The Impact Of Size And Other Income On Systemic Risk In Indonesia

Aditya Kristianto Marjono; Dony Abdul Chalid

doi:10.24912/jm.v28i2.2007

Authors

Aditya Kristianto Marjono Program Pascasarjana Ilmu Manajemen, , Fakultas Ekonomi dan Bisnis, Universitas Indonesia
Dony Abdul Chalid Program Pascasarjana Ilmu Manajemen, , Fakultas Ekonomi dan Bisnis, Universitas Indonesia

DOI:

https://doi.org/10.24912/jm.v28i2.2007

Keywords: Systemic Risk; Banking, Financial Crisis; Capital Shortfall; SRISK.

Abstract

This research aims to measure systemic risk, especially in the banking system, between 2018 and 2022. In this research, the measurement method used is SRISK, which aims to measure the potential capital shortage of a bank when there is pressure on the market. The lack of capital from a bank, which is an individual risk for a bank, also poses the potential for a contagious threat which could end up becoming a systemic risk in the banking system in Indonesia. This research shows that several banks, through SRISK calculations, have the potential for capital shortages when market pressure occurs, especially from 2019 to 2022. In this research, bank size and non-interest income are essential factors in systemic risk in the banking system. Meanwhile, business complexity does not affect systemic risk in Indonesia.

Author Biographies

Aditya Kristianto Marjono, Program Pascasarjana Ilmu Manajemen, , Fakultas Ekonomi dan Bisnis, Universitas Indonesia

aditya.Kristianto11@ui.ac.id

Dony Abdul Chalid, Program Pascasarjana Ilmu Manajemen, , Fakultas Ekonomi dan Bisnis, Universitas Indonesia

donny.abdul@ui.ac.id

References

Acharya, V. V., & Steffen, S. (2020). The Risk Of Being A Fallen Angel And The Corporate Dash For Cash In The Midst Of COVID-19. Review of Corporate Finance Studies, 9(3), 430–471. https://doi.org/10.1093/rcfs/cfaa013.

Bank Indonesia, Otoritas Jasa Keuangan, & Lembaga Penjamin Simpanan. (2021). Dampak Konsolidasi Perbankan Terhadap Ketahanan Perbankan Indonesia. https://www.bi.go.id/id/publikasi/kajian/Pages/Dampak-Konsolidasi-Bank-terhadap-Ketahanan-Perbankan-Indonesia.aspx.

Berger, A. N., Curti, F., Mihov, A., & Sedunov, J. (2022). Operational Risk Is More Systemic Than You Think: Evidence From U.S. Bank Holding Companies. Journal of Banking and Finance, 143. https://doi.org/10.1016/j.jbankfin.2022.106619.

Bhattarai, S., Chatterjee, A., & Park, W. Y. (2021). Effects Of U.S. Quantitative Easing On Emerging Market Economies. Journal of Economic Dynamics and Control, 122. https://doi.org/10.1016/j.jedc.2020.104031.

Brownlees, C., & Engle, R. F. (2017). SRISK: A Conditional Capital Shortfall Measure Of Systemic Risk. Review of Financial Studies, 30(1), 48–79. https://doi.org/10.1093/rfs/hhw060.

Brunnermeier, M. K., Dong, G. N., & Palia, D. (2020). Banks' Non-Interest Income And Systemic Risk. Review of Corporate Finance Studies, 9(2), 229–255. https://doi.org/10.1093/rcfs/cfaa006.

Cai, J., Eidam, F., Saunders, A., & Steffen, S. (2018). Syndication, Interconnectedness, And Systemic Risk. Journal of Financial Stability, 34, 105–120. https://doi.org/10.1016/j.jfs.2017.12.005.

Cincinelli, P., Pellini, E., & Urga, G. (2022). Systemic Risk In The Chinese Financial System: A Panel Granger Causality Analysis. International Review of Financial Analysis, 82. https://doi.org/10.1016/j.irfa.2022.102179.

Correa, R., & Goldberg, L. S. (2022). Bank Complexity, Governance, And Risk. Journal of Banking and Finance, 134. https://doi.org/10.1016/j.jbankfin.2020.106013.

