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Early Warning to Banking Crises in the Dual Financial System in Indonesia: The Markov Switching Approach التحذير المبكر من الأزمات المصرفية في النظام المالي المزدوج في إندونيسيا: مقاربة ماركوف للتحويل

Author

Listed:
  • Irfan Nurfalah

    (Bank Negara Indonesia Syariah)

  • Aam Slamet Rusydiana

    (SMART Consulting Indonesia)

  • Nisful Laila

    (Faculty Economics and Business, Airlangga University, Indonesia)

  • Eko Fajar Cahyono

    (Faculty Economics and Business, Airlangga University, Indonesia)

Abstract

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. تهدف هذه الدراسة إلى الكشف عن المؤشرات المبكرة التي تسبب الأزمات المصرفية في المصارف التقليدية والإسلامية. وقد قامت الدراسة بتحديد أطول فترة أزمة لكلا النوعين من المصارف، ومقارنة الاستقرار بينهما. الطريقة المستخدمة هي نهج الانحدار الذاتي لمحرك ماركوف (MS-VAR). اعتمدت الدراسة على بيانات ثانوية تم الحصول عليها من مصادر رسمية وبشكل شهري من يناير 2004م إلى مارس 2017م. تظهر النتائج أن المصارف الإسلامية أكثر استقرارًا ضد الصدمات الداخلية والخارجية مقارنة بالمصارف التقليدية، لأنها حققت معدلاً أعلى لمؤشر (Z-score) للاستقرار المالي (11,933) من نظيرتها التقليدية (11,679). أما أطول فترة أزمة للمصارف التقليدية فكانت في الفترة من أبريل 2013م إلى مارس 2017م بينما كان أطول فترة أزمة للمصارف الإسلامية في الفترة ما بين يناير 2008م وأكتوبر 2008م.

Suggested Citation

  • Irfan Nurfalah & Aam Slamet Rusydiana & Nisful Laila & Eko Fajar Cahyono, 2018. "Early Warning to Banking Crises in the Dual Financial System in Indonesia: The Markov Switching Approach التحذير المبكر من الأزمات المصرفية في النظام المالي المزدوج في إندونيسيا: مقاربة ماركوف للتحويل," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 31(2), pages 133-156, July.
    • Handle: RePEc:abd:kauiea:v:31:y:2018:i:2:no:10:p:133-156
    DOI: 10.4197/Islec.31-2.10
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