KRISIS PERBANKAN: DETERMINAN DAN PENGEMBANGAN MODEL PREDIKSI KRISIS PERBANKAN DI ASEAN

Yulita Wulandari, Musdholifah Musdholifah, Ulil Hartono

Abstract


Penelitian ini bertujuan untuk mengidentifikasi pengukuran krisis perbankan, faktor-faktor yang diduga mempengaruhi kondisi krisis perbankan, serta deteksi dini krisis perbankan di Asia Tenggara. Penelitian ini menggunakan empat negara sebagai sampel penelitian serta menguji faktor-faktor internal dan eksternal perbankan yang diduga mempengaruhi kemungkinan terjadinya krisis perbankan. Krisis perbankan diukur dengan Crisis and Default Index Modified dengan periode penelitian selama 2008-2019. Hasil penelitian menunjukkan bahwa faktor internal yang mempengaruhi krisis perbankan adalah pendapatan, sementara faktor eksternal perbankan yang mempengaruhi krisis perbankan adalah pertumbuhan ekonomi dan suku bunga. Pengembangan model prediksi krisis dengan metode sinyal belum dapat digunakan sebagai sistem peringatan dini pada perbankan di Asean karena daya prediksi yang lemah

Keywords


banking system, banking crisis index, CAMELS, macroeconomic, uncertainty

Full Text:

PDF

References


Ajami, R. A. (2020). US-China Trade War: The Spillover Effect. Journal of Asia-Pacific Business, 21(1), 1–3. https://doi.org/10.1080/10599231.2020.1708227

Altig, D., Baker, S., Barrero, J. M., Bloom, N., Bunn, P., Chen, S., Davis, S. J., Leather, J., Meyer, B., Mihaylov, E., Mizen, P., Parker, N., Renault, T., Smietanka, P., & Thwaites, G. (2020). Economic uncertainty before and during the COVID-19 pandemic. Journal of Public Economics, 191. https://doi.org/10.1016/j.jpubeco.2020.104274

Baselga-pascual, L., Trujillo-ponce, A., & Cardone-riportella, C. (2015). Factors Influencing Bank Risk in Europe : Evidence from the Financial Crisis. North American Journal of Economics and Finance, 34, 138–166. https://doi.org/10.1016/j.najef.2015.08.004

Betz, F., Oprica, S., Peltonen, T. A., & Sarlin, P. (2014). Predicting Distress in European Banks. Journal of Banking and Finance, 45, 225–241. https://doi.org/10.1016/j.jbankfin.2013.11.041

Bhattacharya, B., & Roy, T. N. S. (2009). Forewarning Indicator System for Banking Crisis in India. In http://ssrn.com/abstract=1906576.

Büyükkarabacak, B., & Valev, N. (2012). Credit Information Sharing and Banking Crises : An Empirical Investigation. Journal of Macroeconomics, 34, 788–800. https://doi.org/10.1016/j.jmacro.2012.03.002

Caggiano, G., Calice, P., & Leonida, L. (2014). Early warning systems and systemic banking crises in low income countries: A multinomial logit approach. Journal of Banking and Finance, 47, 258–269.

Davis, E. P., & Karim, D. (2008). Comparing Early Warning Systems for Banking Crises. Journal of Financial Stability, 4(2), 89–120. https://doi.org/10.1016/j.jfs.2007.12.004

Edison. (2003). Do Indicators of Financial Crises Work? An Evaluation of an Early Warning System. International Journal of Finance and Economics, 8, 11–53.

Fîrţescu, B. (2012). Causes and Effects of Crises on Financial System Stability in Emerging Countries. Procedia Economics and Finance, 3(12), 489–495. https://doi.org/10.1016/s2212-5671(12)00185-2

Ghosh, S. (2011). A Simple Index of Banking Fragility : Application to Indian Data. The Journal of Risk Finance, 12(2), 112–120. https://doi.org/10.1108/15265941111112839

Gunsel, N. (2010). Determinants of the timing of bank failure in North Cyprus. Journal of Risk Finance, 11(1), 89–106. https://doi.org/10.1108/15265941011012705

Kaminsky, G. L., & Reinhart, C. M. (1999). The Twin Crises: The Cause of Banking and Balance-of -Payments Problems. The American Economic Review, 89(3), 473–500.

