系统性风险的决定因素:来自印尼商业银行的证据

Q2 Economics, Econometrics and Finance

Buletin Ekonomi Moneter dan Perbankan Pub Date : 2020-02-29 DOI:10.21098/bemp.v23i1.1084

Mutiara Aini, Deddy P. Koesrindartoto

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引用次数: 2

摘要

本文使用2001Q4至2017Q4的季度数据研究了印度尼西亚商业银行系统性风险的决定因素。采用风险价值(VaR)、历史边际预期缺口(MESH)、GARCH-DCC边际预期缺口(MESdcc)和长期边际预期缺口(LRMES)四种系统风险指标，我们发现银行规模与系统风险呈正相关，而银行和经济贷款活动与系统风险呈负相关。这些发现表明，政府需要规范贷款活动，并对大型银行进行监控，因为它们对银行系统风险有重大影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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THE DETERMINANTS OF SYSTEMIC RISK: EVIDENCE FROM INDONESIAN COMMERCIAL BANKS

This paper examines the determinants of systemic risk across Indonesian commercialbanks using quarterly data from 2001Q4 to 2017Q4. Employing four measures ofsystemic risk, namely value-at-risk (VaR), historical marginal expected shortfall(MESH), marginal expected shortfall from GARCH-DCC (MESdcc), and long-runmarginal expected shortfall (LRMES), we find that bank size is positively related tosystemic risk, whereas banks and economic loan activity are negatively related tosystemic risk. These findings suggest that the government needs to regulate loanactivities and to monitor big banks as they have significant impacts on bank systemicrisk.

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来源期刊

Buletin Ekonomi Moneter dan Perbankan Economics, Econometrics and Finance-Finance

CiteScore

2.20

自引率

0.00%

发文量

审稿时长

5 weeks