Risk Based bank rating and financial performance of Indonesian commercial banks with GCG as intervening variable

Figures & data

Figure 1. GCG Development of commercial banks for the period 2014–2019.

Source: Processed data, 2014–2019 GCG Report

Table 1. Financial Ratios of commercial banks 2014–2019

Years	NPL	LDR	OER	NIM	CAR	ROA
2014	2.04	89.42	79.49	4.23	19.57	2.85
2015	2.39	92.11	81.49	5.39	21.39	2.32
2016	2.93	90.5	82.25	5.47	22.71	2.17
2017	2.93	88.35	79.22	5.19	23.01	2.42
2018	2.33	94.78	77.86	5.14	22.97	2.55
2019	2.5	94.43	79.39	4.91	23.4	2.47

Source: Processed, Indonesian Banking Statistics and LHBU

Table 2. Composite rating of bank health using the RBBR Method

Weight %	Information
86–100	Strongly Healthy
71–85	Healthy
61–70	Fairly Healthy
41–60	Unhealthy
< 40	Strongly Unhealthy

Source: Bank Indonesia Circular No 13/24/DPNP/2011

Figure 2. Research framework.

Table 3. Research sample

ARTHA GRAHA	MANDIRI	PERMATA	HSBC	SUMSELBABEL
BCA	MAYAPADA	SINARMAS	ICBC	PAPUA
BNI	MAYBANK	WOORI	KEB HANA	RIAU
BRI	MEGA	UOB	BJB	BALI
BTN	MNC	MAYORA	BTPN	CAPITAL INDO
BUKOPIN	CIMB NIAGA	DBS	ANZ	SUMUT
BUMI ARTHA	OCBC NISP	BANK DKI	COMMONWEALTH	SUMBAR
DANAMON	PANIN	QNB	JATIM	VICTORIA
JTRUST

Table 4. Outer model, composite reliability and average variance extracted (AVE)

	Outer Loading	Average Variance Extracted (AVE)	Composite Reliability	Cronbach’s Alpha	Verification
OER2014	0.897	0.712	0.936	0.917	Valid and Reliable
OER2015	0.884
OER2016	0.789
OER2017	0.699
OER2018	0.950
OER2019	0.818
CAR2014	0.626	0.655	0.918	0.895	Valid and Reliable
CAR2015	0.804
CAR2016	0.792
CAR2017	0.900
CAR2018	0.882
CAR2019	0.823
GCG2014	0.771	0.638	0.913	0.886	Valid and Reliable
GCG2015	0.768
GCG2016	0.874
GCG2017	0.790
GCG2018	0.833
GCG2019	0.748
LDR2014	0.853	0.724	0.940	0.938	Valid and Reliable
LDR2015	0.775
LDR2016	0.789
LDR2017	0.862
LDR2018	0.909
LDR2019	0.909
NIM2014	0.954	0.920	0.986	0.983	Valid and Reliable
NIM2015	0.974
NIM2016	0.970
NIM2017	0.965
NIM2018	0.968
NIM2019	0.924
ROA2014	0.917	0.726	0.940	0.923	Valid and Reliable
ROA2015	0.871
ROA2016	0.834
ROA2017	0.711
ROA2018	0.934
ROA2019	0.825
NPL2019	0.730	0.600	0.900	0.868	Valid and Reliable
NPL2014	0.738
NPL2016	0.776
NPL2015	0.782
NPL2017	0.790
NPL2018	0.827

Table 5. Cross-Loading and R-square

Variable	NPL	LDR	OER	NIM	CAR	GCG	ROA
NPL (X1)	1.000	−0.21	0.495	−0.226	−0.265	0.382	−0.515
LDR (X2)	−0.21	1.000	−0.175	−0.005	0.088	−0.078	0.171
OER (X3)	0.495	−0.175	1.000	−0.443	−0.309	0.437	−0.95
NIM (X4)	−0.226	−0.005	−0.443	1.000	0.281	−0.06	0.555
CAR (X5)	−0.265	−0.088	−0.309	0.281	1.000	−0.135	0.344
GCG (Y1)	0.382	−0.078	0.037	−0.06	−0.135	1.000	−0.459
ROA (Y2)	−0.515	0.171	−0.95	0.555	0.344	−0.459	1.000
R^2	-	-	-	-	-	0.452	0.932

