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"Penelitian ini mengetahui ada tidaknya pengaruh shock terhadap fluktuasi faktor-faktor GDP, inflasi, SBI dan Kurs terhadap USD terhadap NPF dan FDR. Pada saat krisis maupun pasca krisis ekonomi. Untuk tujuan tersebut maka dilakukan pengujian menggunakan Vector Autoregressive (VAR) dengan menggunakan data bulanan dan kwartalan dari Januari 1997 hingga Juli 2008 yang diambil dari laporan keuangan BMI dan BI.Hasil pengujian menunjukkan bahwa dari masing-masing penelitian terlihat bahwa secara umum variabel NPF dan FDR merespon setiap shock yang ditimbulkan oleh masing-masing variabel ekonomi makro. Dengan demikian bahwa dari hasil penelitian tidak ada variabel ekonomi makro yang dominan terhadap NPF dan FDR.

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This research was done to see, whether several factors such as GDP, inflation, SBI and currency had their influence on USD, NPF and FDR during and after the economic crisis. To find out whether there are any correlations or not, this research used Vector Autoregressive (VAR) method, by using monthly and quarterly data from January 1997 to July 2008. Which taken from BMI and BI financial reports.The test results showed that in general, macro economic variable had no influence toward NPF and FDR, both during and after the economic crisis. Even though from the test results, there is a GDP variable which had positive correlation both during and after the economic crisis. However, it has no significant impact on NPF and FDR. Perhaps there is another variable which become internal strength from BMI in completing its finance."

"Risk premium merupakan kompensasi yang dapat diukur dengan selisih antara aset berisiko dan tingkat bunga, dimana secara umum seorang investor akan memperhatikan kompensasi positif bila berinvestasi pada aset berisiko terutama saham. Sedangkan volatility merupakan total risiko yang terdiri dari risiko sistematis dan risiko non sistematis yang dapat diukur dengan standard deviation. Kedua variabel tersebut merupakan fokus utama bagi pengambil keputusan dalam investasi di pasar modal.Penelitian ini membahas hubungan antara risk premium dan volatility indeks pasar (IHSG) serta 10 saham industri berkapitalisasi terbesar menurut data statistik BEJ bulan Desember 2004 antara periode Januari 1997 sampai dengan Desember 2004. Berdasarkan pengujian unit root didapatkan kedua variabel risk premium dan volatility dari IHSG dan 10 saham industri stasioner pads pada tingkat level kecuali variabel volatility saham HM. Sampoema (HMSP) dan saham Bumi Resources (BUMI) stasioner pada tingkat first different. Dan berdasarkan pengujian panjang lag didapatkan seluruh model jatuh pads lag 1 kecuali model saham Astra International (ASH) jatuh pada lag 2.Dengan menggunakan metode vector autoregressive (VAR) didapatkan adanya direction Granger causality pads parameter kg-volatility-in-mean untuk saham Indosat (ISAT) dan parameter lag-mean-in-volatility untuk IHSG, saham Telekomunikasi (TLKM), saham HM. Sampoema (HMSP), saham Bumi Resources (BUM), dan saham Indocement (INTP). Disamping itu juga terdapat hubungan contemporaneous secara signifikan berkorelasi positif pada saham Indosat (ISAT) dan saham International Nickel (INCO).Dengan impulse response function dan variance decomposition didapatkan untuk saham Astra International (ASH) terdapat kemungkinan bahwa dinamika pergerakan volatility pada periode mendatang akan dipengaruhi oleh besarnya premi risiko dan pergerakan volatility secara berimbang. Sedangkan untuk IHSG dan saham industri lainnya yang tercakup dalam penelitian ini didapatkan bahwa dinamika besamya premi risiko dan pergerakan volatility akan lebih banyak dipengaruhi oleh dinamika dari variabel itu sendiri.

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Risk premium is a compensation represented by a difference between risky asset and interest rate, where an investor requires positive compensation for holding a risky asset especially stocks. On the other hand, volatility is actually a total risk which consists of systematic and non systematic risks measured as standard deviation. Both variables mentioned above are the main focus for decision maker to invest in capital market.

This paper studies the relationship between risk premium and volatility of market index (IHSG) and 10 industrial companies having the largest market capitalization as per December 2004 statistics of the Jakarta Stock Exchange. The statistics for the said month describes the period from January 1997 to December 2004. Pursuant to testing the unit root, empirical evidence show that variables of risk premium and volatility of the IHSG and 10 industrial stock are stationary at level, except volatility variable in HM Sampoema stock (HMSP) and Bumi Resource stock (BUMI) are stationary at first difference. With regards to examination of lag length test, empirical evidence show that the whole models are having one lag length, except Astra International stock (ASH) that has two lag length.

Applying the vector autoregressive (VAR), the result shows the existence of direction Granger causality at parameter of lag-volatility-in-mean for Indosat stock (ISAT) and parameter of lag-mean-in-volatility for market index, Telekomunikasi stock (TLKM), HM. Sampoema stock (HMSP), Bumi Resource stock (BUMI), and Indocement stock (INTP). In a ddition, there is a contemporaneous relationship by significantly have positive correlated at Indosat stock (ISAT) and International Nickel stock (INCO).

With impulse response function and variance decomposition, the result empirically show the probability that ASII future dynamics volatility will be influenced proportionately by the magnitude of risk premium and movement of volatility. While IHSG and other industrial stocks discussed in this research are influenced by the dynamic movements of their respective risk premium and volatility."