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All Journal Jurnal Ekonomi & Studi Pembangunan IMAGE
Wulandari, Yulita
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Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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MEASURING CONTAGION RISK ON BANKING SYSTEM IN THE DIGITAL ERA Musdholifah, Musdholifah; Hartono, Ulil; Wulandari, Yulita
Jurnal Ekonomi & Studi Pembangunan Vol 20, No 2: October 2019
Publisher : Universitas Muhammadiyah Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.18196/jesp.20.2.5025

Abstract

As an essential institution to the practice of national payment flow, banks always confront with various risk exposures inherent in them. An interbank interactions through interbank money market might yield higher systemic risks that can lead to a default. This study aims at determining the contagion effects towards Indonesian banks. This study used 18 bank samples who provided annual reports from 2007 to 2016. The measurement of the systemic risks was performed by using financial contagion risk index and was tested using Vector Autoregression method. Results show that there was a one-way causality pattern between banks as the research samples, covering BCA with Bank Mayapada, Bank Maybank, Bank Mega, and Bank Resona Perdania and also Bank CIMB Niaga with BCA, BRI, BNI, BTN, Commonwealth Bank, J-Trust Bank, Bank KEB Hana, Bank Mega, and Bank Permata. Meanwhile, two-way causality occurs between Bank BCA and Bank Mandiri and vice versa. In addition, the impact of the risk pressure of a bank is not always positive, however, it is also negative in some cases, which means that the bank can take advantage of the shocked conditions experienced by other banks
KRISIS PERBANKAN: DETERMINAN DAN PENGEMBANGAN MODEL PREDIKSI KRISIS PERBANKAN DI ASEAN Wulandari, Yulita; Musdholifah, Musdholifah; Hartono, Ulil
IMAGE : Jurnal Riset Manajemen Vol 10, No 2 (2021): IMAGE : Jurnal Riset Manajemen, November 2021
Publisher : Universitas Pendidikan Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.17509/image.v10i2.34237

Abstract

Penelitian ini bertujuan untuk mengidentifikasi pengukuran krisis perbankan, faktor-faktor yang diduga mempengaruhi kondisi krisis perbankan, serta deteksi dini krisis perbankan di Asia Tenggara. Penelitian ini menggunakan empat negara sebagai sampel penelitian serta menguji faktor-faktor internal dan eksternal perbankan yang diduga mempengaruhi kemungkinan terjadinya krisis perbankan. Krisis perbankan diukur dengan Crisis and Default Index Modified dengan periode penelitian selama 2008-2019. Hasil penelitian menunjukkan bahwa faktor internal yang mempengaruhi krisis perbankan adalah pendapatan, sementara faktor eksternal perbankan yang mempengaruhi krisis perbankan adalah pertumbuhan ekonomi dan suku bunga. Pengembangan model prediksi krisis dengan metode sinyal belum dapat digunakan sebagai sistem peringatan dini pada perbankan di Asean karena daya prediksi yang lemah
Co-Authors Musdholifah Musdholifah Ulil Hartono