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Systemic Risk Cycle: Evidence from ASEAN-5

Author

Listed:
  • Febrio Kacaribu

    (Institute for Economic and Social Research, Faculty of Economics and Business, Universitas Indonesia)

  • Denny Irawan

    (Institute for Economic and Social Research, Faculty of Economics and Business, Universitas Indonesia)

Abstract

This study is one among the firsts to explain the behavior of systemic risk. We examine the cyclicality of systemic risk through the business cycle dynamics by using data from 84 listed banks in ASEAN-5 from 2001Q1 to 2017Q2. We employ SRISK as a measure of systemic risk, which represents the capital shortfall of a ?rm in the time of a crisis. The result shows that the relationships between SRISK cyclicality and the business cycle dynamics to vary across countries. We also show that the leverage ratio has explanatory power in explaining the dynamics of SRISK.

Suggested Citation

  • Febrio Kacaribu & Denny Irawan, 2018. "Systemic Risk Cycle: Evidence from ASEAN-5," LPEM FEBUI Working Papers 201828, LPEM, Faculty of Economics and Business, University of Indonesia, revised 2018.
    • Handle: RePEc:lpe:wpaper:201828
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    File URL: https://www.lpem.org/repec/lpe/papers/WP201828.pdf
    File Function: First version, 2018
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    More about this item

    Keywords

    Business Cycle — Banks Leverage — Macroprudential Policy;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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