University of Bahrain
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Estimating Systemic Risk and Interconnectedness of Islamic Banks: Evidence from Indonesia

Show simple item record Nuryazidi, Mohammad 2018-12-26T10:36:04Z 2018-12-26T10:36:04Z 2018-12-01
dc.identifier.issn 2469-259X
dc.description.abstract This research is designed to provide an analysis of the systemic risk of Islamic banks in Indonesia. As primary consideration in the systemic risk is the interconnectedness of financial institutions, this research proposes a novel method to measure the interconnectedness between the stability of Islamic banks by developing an econometric model for the indicator of individual banks’ soundness. In order to measure of systemic risk, this research develops a Vector Auto Regression (VAR) econometric model for the z-scores of Islamic banks in order to analyse the interconnectedness between stability Islamic banks in the data sample and determine the systematically important bank in the Islamic banking industry afterwards. Based on the VAR model results, the stability of Bank Syariah Mandiri, as the biggest Islamic bank and the second Islamic bank in Indonesia, in the previous month consistently influences three other Islamic banks in addition to its own stability. Furthermore, considering the VAR model is a novel method in measure a systemic risk, this finding also prove that the VAR model is a robust method as its finding also confirmed by additional information such as total asset and the trajectory of the development of the Islamic banks in Indonesia. en_US
dc.language.iso en_US en_US
dc.publisher University of Bahrain en_US
dc.rights Attribution-NonCommercial-NoDerivatives 4.0 International *
dc.rights.uri *
dc.subject Financial Stability en_US
dc.subject Systemic Risk en_US
dc.subject Interconnectedness en_US
dc.subject Islamic Bank en_US
dc.subject Econometric en_US
dc.subject Vector Auto Regression en_US
dc.title Estimating Systemic Risk and Interconnectedness of Islamic Banks: Evidence from Indonesia en_US
dc.type Article en_US
dc.identifier.doi http: //
dc.volume 4 en_US
dc.issue 02 en_US
dc.pagestart 75 en_US
dc.pageend 87 en_US
dc.contributor.authorcountry Indonesia en_US
dc.contributor.authoraffiliation Bank Indonesia, Jl. M.H. Thamrin No.2 Jakarta Indonesia en_US
dc.source.title Journal of Islamic Financial Studies en_US
dc.abbreviatedsourcetitle JIFS en_US

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