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Macroprudential Liquidity Stress Test: An Application to Indonesian Banks

Author

Listed:
  • Aditya Anta Taruna

    (Macroprudential Policy Department, Bank Indonesia, Indonesia)

  • Cicilia Anggadewi Harun

    (Macroprudential Policy Department, Bank Indonesia, Indonesia)

  • Raquela Renanda Nattan

    (Macroprudential Policy Department, Bank Indonesia, Indonesia)

Abstract

This paper develops a macroprudential liquidity stress test model for Indonesian banks. Our model incorporates two factors driving liquidity runs: (i) idiosyncratic factors; and (ii) macroeconomic factors. We estimate this model using a sample of 113 banks over the period of January 2011 to June 2018, and dynamic panel data estimators. We establish significant transmission channels from macroeconomic and idiosyncratic (bank idiosyncratic risks) factors to liquidity runs. By using the macroeconomic scenario transmission, we find the liquidity stress test to be more consistent with the solvency stress test.

Suggested Citation

  • Aditya Anta Taruna & Cicilia Anggadewi Harun & Raquela Renanda Nattan, 2020. "Macroprudential Liquidity Stress Test: An Application to Indonesian Banks," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(special i), pages 165-187.
    • Handle: RePEc:cbk:journl:v:9:y:2020:i:si:p:165-187
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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