Klomp, J. (2010). Causes of Banking Crises Revisited. North American Journal of Economics and Finance, 21(1), 72–87. https://doi.org/10.1016/j.najef.2009.11.005

Lensink, R., Bo, H., & Sterken, E. (1999). Does Uncertainty Affect Economic Growth? An Empirical Analysis. In Weltwirtschaftliches Archiv (Vol. 135, Issue 3). https://doi.org/10.1007/bf02707331

Maghyereh, A. I., & Awartani, B. (2014). Bank Distress Prediction: Empirical Evidence from the Gulf Cooperation Council Countries. Research in International Business and Finance, 30(1), 126–147. https://doi.org/10.1016/j.ribaf.2013.07.001

Männasoo, K., & Mayes, D. G. (2009). Explaining Bank Distress in Eastern European Transition Economies. Journal of Banking and Finance, 33(2), 244–253. https://doi.org/10.1016/j.jbankfin.2008.07.016

Mayes, D. G., & Stremmel, H. (2014). The Effectiveness of Capital Adequacy Measures in Predicting Bank Distress. In SUERF - The European Money and Finance Forum Vienna 2014.

Musdholifah. (2015). Using Index for Predicting Banking Crisis in Asian Countries. International Journal of Empirical Finance, 4(3), 170–183.

Musdholifah, Ismail, M., Kaluge, D., & Maskie, G. (2013). Predicting Banking Crisis in Six Asian Countries. European Journal of Business and Management, 5(28), 176–185.

Papanikolaou, N. I. (2018). A dual early warning model of bank distress. Economics Letters, 162, 127–130. https://doi.org/10.1016/j.econlet.2017.10.028

Poghosyan, T., & Čihak, M. (2011). Determinants of Bank Distress in Europe: Evidence from a New Data Set. Journal of Financial Services Research, 40(3), 163–184. https://doi.org/10.1007/s10693-011-0103-1

Resatoglu, N. G. (2012). Micro and Macro Determinants of Bank Fragility in North Cyprus Economy. African Journal of Business Management, 6(4), 1323–1329. https://doi.org/10.5897/AJBM11.1055

Sahut, J.-M., & Mili, M. (2011). Banking Distress in MENA Countries and the Role of Mergers as a Strategic Policy to Resolve Distress. Economic Modelling, 28, 138–146. https://doi.org/10.1016/j.econmod.2010.09.017

Wong, J., Wong, T. C., & Leung, P. (2010). Predicting banking distress in the EMEAP economies. Journal of Financial Stability, 6(3), 169–179. https://doi.org/10.1016/j.jfs.2010.01.001

Wulandari, Y., Musdholifah, & Kusairi, S. (2017). The Impact of Macroeconomic and Internal Factors on Banking Distress. International Journal of Economics and Financial Issues, 7(3), 429–436.

Zhang, W., Zhang, Z., & Han, G. (2010). How does the US credit crisis affect the Asia-Pacific economies?Analysis based on a general equilibrium model. Journal of Asian Economics, 21(3), 280–292. https://doi.org/10.1016/j.asieco.2009.12.011

Zhuang, J., & Dowling, J. M. (2002). Causes of the 1997 Asian Financial Crisis: What Can an Early Warning System Model Tell Us? ERD Working Paper Series No. 26, 26, 1–21.




DOI: https://doi.org/10.17509/image.v10i2.34237

Refbacks

  • There are currently no refbacks.


Copyright (c) 2021 Yulita Wulandari, Musdholifah Musdholifah, Ulil Hartono



Creative Commons License

Image : Jurnal Riset Manajemen is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License

View My Stats