The function of banks as intermediation institutions is carried out through the channeling of loa... more The function of banks as intermediation institutions is carried out through the channeling of loans to the general public as customers. This function supports increased efforts at the level of debtors, which consequently gives a push to the economy and boosts a countrys economic growth. In this research, we will review the relationship between the availability of liquid assets owned by banks and the potential of banks to channel loans in the event of increased liquidity risk due to a decline in the liquid assets of banks which stems from excessive bank lending. Without adequate liquid assets, banks can face difficulties in channeling loans. The calculation of a banks potential lendingwhich is related to the condition of its liquid assetsis expected to provide an overview of the strategies taken by banks to channel loans. This potential is then defined as the potential to achieve the lending target and the potential to channel loans. By using a mathematical simulation, this research proves that there is a correlation between liquid assets and bank lending. Besides that, there is evidence that the majority of banks always conduct lending below their potential regardless of the level of their LA/NCD ratio.
We study repo haircut determinants and develop the haircut calculation model. Collateral securiti... more We study repo haircut determinants and develop the haircut calculation model. Collateral securities are government and corporate fixed-incomes, and we examine the determinants in Indonesia, Malaysia, Thailand, and Hong Kong. Implementing the Generalized AutoRegressive-Conditional Heteroskedasticity (GARCH) process, we find that the changes in long-memory returns, liquidities, and currency influence haircuts. Then, we introduce the haircut model using the historical and parametric Value-at-Risk (VaR), burdening the borrower as much as the α-percentile collateral loss. When borrowers default, lenders get the collaterals and haircuts to compensate for the collateral-price change.
The function of banks as intermediation institutions is carried out through the channeling of loa... more The function of banks as intermediation institutions is carried out through the channeling of loans to the general public as customers. This function supports increased efforts at the level of debtors, which consequently gives a push to the economy and boosts a countrys economic growth. In this research, we will review the relationship between the availability of liquid assets owned by banks and the potential of banks to channel loans in the event of increased liquidity risk due to a decline in the liquid assets of banks which stems from excessive bank lending. Without adequate liquid assets, banks can face difficulties in channeling loans. The calculation of a banks potential lendingwhich is related to the condition of its liquid assetsis expected to provide an overview of the strategies taken by banks to channel loans. This potential is then defined as the potential to achieve the lending target and the potential to channel loans. By using a mathematical simulation, this resea...
Global financial crises have demonstrated that monetary policy is not the only approach for stabi... more Global financial crises have demonstrated that monetary policy is not the only approach for stabilisation and robust microprudential regulation and supervision are not sufficient to mitigate risks to financial system stability. These lessons imply that policymakers, especially financial authorities including the central bank, have to continually focus on strengthening financial system stability. Although all out efforts to avoid a crisis will not assure zero financial crisis in the future, the preparation for crisis prevention and resolution are absolute necessities. The central bank should be accountable for implementing procedures for maintaining and promoting financial system stability. Macroprudential surveillance and microprudential supervision for financial system stability are very difficult tasks and require collaboration among authorities, not only within the economy but also among countries. Given the variances in financial system infrastructures and levels of financial development among SEACEN economies, the availability of diverse sets of macro and micro-prudential indicators is indeed vital. This study provides a survey of how the SEACEN economies promote financial system stability. It assesses the policies, tools and indicators that are available to financial authorities in SEACEN economies and provides suggestions for their improvement. The nine participating economies provide an analysis of their current situations and macroprudential approaches for financial system stability strengthening. Their efforts in maintaining financial system stability and resilience are commendable. However, having said that, many improvements can still be made due to the continuous innovation and development of the financial system.
Understanding bank behaviour is a crucial aspect of the decision-making process at a central bank... more Understanding bank behaviour is a crucial aspect of the decision-making process at a central bank and banking authority in order to formulate policy that is efficient and on target. In addition, a model that can be used to conduct policy simulations would be extremely useful for decision-makers. A bank model is developed in this paper that can be used for policy simulation. The model is designed for use with banks in Indonesia and is a refinement on various previous models due to the issuance of several new policies. The dynamic function of this model is one advantage that can be used for the forecasting process.
Indeks stabilitas sistem keuangan merujuk pada pengembangan indikator sistem keuangan di beberapa... more Indeks stabilitas sistem keuangan merujuk pada pengembangan indikator sistem keuangan di beberapa negara dengan cakupan yang lebih luas. Indeks yang diberi nama Indeks Stabilitas Keuangan (ISSK) merupakan suatu indeks yang mencerminkan kondisi kestabilan sistem keuangan yang lebih baik dan dapat melihat sumber-sumber instabilitas. Indeks dibangun dengan melihat sistem keuangan yang terdiri atas institusi keuangan dan pasar. Metode normalisasi yang telah dikembangkan Bordo dan Illing Liu dengan beberapa modifikasi dengan tahun dasar 2001–2010 dipergunakan dalam pembentukan indeks ini. Untuk menemukan model yang lebih robust, paper ini menggunakan kalibrasi dari data statistik, event analysis dalam menentukan bobot-bobot indikator dari indeks komposit, dan model matematika untuk dapat lebih menggambarkan kondisi tekanan di pasar keuangan. Pembentukan indeks komposit ini menggunakan data-data ekonomi dan keuangan Indonesia dari bulan Januari 2000 hingga bulan November 2013.
