• Priyo Rokhadi Widodo
  • Tarsidin Tarsidin


The disintermediation of Indonesian banking is probably due to the high level of the real sector risk. This paper analyzes the profile and the dynamics of this sectoral risk established from the median of individual firm's default risks. We measure the firm's default risk with the KMV’s Expected Default Frequency (EDF). The data shows a high correlation coefficient among the sectoral risk, and through the generalized impulse response, the interrelation of the sectoral risk is revealed.

The macroeconomic variables also affect the sectoral risk. The positive shock of the BI rate, the nominal exchange rate or the inflation, causes an increase of the sectoral risk. On the other hand, a positive shock of the economic growth causes a decrease on the sectoral risk.

Keywords: Sectoral risk, default risk, probability to default

JEL Classification: G30, G33



Download data is not yet available.


Ali, Masyhud. Asset Liability Management: Menyiasati Risiko Pasar dan Risiko Operasional dalam Perbankan. Jakarta: Gramedia, 2004.

Alves, Ivan. “Sectoral Fragility: Factors and Dynamics.” BIS Papers, No. 22, 2005.

Cipollini, Andrea dan Missaglia, Giuseppe. Dynamic Factor Analysis of Industry Sector Default Rates and Implication for Portfolio Credit Risk Modelling. November 2006.

Crosbie, Peter dan Bohn, Jeff. Modeling Default Risk: Modeling Methodology. Moody’s KMV, 2003.

Harris, Richard. Using Cointegration Analysis in Econometric Modelling. London: Prentice HallHarvester Wheatsheaf, 1995.

Kurbat, Matthew dan Korablev, Irina. Methodology for Testing the Level of the EDF Credit Measure. Moody’s KMV, Agustus 2002.

Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob; dan Weiner, Scott M. Macroeconomic Dynamics and Credit Risk: A Global Perspective. Federal Reserve Bank of New York, April 2005.

Sorge, Marco dan Virolainen, Kimmo. "A Comparative Analysis of Macro Stress-Testing Methodologies with Application to Finland." Journal of Financial Stability, 2006, 2(2006), 113-151
How to Cite
Widodo, P. R., & Tarsidin, T. (2007). PENGARUH EKONOMI MAKRO TERHADAP RISIKO SEKTORAL DI INDONESIA. Buletin Ekonomi Moneter Dan Perbankan, 10(2), 91-122.