<abstract xmlns="http://www.w3.org/1999/xhtml"><p>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.</p></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.

Macroprudential Liquidity Stress Test: An Application to Indonesian Banks

Journal of Central Banking Theory and Practice

This work is licensed under the Creative Commons Attribution 4.0 Public License.

{"article-title":"Macroprudential Liquidity Stress Test: An Application to Indonesian Banks"}

This paper develops a macroprudential liquidity stress test model for Indonesian banks. Our model incorporates two factors driving liquidity runs: (i)...

Macroprudential Liquidity Stress Test: An Application to Indonesian Banks

Data publikacji: 16 lip 2020

Zakres stron: 165 - 187

DOI: https://doi.org/10.2478/jcbtp-2020-0027

Słowa kluczowe
Liquidity stress test, Stress test, Financial stability, Banking

© 2020 Aditya Anta Taruna et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 Public License.

Macroprudential Liquidity Stress Test: An Application to Indonesian Banks

Data publikacji: 16 lip 2020

Zakres stron: 165 - 187

DOI: https://doi.org/10.2478/jcbtp-2020-0027

Słowa kluczoweLiquidity stress test, Stress test, Financial stability, Banking

© 2020 Aditya Anta Taruna et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 Public License.

Słowa kluczowe
Liquidity stress test, Stress test, Financial stability, Banking