The function of banks as intermediation institutions is carried out through the channeling of loa... more The function of banks as intermediation institutions is carried out through the channeling of loans to the general public as customers. This function supports increased efforts at the level of debtors, which consequently gives a push to the economy and boosts a countrys economic growth. In this research, we will review the relationship between the availability of liquid assets owned by banks and the potential of banks to channel loans in the event of increased liquidity risk due to a decline in the liquid assets of banks which stems from excessive bank lending. Without adequate liquid assets, banks can face difficulties in channeling loans. The calculation of a banks potential lendingwhich is related to the condition of its liquid assetsis expected to provide an overview of the strategies taken by banks to channel loans. This potential is then defined as the potential to achieve the lending target and the potential to channel loans. By using a mathematical simulation, this research proves that there is a correlation between liquid assets and bank lending. Besides that, there is evidence that the majority of banks always conduct lending below their potential regardless of the level of their LA/NCD ratio.
We study repo haircut determinants and develop the haircut calculation model. Collateral securiti... more We study repo haircut determinants and develop the haircut calculation model. Collateral securities are government and corporate fixed-incomes, and we examine the determinants in Indonesia, Malaysia, Thailand, and Hong Kong. Implementing the Generalized AutoRegressive-Conditional Heteroskedasticity (GARCH) process, we find that the changes in long-memory returns, liquidities, and currency influence haircuts. Then, we introduce the haircut model using the historical and parametric Value-at-Risk (VaR), burdening the borrower as much as the α-percentile collateral loss. When borrowers default, lenders get the collaterals and haircuts to compensate for the collateral-price change.
The function of banks as intermediation institutions is carried out through the channeling of loa... more The function of banks as intermediation institutions is carried out through the channeling of loans to the general public as customers. This function supports increased efforts at the level of debtors, which consequently gives a push to the economy and boosts a countrys economic growth. In this research, we will review the relationship between the availability of liquid assets owned by banks and the potential of banks to channel loans in the event of increased liquidity risk due to a decline in the liquid assets of banks which stems from excessive bank lending. Without adequate liquid assets, banks can face difficulties in channeling loans. The calculation of a banks potential lendingwhich is related to the condition of its liquid assetsis expected to provide an overview of the strategies taken by banks to channel loans. This potential is then defined as the potential to achieve the lending target and the potential to channel loans. By using a mathematical simulation, this resea...
Global financial crises have demonstrated that monetary policy is not the only approach for stabi... more Global financial crises have demonstrated that monetary policy is not the only approach for stabilisation and robust microprudential regulation and supervision are not sufficient to mitigate risks to financial system stability. These lessons imply that policymakers, especially financial authorities including the central bank, have to continually focus on strengthening financial system stability. Although all out efforts to avoid a crisis will not assure zero financial crisis in the future, the preparation for crisis prevention and resolution are absolute necessities. The central bank should be accountable for implementing procedures for maintaining and promoting financial system stability. Macroprudential surveillance and microprudential supervision for financial system stability are very difficult tasks and require collaboration among authorities, not only within the economy but also among countries. Given the variances in financial system infrastructures and levels of financial development among SEACEN economies, the availability of diverse sets of macro and micro-prudential indicators is indeed vital. This study provides a survey of how the SEACEN economies promote financial system stability. It assesses the policies, tools and indicators that are available to financial authorities in SEACEN economies and provides suggestions for their improvement. The nine participating economies provide an analysis of their current situations and macroprudential approaches for financial system stability strengthening. Their efforts in maintaining financial system stability and resilience are commendable. However, having said that, many improvements can still be made due to the continuous innovation and development of the financial system.
Understanding bank behaviour is a crucial aspect of the decision-making process at a central bank... more Understanding bank behaviour is a crucial aspect of the decision-making process at a central bank and banking authority in order to formulate policy that is efficient and on target. In addition, a model that can be used to conduct policy simulations would be extremely useful for decision-makers. A bank model is developed in this paper that can be used for policy simulation. The model is designed for use with banks in Indonesia and is a refinement on various previous models due to the issuance of several new policies. The dynamic function of this model is one advantage that can be used for the forecasting process.
Indeks stabilitas sistem keuangan merujuk pada pengembangan indikator sistem keuangan di beberapa... more Indeks stabilitas sistem keuangan merujuk pada pengembangan indikator sistem keuangan di beberapa negara dengan cakupan yang lebih luas. Indeks yang diberi nama Indeks Stabilitas Keuangan (ISSK) merupakan suatu indeks yang mencerminkan kondisi kestabilan sistem keuangan yang lebih baik dan dapat melihat sumber-sumber instabilitas. Indeks dibangun dengan melihat sistem keuangan yang terdiri atas institusi keuangan dan pasar. Metode normalisasi yang telah dikembangkan Bordo dan Illing Liu dengan beberapa modifikasi dengan tahun dasar 2001–2010 dipergunakan dalam pembentukan indeks ini. Untuk menemukan model yang lebih robust, paper ini menggunakan kalibrasi dari data statistik, event analysis dalam menentukan bobot-bobot indikator dari indeks komposit, dan model matematika untuk dapat lebih menggambarkan kondisi tekanan di pasar keuangan. Pembentukan indeks komposit ini menggunakan data-data ekonomi dan keuangan Indonesia dari bulan Januari 2000 hingga bulan November 2013.
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