Persistensi dan Sustainabilitas Neraca Transaksi Berjalan Indonesia

Tuti Eka Asmarani () and Telisa Aulia Falianty
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Tuti Eka Asmarani: University of Gunadarma
Telisa Aulia Falianty: Universitas Indonesia

Bulletin of Monetary Economics and Banking, 2015, vol. 17, issue 3, 315-338

Abstract: Asian and European crises were witnesses of banks’ vulnerable due to market risks. The Basel Committee requires an internal risk assessment applying Value at Risk (VaR). However, a replacement of VaR with Expected Shortfall (ES) has been suggested recently due to an excessive losses produced by banks which are beyond VaR estimations. This paper studied the risk of Indonesian banks applying a historical expected shortfall. We used JIBOR (overnight) from 2009 – 2012 as a proxy of market risk. The assessment of a historical expected shortfall of the net position of 27 banks accounts for October 2012 showed that state owned banks placed among the five highest value of each component (net position) in the balance sheet, namely placement to Bank Indonesia, interbank placement, spot and derivatives claims, securities, and loans. It means that the state owned banks had the highest risk and were the most aggressive among Indonesian banks. It might be due to carrying some of the government’s program, such as small enterprise loans.

Keywords: Current account deficit; random walk; intertemporal budget constraint; unit root; ARDL (search for similar items in EconPapers)
JEL-codes: C22 F32 F41 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:17:y:2015:i:3e:p:315-338

DOI: 10.21098/bemp.v17i3.2

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