The effect of internal banking and macroeconomic variables on systemic risk

• Autorzy: Purwono Rudi , Dimayanti Auliya Ulfa Rahmah

Identyfikatory

DOI

10.17512/pjms.2020.21.2.22

Warianty tytułu

PL

Wpływ bankowości wewnętrznej i zmienne makroekonomiczne na ryzyko systemowe

• Języki publikacji: EN

Abstrakty

EN

The 2008 Global Financial Crisis makes systemic risk one of the focuses of research that continues to grow and makes the financial sector the center of analysis. The banking crisis is one of the sources of the financial crisis. This study attempts to analyze how the influence of bank internal variables and macroeconomics on systemic risk. Measurement of risk contribution uses the conditional value-at-risk (CoVaR) model with using a sample of five banks with the largest assets in Indonesia. The results of the study show that there are influences between internal banking and macroeconomic variables on systemic risk in Indonesia. Liquidity, leverage, and ROA have an effect on and are positively related to systemic risk, but in this case the ROA variable does not significantly influence while the deposit and size variables significantly influence and are negatively related. The results of this study refute the doctrine of "Too Big to Fail" which has been valid. In macroeconomic variables, namely the exchange rate and interbank money market interest rates (PUAB) have a positive relationship with the economic situation of a country that will affect the performance of the financial system in the country.

PL

Globalny kryzys finansowy z 2008 r. Sprawia, że ryzyko systemowe jest jednym z głównych kierunków badań, które stale się rozwija, i czyni sektor finansowy centrum analizy. Kryzys bankowy jest jednym ze źródeł kryzysu finansowego. W niniejszym badaniu podjęto próbę analizy wpływu zmiennych wewnętrznych banku i makroekonomii na ryzyko systemowe. Do pomiaru wkładu w ryzyko stosuje się model warunkowej wartości zagrożonej (CoVaR) z wykorzystaniem próby pięciu banków o największych aktywach w Indonezji. Wyniki badania pokazują, że między bankowością wewnętrzną a zmiennymi makroekonomicznymi istnieje wpływ na ryzyko systemowe w Indonezji. Płynność, dźwignia finansowa i ROA mają wpływ na ryzyko systemowe i są pozytywnie z tym związane, ale w tym przypadku zmienna ROA nie ma znaczącego wpływu, podczas gdy zmienne dotyczące depozytów i wielkości znacząco wpływają i są ujemnie powiązane. Wyniki tego badania obalają przyjętą doktrynę „Too Big to Fail”. W przypadku zmiennych makroekonomicznych, a mianowicie kursu walutowego i międzybankowych stóp procentowych rynku pieniężnego (PUAB), istnieje dodatni związek z sytuacją gospodarczą kraju, która wpłynie na wyniki systemu finansowego w tym kraju.

Słowa kluczowe

EN

systemic risk; Delta-CoVaR; banking; risk management

PL

ryzyko systemowe; Delta-CoVaR; bankowość; zarządzanie ryzykiem

• Wydawca: Czestochowa University of Technology
• Czasopismo: Polish Journal of Management Studies
• Rocznik: 2020
• Tom: Vol. 21, No. 2
• Strony: 315--327
• Opis fizyczny: Bibliogr. 37 poz., tab.

Twórcy

autor

Purwono Rudi

• Faculty of Economics and Business, Universitas Airlangga, Surabaya, Indonesia

autor

Dimayanti Auliya Ulfa Rahmah

• Faculty of Economics and Business, Universitas Airlangga, Surabaya, Indonesia

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Uwagi

Opracowanie rekordu ze środków MNiSW, umowa Nr 461252 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2020).