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The Persistency and The Sustainability of The Indonesia's Current Account Deficit

Author

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  • Tuti Eka Asmarani

    (University of Gunadarma)

  • Telisa Aulia Falianty

    (Universitas Indonesia)

Abstract

Asian and European crises were witnesses of banks’ vulnerable due to market risks. The Basel Committee requires an internal risk assessment applying Value at Risk (VaR). However, a replacement of VaR with Expected Shortfall (ES) has been suggested recently due to an excessive losses produced by banks which are beyond VaR estimations. This paper studied the risk of Indonesian banks applying a historical expected shortfall. We used JIBOR (overnight) from 2009 – 2012 as a proxy of market risk. The assessment of a historical expected shortfall of the net position of 27 banks accounts for October 2012 showed that state owned banks placed among the five highest value of each component (net position) in the balance sheet, namely placement to Bank Indonesia, interbank placement, spot and derivatives claims, securities, and loans. It means that the state owned banks had the highest risk and were the most aggressive among Indonesian banks. It might be due to carrying some of the government’s program, such as small enterprise loans.

Suggested Citation

  • Tuti Eka Asmarani & Telisa Aulia Falianty, 2015. "The Persistency and The Sustainability of The Indonesia's Current Account Deficit," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 17(3), pages 1-24, January.
  • Handle: RePEc:idn:journl:v:17:y:2015:i:3:p:1-24
    DOI: https://doi.org/10.21098/bemp.v17i3.35
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    Cited by:

    1. Özcan Karahan, 2020. "Sustainability of Current Account Deficit in Turkey," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 13(2), pages 62-69, September.

    More about this item

    Keywords

    Current account deficit; random walk; intertemporal budget constraint; unit root; ARDL;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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