), 524–545. https://doi.org/10.2307/1919703
Daryanto, W. M., Akbar, F., & Perdana, F. A. (2020). Financial Performance Analysis in The Banking Sector: Before and After Financial Technology Regulation in Indonesia (Case Study of Buku-IV in Indonesia for Period 2013-2019). International Journal of Business, Economics and Law, 21(2), 1–9.
Davis, E. P., Karim, D., & Noel, D. (2022). The Effects of Macroprudential Policy on Banks’ Profitability. International Review of Financial Analysis, 80(June 2020), 101989. https://doi.org/10.1016/j.irfa.2021.101989
Hermanto, & Tjahjadi, E. (2021). Analisis Rasio Profitabilitas, Solvabilitas Terhadap Stockprice Perusahaan Perbankan. Jurnal Ilmiah MEA (Manajemen, Ekonomi, dan Akuntansi), 5(1), 1124–1135.
Irawati, J. (2021). How Big The Role of Credit Risk, Liquidity Risk and Capital Have an Effect On The Profitability of The 10 Largest Bank in Indonesia. International Journal of Science, Technology and Management, 2(1), 179–189. https://doi.org/10.46729/ijstm.v2i1.146
Jose, M. L., Lancaster, C., & Stevens, J. L. (1996). Corporate Returns and Cash Conversion Cycles. Journal of Economics and Finance, 20(1), 33. https://doi.org/10.1007/BF02920497
Jumreornvong, S., Chakreyavanich, C., Treepongkaruna, S., & Jiraporn, P. (2018). Capital Adequacy, Deposit Insurance, and The Effect of Their Interaction on Bank Risk. Journal of Risk and Financial Management, 11(4), 79. https://doi.org/10.3390/jrfm11040079
Klein, P. (1996). Pricing Black-Scholes Options With Correlated Credit risk. Journal of Banking & Finance, 20(7), 1211–1229. https://doi.org/https://doi.org/10.1016/0378-4266(95)00052-6
Myers, S. C., & Majluf, N. S. (1984). Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have. Journal of Financial Economics, 13(2), 187–221. https://doi.org/https://doi.org/10.1016/0304-405X(84)90023-0
Permatasari, I. (2020). Does Corporate Governance Affect Bank Risk Management? Case Study of Indonesian Banks. International Trade, Politics and Development, 4(2), 127–139. https://doi.org/10.1108/itpd-05-2020-0063
Pracoyo, A., & Imani, A. (2018). Analysis of The Effect of Capital, Credit Risk, and Liquidity Risk on Profitability in Banks. Jurnal Ilmu Manajemen & Ekonomika, 10(2), 44. https://doi.org/10.35384/jime.v10i2.80
Pratiwi, E., & Masdupi, E. (2021). Effect of Credit Risk, Market Risk and Liquidity Risk on Return on Assets of Conventional Commercial Banks Registered in The Financial Services Authority During the COVID-19 Pandemic. Financial Management Studies, 4(29), 29–46.
Ramadhanti, C., Marlina, M., & Hidayati, S. (2019). The Effect Capital Adequacy, Liquidity and Credit Risk to Profitability of Commercial Banks. Journal of Economics, Business, and Government Challenges, 2(1), 71–78. https://doi.org/10.33005/ebgc.v2i1.66
Saady, N., Pradiani, T., & Handoko, Y. (2020). The Effect of the Third Party Funds on People’s Business Credit and Micro Business Segment Profitability. Jurnal Pendidikan Bisnis dan Manajemen, 6(1), 42–53. https://doi.org/10.17977/um003v6i12020p042
Saiful, S., & Ayu, D. P. (2019). Risks Management and Bank Performance: the Empirical Evidences From Indonesian Conventional and Islamic Banks. International Journal of Economics and Financial Issues, 9(4), 90–94. https://doi.org/10.32479/ijefi.8078
Saleh, I., & Afifa, M. A. (2020). The Effect of Credit Risk, Liquidity Risk and Bank Capital on Bank Profitability: Evidence From an Emerging Market. Cogent Economics and Finance, 8(1). https://doi.org/10.1080/23322039.2020.1814509
Shair, F., Sun, N., Shaorong, S., Atta, F., & Hussain, M. (2019). Impacts of Risk and Competition on The Profitability of Banks: Empirical Evidence from Pakistan. Journal Plos One, 14(11), 1–27. https://doi.org/10.1371/journal.pone.0224378
Suryaningsih, N. P. R., & Sudirman, I. M. S. N. (2020). The Influence of Credit Risk, Liquidity Risk, and Operational Risk on Profitability in Rural Banks in Bali Province. American Journal of Humanities and Social Sciences Research, 4(3), 258–265.