Das, S. R., Kalimipalli, M., & Nayak, S. (2022). Banking Networks, Systemic Risk, And The Credit Cycle In Emerging Markets. Journal of International Financial Markets, Institutions and Money, 80. https://doi.org/10.1016/j.intfin.2022.101633.

Fan, H., & Hu, C. (2024). Research On Systemic Risk Of China’s Bank-Asset Bipartite Network. Heliyon, 10(5), e26952. https://doi.org/10.1016/j.heliyon.2024.e26952.

Fina Kamani, E. (2019). The Effect Of Non-Traditional Banking Activities On Systemic Risk: Does Bank Size Matter? Finance Research Letters, 30, 297–305. https://doi.org/10.1016/j.frl.2018.10.013.

García, J. S., & Rambaud, S. C. (2023). Macrofinancial Determinants Of Volatility Transmission In A Network Of European Sovereign Debt Markets. Finance Research Letters, 53. https://doi.org/10.1016/j.frl.2023.103635.

Labonte, M. (2018). Systemically Important Or “Too Big To Fail” Financial Institutions. https://crsreports.congress.gov/product/pdf/R/R42150.

Li, N., Wei, C., & Zhang, L. (2023). Risk Factors In The Indonesian Stock Market. Pacific Basin Finance Journal, 82. https://doi.org/10.1016/j.pacfin.2023.102175.

Maghyereh, A. I., & Yamani, E. (2022). Does Bank Income Diversification Affect Systemic Risk: New Evidence From Dual Banking Systems. Finance Research Letters, 47. https://doi.org/10.1016/j.frl.2022.102814.

Martynova, N., & Vogel, U. (2022). Banks’ Complexity-Risk Nexus And The Role Of Regulation. Journal of Banking and Finance, 134. https://doi.org/10.1016/j.jbankfin.2021.106120.

Moussu, C., & Petit-Romec, A. (2017). ROE In Banks: Performance Or Risk Measure? Evidence From Financial Crises. Finance, 38(2), 95. https://doi.org/10.3917/fina.382.0095.

Mu, R., & Wang, H. (2022). A Systematic Literature Review Of Open Innovation In The Public Sector: Comparing Barriers And Governance Strategies Of Digital And Non-Digital Open Innovation. Public Management Review, 24(4), 489–511. https://doi.org/10.1080/14719037.2020.1838787.

Otoritas Jasa Keuangan. (2023). Peran Bank Indonesia Dalam Stabilitas Keuangan. Otoritas Jasa Keuangan. https://ojk.go.id/id/kanal/perbankan/stabilitas-sistem-keuangan/Pages/Peran-Bank-Indonesia.aspx.

Rizwan, M. S., Ahmad, G., & Ashraf, D. (2020). Systemic Risk: The Impact Of COVID-19. Finance Research Letters, 36. https://doi.org/10.1016/j.frl.2020.101682.

Sánchez García, J., & Cruz Rambaud, S. (2023). Inflation And Systemic Risk: A Network Econometric Model. Finance Research Letters, 56. https://doi.org/10.1016/j.frl.2023.104104.

Varotto, S., & Zhao, L. (2018). Systemic Risk And Bank Size. Journal Of International Money And Finance, 82, 45–70. https://doi.org/10.1016/j.jimonfin.2017.12.002.

Xu, T., Hu, K., & Das, U. S. (2019). Bank Profitability And Financial Stability. https://www.imf.org/en/Publications/WP/Issues/2019/01/11/Bank-Profitability-and-Financial-Stability-46470.

Yang, H. F., Liu, C. L., & Yeutien Chou, R. (2020). Bank Diversification And Systemic Risk. Quarterly Review of Economics and Finance, 77, 311–326. https://doi.org/10.1016/j.qref.2019.11.003.

Zhang, X., Fu, Q., Lu, L., Wang, Q., & Zhang, S. (2021). Bank Liquidity Creation, Network Contagion And Systemic Risk: Evidence From Chinese Listed Banks. Journal of Financial Stability, 53. https://doi.org/10.1016/j.jfs.2021.100844.