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This paper examines the determinants of systemic risk across Indonesian commercial banks using quarterly data from 2001Q4 to 2017Q4. Employing four measures of systemic risk, namely value-at-risk (VaR), historical marginal expected shortfall (MESH), marginal expected shortfall from GARCH-DCC (MESdcc), and long-run marginal expected shortfall (LRMES), we find that bank size is positively related to systemic risk, whereas banks and economic loan activity are negatively related to systemic risk. These findings suggest that the government needs to regulate loan activities and to monitor big banks as they have significant impacts on bank systemic risk.
Call Number | Location | Available |
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PSB lt.2 - Karya Akhir (Majalah) | 1 |
Penerbit | Jakarta: Bank Indonesia 2020 |
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Edisi | Volume 23, Number 1, 2020 |
Subjek | Commercial banks Indonesian Systemic risk |
ISBN/ISSN | 2460-9196 |
Klasifikasi | NONE |
Deskripsi Fisik | 160 p. |
Info Detail Spesifik | Bulletin of Monetary Economics and Banking |
Other Version/Related | Tidak tersedia versi lain |
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