The Effects of Macroeconomics on Probability of Default for the Micro Business Segment

摘要

This research explains the influences of macroeconomics on the Probability of Default (PD) for the micro business segment in Indonesia. The model used to measure credit risk indicators is based on Days Past Due (DPD) and collectability to calculate the PD in accordance with the company's internal historical data. Then, multiple linear regression was performed to find out whether changes in macroeconomic variables consisting of Gross Domestic Product (GDP), inflation, the IDR exchange rate against the USD, and unemployment rate can affect the PD for the micro business segment in Indonesia. In the light of the results of statistical tests, it was found that macroeconomic changes, especially macroeconomic variables, such as inflation and the IDR exchange rate against the USD, have significant effects on the PD for the micro business segment for each loan bucket. The results of this research are expected to provide an overview of Indonesian banks in expanding loans, especially for the micro business segment, and be of use as a reference in developing credit risk measurement policies in order to improve the principle of prudence.