EFFECT OF ENDOGENOUS RISK ON SYSTEMIC RISK IN INDONESIAN ISLAMIC BANKING
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Date
2016-08-10
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International Conference on Islamic Economics Management Accounting Business and Social Sciences (ICIEMABS)I, Fakultas Ekonomi dan Bisnis Universitas Padjajaran, STIE Ibnu Sina, APTISI
Abstract
Islamic banking assets accounted for less than 5% of conventional banking assets in Indonesia. Thus, studies on
systemic risk or acute financial instability rarely investigated Islamic banking. This study performed in order to
fill the absence.
It aimed at determining endogenous risk variables affecting the systemic risk in the Indonesian Islamic banking
such as capital adequacy risk, contagion, credit risk, bank run, and liquidity risk. It applied multiple regression.
Its statistical data sourced from Indonesian Islamic banking 2010-2016. The results showed that only liquidity
risk and bank run significantly affected systemic risk, whereas credit risk, capital adequacy risk and contagion
did not.
As conclusions, endogenous risk movement affected systemic risk movement by 38.07% in which the liquidity
risk and bank run positively affected systemic risk in Indonesian Islamic banking. This study would expectedly
contribute to bankers and the central bank in maintaining endogenous risk so as to avoid and mitigate effects of
systemic risk in Indonesian Islamic banking in the absence of the Act on The Financial System Safety Net in
Indonesia to avoid a bank with systemic impact.
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Keywords
systemic risk, endogenous risk, regression, liquidity risk, bank run