MEASURING CONTAGION RISK ON BANKING SYSTEM IN THE DIGITAL ERA

<p>As an essential institution to the practice of national payment flow, banks always confront with various risk exposures inherent in them. An interbank interactions through interbank money market might yield higher systemic risks that can lead to a default. This study aims at determining the...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Musdholifah Musdholifah, Ulil Hartono, Yulita Wulandari
Formato:	article
Lenguaje:	EN
Publicado:	Universitas Muhammadiyah Yogyakarta 2019
Materias:	contagion systemic risk interbank market banking institution shock Economic theory. Demography HB1-3840
Acceso en línea:	https://doaj.org/article/a76c5b5f872740f3964890a61e2834a2
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:a76c5b5f872740f3964890a61e2834a2
record_format	dspace
spelling	oai:doaj.org-article:a76c5b5f872740f3964890a61e2834a22021-12-02T11:13:25ZMEASURING CONTAGION RISK ON BANKING SYSTEM IN THE DIGITAL ERA1411-99002541-5506https://doaj.org/article/a76c5b5f872740f3964890a61e2834a22019-10-01T00:00:00Zhttps://journal.umy.ac.id/index.php/esp/article/view/6943https://doaj.org/toc/1411-9900https://doaj.org/toc/2541-5506<p>As an essential institution to the practice of national payment flow, banks always confront with various risk exposures inherent in them. An interbank interactions through interbank money market might yield higher systemic risks that can lead to a default. This study aims at determining the contagion effects towards Indonesian banks. This study used 18 bank samples who provided annual reports from 2007 to 2016. The measurement of the systemic risks was performed by using financial contagion risk index and was tested using Vector Autoregression method. Results show that there was a one-way causality pattern between banks as the research samples, covering BCA with Bank Mayapada, Bank Maybank, Bank Mega, and Bank Resona Perdania and also Bank CIMB Niaga with BCA, BRI, BNI, BTN, Commonwealth Bank, J-Trust Bank, Bank KEB Hana, Bank Mega, and Bank Permata. Meanwhile, two-way causality occurs between Bank BCA and Bank Mandiri and vice versa. In addition, the impact of the risk pressure of a bank is not always positive, however, it is also negative in some cases, which means that the bank can take advantage of the shocked conditions experienced by other banks</p>Musdholifah MusdholifahUlil HartonoYulita WulandariUniversitas Muhammadiyah Yogyakartaarticlecontagionsystemic riskinterbank marketbanking institutionshockEconomic theory. DemographyHB1-3840ENJurnal Ekonomi & Studi Pembangunan, Vol 20, Iss 2, Pp 207-220 (2019)
institution	DOAJ
collection	DOAJ
language	EN
topic	contagion systemic risk interbank market banking institution shock Economic theory. Demography HB1-3840
spellingShingle	contagion systemic risk interbank market banking institution shock Economic theory. Demography HB1-3840 Musdholifah Musdholifah Ulil Hartono Yulita Wulandari MEASURING CONTAGION RISK ON BANKING SYSTEM IN THE DIGITAL ERA
description	<p>As an essential institution to the practice of national payment flow, banks always confront with various risk exposures inherent in them. An interbank interactions through interbank money market might yield higher systemic risks that can lead to a default. This study aims at determining the contagion effects towards Indonesian banks. This study used 18 bank samples who provided annual reports from 2007 to 2016. The measurement of the systemic risks was performed by using financial contagion risk index and was tested using Vector Autoregression method. Results show that there was a one-way causality pattern between banks as the research samples, covering BCA with Bank Mayapada, Bank Maybank, Bank Mega, and Bank Resona Perdania and also Bank CIMB Niaga with BCA, BRI, BNI, BTN, Commonwealth Bank, J-Trust Bank, Bank KEB Hana, Bank Mega, and Bank Permata. Meanwhile, two-way causality occurs between Bank BCA and Bank Mandiri and vice versa. In addition, the impact of the risk pressure of a bank is not always positive, however, it is also negative in some cases, which means that the bank can take advantage of the shocked conditions experienced by other banks</p>
format	article
author	Musdholifah Musdholifah Ulil Hartono Yulita Wulandari
author_facet	Musdholifah Musdholifah Ulil Hartono Yulita Wulandari
author_sort	Musdholifah Musdholifah
title	MEASURING CONTAGION RISK ON BANKING SYSTEM IN THE DIGITAL ERA
title_short	MEASURING CONTAGION RISK ON BANKING SYSTEM IN THE DIGITAL ERA
title_full	MEASURING CONTAGION RISK ON BANKING SYSTEM IN THE DIGITAL ERA
title_fullStr	MEASURING CONTAGION RISK ON BANKING SYSTEM IN THE DIGITAL ERA
title_full_unstemmed	MEASURING CONTAGION RISK ON BANKING SYSTEM IN THE DIGITAL ERA
title_sort	measuring contagion risk on banking system in the digital era
publisher	Universitas Muhammadiyah Yogyakarta
publishDate	2019
url	https://doaj.org/article/a76c5b5f872740f3964890a61e2834a2
work_keys_str_mv	AT musdholifahmusdholifah measuringcontagionriskonbankingsysteminthedigitalera AT ulilhartono measuringcontagionriskonbankingsysteminthedigitalera AT yulitawulandari measuringcontagionriskonbankingsysteminthedigitalera
_version_	1718396126013423616

MEASURING CONTAGION RISK ON BANKING SYSTEM IN THE DIGITAL ERA

Ejemplares similares