印尼二元金融体系下银行危机预警:马尔可夫转换方法

Q3 Economics, Econometrics and Finance

Journal of King Abdulaziz University, Islamic Economics Pub Date : 2018-07-10 DOI:10.4197/islec.31-2.10

Irfan Nurfalah Irfan Nurfalah

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引用次数: 5

摘要

本研究旨在发现导致传统银行和伊斯兰银行危机的早期指标，确定两类银行的最长危机期，并比较两类银行之间的稳定性。所采用的方法是马尔可夫切换向量自回归(MS-VAR)方法。本研究使用2004年1月至2017年3月期间从官方来源获得的月度二手数据。结果表明，与传统银行业相比，伊斯兰银行业在应对内部和外部冲击方面更加稳定。伊斯兰银行的Z-score(11,933)高于传统银行的Z-score(11,679)。传统银行业最长的危机期大约是2013年4月至2017年3月，而伊斯兰银行业的危机期大约是2008年1月至2008年10月。

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Early Warning to Banking Crises in the Dual Financial System in Indonesia: The Markov Switching Approach

This research aims at detecting early indicators that cause conventional banking and Islamic banking crises, identifying the longest crisis period for both types of banks, and comparing the stability between the two kinds of banks. The method used is the Markov Switching Vector Autoregressive (MS-VAR) approach. This study uses secondary data obtained from official sources and in monthly form from January 2004 to March 2017. The results show that Islamic banking is more stable against internal and external shocks than conventional banking. Z-score for Islamic banking is higher (11,933) than the Z-score for conventional banking (11,679). The longest crisis period for conventional banking was around April 2013 – March 2017 while for Islamic banking was around January 2008 – October 2008.

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来源期刊

Journal of King Abdulaziz University, Islamic Economics Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

0.60

自引率

0.00%

发文量

期刊介绍： The aims and scope of the journal include: -To develop the emerging paradigm of Islamic economics on scientific lines through publishing original works in this field that pass its peer review process. -To promote dialogue and discussion on current issues in the fields of Islamic economics and finance among the international community of scholars. -To encourage empirical research on Islamic finance, takaful, zakah, awqaf and other Islamic institutions including case studies from Muslim economies. -Contemporary global economic issues viewed from an Islamic perspective. To publish book reviews of important works published in the field, including books in conventional economics, business and finance having some connection with Islamic economics and/or finance.