Credit Spread Risk in the Banking Book and Treasury Stability: Evidence from Indonesian Banks
DOI:
https://doi.org/10.23917/reaksi.v11i2.17166Keywords:
CSRBB, Treasury Stability, Fixed Effect Model, Audit, Banking SectorAbstract
This study examines the effect of Credit Spread Risk in the Banking Book (CSRBB) on treasury stability and investigates the moderating role of audit within the Indonesian banking sector. Using panel data from major banks over the period 2021–2025, this research applies pooled ordinary least squares (OLS), fixed effect, and moderated regression analysis to provide comprehensive empirical evidence. The results show that CSRBB has a negative and statistically significant effect on treasury stability in the pooled OLS model, indicating that higher credit spread risk reduces the stability of banking treasury performance. However, this effect becomes insignificant when bank specific heterogeneity is controlled using the fixed effect model, suggesting that the impact of CSRBB is largely driven by cross sectional differences across banks rather than within bank variations over time. Furthermore, the findings reveal that bank specific characteristics play a dominant role in explaining treasury stability, with certain banks demonstrating significantly higher performance than others. The moderated regression analysis indicates that audit does not significantly moderate the relationship between CSRBB and treasury stability, implying that governance mechanisms, as proxied by audit, are not sufficiently effective in influencing risk performance dynamics. Overall, this study highlights the importance of internal bank characteristics and risk management practices in determining treasury stability, while the role of CSRBB and audit appears to be conditional and context dependent. The findings provide important implications for banking institutions and regulators in enhancing risk management frameworks and governance effectiveness.
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