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Mengukur risiko sistemik pada perbankan di Indonesia = Measuring systemic risk in Indonesian banks / Tetukoadi Wiwid Pambudi

Tetukoadi Wiwid Pambudi; Zaafri Ananto Husodo, supervisor; Irwan Adi Ekaputra, examiner; Ruslan Prijadi, examiner (, 2015)
 Abstrak
[ABSTRAK

Penelitian ini mengukur keterkaitan antara perbankan di Indonesia dengan
perbankan di Asia Tenggara, Asia, Emerging Market, dan Dunia. Dengan
menggunkan pendekatan marginal expected shortfall (MES), yang diperkenalkan
Brownless dan Engle (2012), analisis dilakukan terhadap saham 9 bank di Indonesia
dan indeks saham perbankan setiap kawasan yang diambil dari Datastream selama
periode 2004-2014. Hasil menunjukan perbankan di Indonesia bersifat independen
terhadap shock dari sistem perbankan di kawasan lain. Estimasi MES menunjukan
krisis yang terjadi pada perbankan di Indonesia memiliki dampak yang jauh lebih
besar terhadap bank-bank di Indonesia, dibaningankan apabila terjadi krisis pada
perbankan di Asia Tenggara, Asia, Emerging Market, dan Dunia yang dampaknya
relatif kecil.


ABSTRACT

This study analyze the interconnectedness among Indonesia banking industry and
banking industry in South East Asia, Asia, Emerging market, and World. Using
marginal expected shortfall (MES) approach, which introduced by Brownless and
Engle 2012, analysis conducted on stock of 9 banks and banking stock index in
each region that taken from Datastream during 2004-2014. The result show that
Indonesia banking system is relatively independent to shock in other region banking
systems. The MES estimation results indicate crisis in Indonesian banking system
has large impact to banks in Indonesia, compared if crisis experienced in South
East Asian, Emerging Market, Asian, and World banking system that have
relatively small impact, This study analyze the interconnectedness among Indonesia banking industry and
banking industry in South East Asia, Asia, Emerging market, and World. Using
marginal expected shortfall (MES) approach, which introduced by Brownless and
Engle 2012, analysis conducted on stock of 9 banks and banking stock index in
each region that taken from Datastream during 2004-2014. The result show that
Indonesia banking system is relatively independent to shock in other region banking
systems. The MES estimation results indicate crisis in Indonesian banking system
has large impact to banks in Indonesia, compared if crisis experienced in South
East Asian, Emerging Market, Asian, and World banking system that have
relatively small impact]
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 Metadata
No. Panggil : T43534
Pengarang :
Pengarang/kontributor lain :
Subjek :
Penerbitan : [Place of publication not identified]: [Publisher not identified], 2015
Program Studi :
Naskah Ringkas :
Sumber Pengatalogan : LibUI ind rda
Tipe Konten : text
Tipe Media : unmediated ; computer
Tipe Carrier : volume ; online resource
Deskripsi Fisik : xi, 115 pages : illustration ; 28 cm + appendix
Catatan Bibliografi : pages 49-50
Lembaga Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI, Lantai 3
  • Ketersediaan
  • Ulasan
  • Sampul
No. Panggil No. Barkod Ketersediaan
T43534 15-17-293660468 TERSEDIA
Ulasan:
Tidak ada ulasan pada koleksi ini: 20415918