1. bookVolume 9 (2020): Issue s1 (July 2020)
Journal Details
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Format
Journal
eISSN
2336-9205
First Published
11 Mar 2014
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3 times per year
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English
Open Access

Macroprudential Liquidity Stress Test: An Application to Indonesian Banks

Published Online: 16 Jul 2020
Volume & Issue: Volume 9 (2020) - Issue s1 (July 2020)
Page range: 165 - 187
Journal Details
License
Format
Journal
eISSN
2336-9205
First Published
11 Mar 2014
Publication timeframe
3 times per year
Languages
English
Abstract

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.

Keywords

JEL Classification

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