Main Article Content
Abstract
This paper measures individual bank’s impact on banking systemic risk and examines the effect of individual bank’s capital buffer and leverage to bank’s systemic risk impact in Indonesia during 2010-2014. Using Merton’s distance-to-default to measure systemic risk, the study shows a significant negative relationship between bank’s capital buffer and systemic risk. High capital buffer tends to lowering bank’s impact on systemic risk. Bank’s leverage level also influences its contribution to systemic risk, even though the impact is much lower compared to that of capital buffer impact.
Keywords
Article Details
Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution-ShareAlike 4.0 International License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).
Economic Journal of Emerging Markets by Center for Economic Studies, Universitas Islam Indonesia is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
References
- Acemoglu, D., Ozdaglar, A., & Tahbaz-Salehi, A. (2015). Systemic risk and stability in financial networks. American Economic Review, 105(2), 564--608. https://doi.org/10.1257/aer.20130456
- Adrian, T., & Brunnermeier, M. K. (2016). CoVaR. American Economic Review, 106(7), 1705–1744. https://doi.org/10.1257/aer.20120555
- Afik, Z., Arad, O., & Galil, K. (2016). Using Merton model for default prediction: An empirical assessment of selected alternatives. Journal of Empirical Finance, 35, 43–67. https://doi.org/10.1016/j.jempfin.2015.09.004
- Anginer, D., & Demirguc-Kunt, A. (2011). Has the global banking system become more fragile over time? (No. 5849).
- Anginer, D., Demirguc-Kunt, A., & Zhu, M. (2014). How does competition affect bank systemic risk? Journal of Financial Intermediation, 23(1), 1–26. https://doi.org/10.1016/j.jfi.2013.11.001
- etc.
References
Acemoglu, D., Ozdaglar, A., & Tahbaz-Salehi, A. (2015). Systemic risk and stability in financial networks. American Economic Review, 105(2), 564--608. https://doi.org/10.1257/aer.20130456
Adrian, T., & Brunnermeier, M. K. (2016). CoVaR. American Economic Review, 106(7), 1705–1744. https://doi.org/10.1257/aer.20120555
Afik, Z., Arad, O., & Galil, K. (2016). Using Merton model for default prediction: An empirical assessment of selected alternatives. Journal of Empirical Finance, 35, 43–67. https://doi.org/10.1016/j.jempfin.2015.09.004
Anginer, D., & Demirguc-Kunt, A. (2011). Has the global banking system become more fragile over time? (No. 5849).
Anginer, D., Demirguc-Kunt, A., & Zhu, M. (2014). How does competition affect bank systemic risk? Journal of Financial Intermediation, 23(1), 1–26. https://doi.org/10.1016/j.jfi.2013.11.001
etc.