Table 6. Path coefficients

Hypotheses	Expected Sign	Original Sample (O)	Sample Mean (M)	Standard Deviation (STDEV)	T Statistics (O/ STDEV)	p-values
NPL → ROA	-	−0.035	−0.035	0.023	1.561	0.119
LDR → ROA	+	0.015	0.014	0.024	0.612	0.541
OER → ROA	-	−0.811	−0811	0.038	21.371	0.000
NIM → ROA	+	0.177	0.179	0.030	5.945	0.000
CAR → ROA	+	0.023	0.021	0.032	0.714	0.475
NPL → GCG	-	−0.229	−0.224	0.069	3.300	0.001
LDR → GCG	+	0.042	0.045	0.051	0.837	0.403
OER → GCG	-	−0.407	−0.411	0.069	5.920	0.000
NIM → GCG	+	0.173	0.174	0.068	2.528	0.011
CAR → GCG	+	0.001	0.004	0.063	0.012	0.990
GCG → ROA	+	0.076	0.075	0.022	3.399	0.001

Table 7. Statistical results of indirect effect

	Original Sample (O)	Sample Mean (M)	Standard Deviation (STDEV)	T Statistics	p-values	Result
Indirect effects:
NPL → GCG → ROA	−0.017	−0.017	0.008	2.174	0.030	Accepted
LDR → GCG → ROA	−0.003	−0.003	0.004	0.805	0.421	Rejected
OER → GCG → ROA	−0.031	−0.031	0.010	2.979	0.003	Accepted
NIM → GCG → ROA	0.013	−0.013	0.006	2.067	0.039	Accepted
CAR → GCG → ROA	0.000	0.000	0.005	0.012	0.991	Rejected
Total Effects:
NPL -> ROA	−0.035	−0.035	0.023	1.561	0.119	Rejected
LDR -> ROA	0.015	0.014	0.024	0.612	0.541	Rejected
OER -> ROA	−0.811	−0811	0.038	21.371	0.000	Accepted
NIM -> ROA	0.177	0.179	0.030	5.945	0.000	Accepted
CAR -> ROA	0.023	0.021	0.032	0.714	0.475	Rejected
NPL -> GCG	−0.229	−0.224	0.069	3.300	0.001	Accepted
LDR -> GCG	0.042	0.045	0.051	0.837	0.403	Rejected
OER -> GCG	−0.407	−0.411	0.069	5.920	0.000	Accepted
NIM -> GCG	0.173	0.174	0.068	2.528	0.011	Accepted
CAR -> GCG	0.001	0.004	0.063	0.012	0.990	Rejected
GCG -> ROA	0.076	0.075	0.022	3.399	0.001	Accepted

Source: Processed data, SmartPLS 2020

Table 8. VAF results of mediating effect

	Indirect Influence	Total Effect	VAF	Result
NPL → GCG → ROA	−0.017	−0.053	0.321 (32.1%)	Partial effect
LDR → GCG → ROA	−0.003	0.011	−0.272 (−27.2%)	No effect
OER → GCG → ROA	−0.031	−0.842	0.037 (3.7%)	No effect
NIM → GCG → ROA	0.013	0.164	0.079 (7.9%)	No effect
CAR → GCG → ROA	0.000	0.023	0.001 (0.1%)	No effect

Source: Processed data, SmartPLS 2020

Table 9. Effect size (f ²)

	GCG	ROA
NPL	0.051	0.013
LDR	0.002	0.003
OER	0.138	5.240
NIM	0.031	0.342
CAR	0.000	0.007
GCG	-	0.064

Source: Processed data, SmartPLS 2020