THE DETERMINANTS OF SYSTEMIC RISK: EVIDENCE FROM INDONESIAN COMMERCIAL BANKS

Authors

Mutiara Aini, Institut Teknologi Bandung, IndonesiaFollow
Deddy Priatmodjo Koesrindartoto, Institut Teknologi Bandung, IndonesiaFollow

Document Type

Article

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.

Recommended Citation

Aini, Mutiara and Koesrindartoto, Deddy Priatmodjo (2020) "THE DETERMINANTS OF SYSTEMIC RISK: EVIDENCE FROM INDONESIAN COMMERCIAL BANKS," Bulletin of Monetary Economics and Banking: Vol. 23: No. 1, Article 7.
DOI: https://doi.org/10.21098/bemp.v23i1.1084
Available at: https://bulletin.bmeb-bi.org/bmeb/vol23/iss1/7

First Page

101

Last Page

120

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

Indonesia

Affiliation

Institut Teknologi Bandung