Macroprudential Liquidity Stress Test: An Application to Indonesian Banks

Aditya Anta Taruna (), Cicilia Harun and Raquela Renanda Nattan ()
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Aditya Anta Taruna: Macroprudential Policy Department, Bank Indonesia, Indonesia
Raquela Renanda Nattan: Macroprudential Policy Department, Bank Indonesia, Indonesia

Journal of Central Banking Theory and Practice, 2020, vol. 9, issue special issue, 165-187

Abstract: This paper develops a macroprudential liquidity stress test model for Indonesian banks. Our model incorporates two factors driving liquidity runs: (i) idiosyncratic factors; and (ii) macroeconomic factors. We estimate this model using a sample of 113 banks over the period of January 2011 to June 2018, and dynamic panel data estimators. We establish significant transmission channels from macroeconomic and idiosyncratic (bank idiosyncratic risks) factors to liquidity runs. By using the macroeconomic scenario transmission, we find the liquidity stress test to be more consistent with the solvency stress test.

Keywords: Liquidity stress test; Stress test; Financial stability; Banking (search for similar items in EconPapers)
JEL-codes: G21 G33 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:cbk:journl:v:9:y:2020:i:si:p:165-187

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