THE DETERMINANTS OF SYSTEMIC RISK: EVIDENCE FROM INDONESIAN COMMERCIAL BANKS

Mutiara Aini () and Deddy Priatmodjo Koesrindartoto ()
Additional contact information
Mutiara Aini: Institut Teknologi Bandung
Deddy Priatmodjo Koesrindartoto: Institut Teknologi Bandung

Bulletin of Monetary Economics and Banking, 2020, vol. 23, issue 1, 101-120

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.

Keywords: Bank Fragility; Bank Performance; Financial Regulation; Systemic Risk (search for similar items in EconPapers)
JEL-codes: G01 G21 G28 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://bulletin.bmeb-bi.org/cgi/viewcontent.cgi?article=1064&context=bmeb (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:23:y:2020:i:1e:p:101-120

DOI: 10.21098/bemp.v23i1.1084

Access Statistics for this article

Bulletin of Monetary Economics and Banking is currently edited by Paresh Narayan

More articles in Bulletin of Monetary Economics and Banking from Bank Indonesia Contact information at EDIRC.
Bibliographic data for series maintained by Lutzardo Tobing ( this e-mail address is bad, please contact ) and Jimmy Kathon ().