MACROPRUDENTIAL LIQUIDITY STRESS TEST: APPLICATION FOR INDONESIAN BANKING

Aditya Anta Taruna, Cicilia A. Harun and R. Renanda Nattan

No WP/29/2018, Working Papers from Bank Indonesia

Abstract: This paper closes the gap of the need to have a macroprudential liquidity stress test model with consistent macroeconomic scenario and implementation of the propagation and amplification mechanism for Indonesian banking. The model breaks down idiosyncratic, macroeconomic and unknown impact to the liquidity portfolio of banks taking into account the solvency condition. The liquidity stress test should be implemented as a part of the overall macroprudential stress test that measure the systemic risk.

Pages: 26 pages
Date: 2018
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http://publication-bi.org/repec/idn/wpaper/WP292018.pdf First version, 2018 (application/pdf)

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