Syahzuni, B. A., & Florencia, S. (2022). Dampak Pengungkapan Tanggung Jawab Sosial Terhadap Profitabilitas Perusahaan. Jurnal Ilmiah Akuntansi Dan Keuangan. https://doi.org/10.1002/9781119200932.ch9
Wijayanti, R., P, N. M. A., & Harun, C. A. (2018). Effectiveness of Macroprudential Policies and Their Interaction with Monetary Policy in Indonesia. Journal Bank of International, 110, 31–50.
Yustina, W., Suryanto, T., Noviarita, H., & Anggraeni, E. (2021). Analysis of Factors Affecting Liquidity of Islamic Banking Listed on the Indonesia Stock Exchange. Al-Kharaj : Jurnal Ekonomi, Keuangan & Bisnis Syariah, 4(1), 47–61. https://doi.org/10.47467/alkharaj.v4i1.414
Anggari, N. L. S., & Dana, I. M. (2020). The Effect of Capital Adequacy Ratio, Third Party Funds, Loan to Deposit Ratio, Bank Size on Profitability in Banking Companies on IDX. American Journal of Humanities and Social Sciences Research (AJHSSR), 4(12), 334–338.
Ariwidanta K.T, & Wiksuana I.G.B. (2018). The Effect of Credit and Liquidity Risk on Bank Profitability and Capital Adequacy Ratio As Mediation Variabels In Indonesia. Russian Journal of Agricultural and Socio-Economic Sciences, 9(September), 165–171.
Badawi, A., Nugroho, L., & Hidayah, N. (2021). Islamic Bank Performance: Does Low-Cost Fund and Labor Cost Affect it ? Business, Economics and Management Research Journal, 4(2), 81–92.
Blakesley, D., Weston, G. ., & Hall, J. . (1991). The Role of Endogenous Auxin in Root Initiation. Plant Growth Regulation, 10(4), 341–353. https://doi.org/10.1007/BF00024593
Cooke, J. E. (1970). The Compromise of 1790. The William and Mary Quarterly, 27(4), 524–545. https://doi.org/10.2307/1919703
Daryanto, W. M., Akbar, F., & Perdana, F. A. (2020). Financial Performance Analysis in The Banking Sector: Before and After Financial Technology Regulation in Indonesia (Case Study of Buku-IV in Indonesia for Period 2013-2019). International Journal of Business, Economics and Law, 21(2), 1–9.
Davis, E. P., Karim, D., & Noel, D. (2022). The Effects of Macroprudential Policy on Banks’ Profitability. International Review of Financial Analysis, 80(June 2020), 101989. https://doi.org/10.1016/j.irfa.2021.101989
Hermanto, & Tjahjadi, E. (2021). Analisis Rasio Profitabilitas, Solvabilitas Terhadap Stockprice Perusahaan Perbankan. Jurnal Ilmiah MEA (Manajemen, Ekonomi, dan Akuntansi), 5(1), 1124–1135.
