当前位置: X-MOL 学术Journal of Central Banking Theory and Practice › 论文详情
Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)
Macroprudential Liquidity Stress Test: An Application to Indonesian Banks
Journal of Central Banking Theory and Practice Pub Date : 2020-07-01 , DOI: 10.2478/jcbtp-2020-0027
Aditya Anta Taruna 1 , Cicilia Anggadewi Harun 1 , Raquela Renanda Nattan 1
Affiliation  

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.

中文翻译:

宏观审慎的流动性压力测试:在印尼银行中的应用

摘要本文建立了针对印尼银行的宏观审慎流动性压力测试模型。我们的模型包含了两个驱动流动性运行的因素:(i)特质因素;(ii)宏观经济因素。我们使用2011年1月至2018年6月期间113家银行的样本以及动态面板数据估算器来估算此模型。我们建立了从宏观经济和特殊(银行特殊风险)因素到流动性运行的重要传输渠道。通过使用宏观经济情景传递,我们发现流动性压力测试与偿付能力压力测试更加一致。
更新日期:2020-07-01
down
wechat
bug