Macroprudential Liquidity Stress Test: An Application to Indonesian Banks
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Jul 16, 2020
About this article
Published Online: Jul 16, 2020
Page range: 165 - 187
DOI: https://doi.org/10.2478/jcbtp-2020-0027
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© 2020 Aditya Anta Taruna et al., published by Sciendo
This work is licensed under the Creative Commons Attribution 4.0 Public License.
This paper develops a macroprudential liquidity stress test model for Indonesian banks. Our model incorporates two factors driving liquidity runs: (i) idiosyncratic factors; and (ii) macroeconomic factors. We estimate this model using a sample of 113 banks over the period of January 2011 to June 2018, and dynamic panel data estimators. We establish significant transmission channels from macroeconomic and idiosyncratic (bank idiosyncratic risks) factors to liquidity runs. By using the macroeconomic scenario transmission, we find the liquidity stress test to be more consistent with the solvency stress test.