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The Determinants Of Systemic Risk: Evidence From Indonesian Commercial Banks

Author

Listed:
  • Mutiara Aini

    (Institut Teknologi Bandung)

  • Deddy Priatmodjo Koesrindartoto

    (Institut Teknologi Bandung)

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.

Suggested Citation

  • Mutiara Aini & Deddy Priatmodjo Koesrindartoto, 2020. "The Determinants Of Systemic Risk: Evidence From Indonesian Commercial Banks," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 23(1), pages 101-120, April.
    • Handle: RePEc:idn:journl:v:23:y:2020:i:1e:p:101-120
    DOI: https://doi.org/10.21098/bemp.v23i1.1084
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    References listed on IDEAS

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    More about this item

    Keywords

    Bank Fragility; Bank Performance; Financial Regulation; Systemic Risk;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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