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Penggunaan Indeks Stabilitas Sistem Keuangan (ISSK) Dalam Pelaksanaan Surveilans Makroprudensial

Author

Listed:
  • Iman Gunadi

    (Bank Indonesia)

  • Aditya Anta Taruna

    (Bank Indonesia)

  • Cicilia A. Harun

    (Bank Indonesia)

Abstract

Indeks stabilitas sistem keuangan merujuk pada pengembangan indikator sistem keuangan di beberapa negara dengan cakupan yang lebih luas. Indeks yang diberi nama Indeks Stabilitas Keuangan (ISSK) merupakan suatu indeks yang mencerminkan kondisi kestabilan sistem keuangan yang lebih baik dan dapat melihat sumber-sumber instabilitas. Indeks dibangun dengan melihat sistem keuangan yang terdiri atas institusi keuangan dan pasar. Metode normalisasi yang telah dikembangkan Bordo dan Illing Liu dengan beberapa modifikasi dengan tahun dasar 2001–2010 dipergunakan dalam pembentukan indeks ini. Untuk menemukan model yang lebih robust, paper ini menggunakan kalibrasi dari data statistik, event analysis dalam menentukan bobot-bobot indikator dari indeks komposit, dan model matematika untuk dapat lebih menggambarkan kondisi tekanan di pasar keuangan. Pembentukan indeks komposit ini menggunakan data-data ekonomi dan keuangan Indonesia dari bulan Januari 2000 hingga bulan November 2013.

Suggested Citation

  • Iman Gunadi & Aditya Anta Taruna & Cicilia A. Harun, 2013. "Penggunaan Indeks Stabilitas Sistem Keuangan (ISSK) Dalam Pelaksanaan Surveilans Makroprudensial," Working Papers WP/15/2013, Bank Indonesia.
    • Handle: RePEc:idn:wpaper:wp152013
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    File URL: http://publication-bi.org/repec/idn/wpaper/WP152013.pdf
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    Citations

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    Cited by:

    1. Apriliani Gustiana & Nasrudin, 2021. "Evaluating Financial System Stability Using Heatmap from Aggregate Financial Stability Index with Change Point Analysis Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(3), pages 367-396, September.
    2. Zaafri A. Husodo & M. Budi Prasetyo & Rizky Luxianto & Theresia Silitonga & Januar Hafidz & M. Harris Muhajir & Inna Firindra, 2018. "Mispricing And Risk Taking In The Indonesian Stock Market," Working Papers WP/28/2018, Bank Indonesia.

    More about this item

    Keywords

    Financial Stability Index; Stabilitas Sistem Keuangan; Event Analysis;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G01 - Financial Economics - - General - - - Financial Crises
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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