Nabella, Rihana Sofie (2019) Analisis Contagion Effect Melalui Pendekatan Risiko Sistemik dan Financial Linkage: Studi Pada Dual Banking System di Indonesia. Magister thesis, Universitas Brawijaya.
Abstract
Krisis keuangan 1997/1998 dan 2008 telah menjadi pelajaran berharga bagi perbankan Indonesia untuk senantiasa menjaga stabilitas sistem keuangan karena dampak yang ditimbulkan oleh adanya contagion effect sangat besar. Contagion effect (efek penularan) dapat menyebabkan risiko sistemik atau risiko kegagalan suatu bank yang berpotensi mempengaruhi bank lainnya serta sistem. Contagion effect ini juga terjadi karena adanya financial linkage atau keterkaitan antar institusi keuangan. Penelitian ini bertujuan untuk menganalisis contagion effect melalui pendekatan risiko sistemik dan financial linkage pada dual banking system di Indonesia. Penelitian ini menggunakan model Conditional Value at Risk yang dikembangkan oleh Adrian dan Brunnermeier (2011) dengan sampel 8 bank umum syariah dan 7 bank umum konvensional di Indonesia periode Januari 2012 hingga Desember 2018. Hasil yang diperoleh dari penelitian ini adalah risiko sistemik dan financial linkage mampu menjelaskan adanya contagion effect (efek penularan) dalam suatu sistem perbankan. Risiko sistemik yang tinggi dan disertai financial linkage yang tinggi mampu mendorong eksternalitas negatif terhadap institusi lain dalam sistem perbankan, dalam hal ini menularkan risiko
English Abstract
The financial crisis of 1997/1998 and 2008 has become a valuable lesson for Indonesian banks to maintain financial system stability because the impact caused by the contagion effect is very large. Contagion effects can cause systemic risk or risk of failure of a bank that has the potential to affect other banks and systems. This contagion effect also occurs because of the financial linkage or the relationship between financial institutions. This study aims to analyze the contagion effect through a systemic risk approach and financial linkage on the dual banking system in Indonesia. This study uses a Conditional Value at Risk model developed by Adrian and Brunnermeier (2011) with a sample of 8 sharia commercial banks and 7 conventional commercial banks in Indonesia for the period January 2012 to December 2018. The results obtained from this study are systemic risk and financial linkage capable explain the contagion effect in a banking system. High systemic risk and high financial linkage can drive negative externalities towards other institutions in the banking system, in this case transmitting risks.
Other obstract
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| Item Type: | Thesis (Magister) |
|---|---|
| Identification Number: | TES/332.1/NAB/a/2019/041911400 |
| Uncontrolled Keywords: | BANK AND BANKING |
| Subjects: | 300 Social sciences > 332 Financial economics > 332.1 Banks |
| Divisions: | S2/S3 > Magister Ilmu Ekonomi, Fakultas Ekonomi dan Bisnis |
| Depositing User: | Budi Wahyono Wahyono |
| Date Deposited: | 14 Jan 2020 06:27 |
| Last Modified: | 25 Oct 2021 03:58 |
| URI: | http://repository.ub.ac.id/id/eprint/177887 |
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