Irawati, J. (2021). How Big The Role of Credit Risk, Liquidity Risk and Capital Have an Effect On The Profitability of The 10 Largest Bank in Indonesia. International Journal of Science, Technology and Management, 2(1), 179–189. https://doi.org/10.46729/ijstm.v2i1.146
Jose, M. L., Lancaster, C., & Stevens, J. L. (1996). Corporate Returns and Cash Conversion Cycles. Journal of Economics and Finance, 20(1), 33. https://doi.org/10.1007/BF02920497
Jumreornvong, S., Chakreyavanich, C., Treepongkaruna, S., & Jiraporn, P. (2018). Capital Adequacy, Deposit Insurance, and The Effect of Their Interaction on Bank Risk. Journal of Risk and Financial Management, 11(4), 79. https://doi.org/10.3390/jrfm11040079
Klein, P. (1996). Pricing Black-Scholes Options With Correlated Credit risk. Journal of Banking & Finance, 20(7), 1211–1229. https://doi.org/https://doi.org/10.1016/0378-4266(95)00052-6
Myers, S. C., & Majluf, N. S. (1984). Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have. Journal of Financial Economics, 13(2), 187–221. https://doi.org/https://doi.org/10.1016/0304-405X(84)90023-0
Permatasari, I. (2020). Does Corporate Governance Affect Bank Risk Management? Case Study of Indonesian Banks. International Trade, Politics and Development, 4(2), 127–139. https://doi.org/10.1108/itpd-05-2020-0063
Pracoyo, A., & Imani, A. (2018). Analysis of The Effect of Capital, Credit Risk, and Liquidity Risk on Profitability in Banks. Jurnal Ilmu Manajemen & Ekonomika, 10(2), 44. https://doi.org/10.35384/jime.v10i2.80
Pratiwi, E., & Masdupi, E. (2021). Effect of Credit Risk, Market Risk and Liquidity Risk on Return on Assets of Conventional Commercial Banks Registered in The Financial Services Authority During the COVID-19 Pandemic. Financial Management Studies, 4(29), 29–46.
Ramadhanti, C., Marlina, M., & Hidayati, S. (2019). The Effect Capital Adequacy, Liquidity and Credit Risk to Profitability of Commercial Banks. Journal of Economics, Business, and Government Challenges, 2(1), 71–78. https://doi.org/10.33005/ebgc.v2i1.66
Saady, N., Pradiani, T., & Handoko, Y. (2020). The Effect of the Third Party Funds on People’s Business Credit and Micro Business Segment Profitability. Jurnal Pendidikan Bisnis dan Manajemen, 6(1), 42–53. https://doi.org/10.17977/um003v6i12020p042
Saiful, S., & Ayu, D. P. (2019). Risks Management and Bank Performance: the Empirical Evidences From Indonesian Conventional and Islamic Banks. International Journal of Economics and Financial Issues, 9(4), 90–94. https://doi.org/10.32479/ijefi.8078
Saleh, I., & Afifa, M. A. (2020). The Effect of Credit Risk, Liquidity Risk and Bank Capital on Bank Profitability: Evidence From an Emerging Market. Cogent Economics and Finance, 8(1). https://doi.org/10.1080/23322039.2020.1814509
Shair, F., Sun, N., Shaorong, S., Atta, F., & Hussain, M. (2019). Impacts of Risk and Competition on The Profitability of Banks: Empirical Evidence from Pakistan. Journal Plos One, 14(11), 1–27. https://doi.org/10.1371/journal.pone.0224378
Suryaningsih, N. P. R., & Sudirman, I. M. S. N. (2020). The Influence of Credit Risk, Liquidity Risk, and Operational Risk on Profitability in Rural Banks in Bali Province. American Journal of Humanities and Social Sciences Research, 4(3), 258–265.
Syahzuni, B. A., & Florencia, S. (2022). Dampak Pengungkapan Tanggung Jawab Sosial Terhadap Profitabilitas Perusahaan. Jurnal Ilmiah Akuntansi Dan Keuangan. https://doi.org/10.1002/9781119200932.ch9
Wijayanti, R., P, N. M. A., & Harun, C. A. (2018). Effectiveness of Macroprudential Policies and Their Interaction with Monetary Policy in Indonesia. Journal Bank of International, 110, 31–50.
Yustina, W., Suryanto, T., Noviarita, H., & Anggraeni, E. (2021). Analysis of Factors Affecting Liquidity of Islamic Banking Listed on the Indonesia Stock Exchange. Al-Kharaj : Jurnal Ekonomi, Keuangan & Bisnis Syariah, 4(1), 47–61. https://doi.org/10.47467/alkharaj.v4i1.414