Buletin Ekonomi Moneter dan Perbankan
Vol 23 No 1 (2020)

THE DETERMINANTS OF SYSTEMIC RISK: EVIDENCE FROM INDONESIAN COMMERCIAL BANKS

Mutiara Aini (Institut Teknologi Bandung)
Deddy Priatmodjo Koesrindartoto (Institut Teknologi Bandung)

Article Info

Publish Date
29 Feb 2020

Abstract

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.

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Journal Info
Buletin Ekonomi Moneter dan Perbankan
Website

Abbrev

BEMP

Publisher

Bank Indonesia

Subject

Description

The Buletin Ekonomi Moneter dan Perbankan/Bulletin of Monetary Economics and Banking (BMEB) is an international peer-reviewed journal. This is a quarterly journal, published in January, April, July and August. The BMEB focuses on a broad range of topics covering monetary economics, banking, ...