Tingkat Persaingan Bank dan Risiko Sistemik Perbankan: Kasus Indonesia
DOI:
https://doi.org/10.12695/jmt.2018.17.3.1Abstract
Abstrak. Penelitian ini bertujuan untuk menguji pengaruh tingkat persaingan bank terhadap risiko sistemik perbankan di Indonesia untuk periode 2010-2014. Dengan menggunakan metode Lerner Index sebagai pengukuran tingkat persaingan bank dan metode Merton's distance-to-default sebagai basis pengukuran risiko sistemik, hasil riset menunjukan tingkat persaingan individual bank secara signifikan berpengaruh negatif terhadap risiko sistemik perbankan Indonesia. Semakin rendah tingkat konsentrasi pasar perbankan akan menurunkan tingkat risiko sistemik. Tingginya tingkat persaingan bank mendorong bank-bank untuk mendiversifikasikan risiko-risikonya sehingga menyebabkan sistem perbankan semakin kokoh.
Kata kunci: Risiko sistemik, persaingan bank, distance-to-default, lerner index, profitabilitas
Abstract. The objective of this research is to measure the effect of individual bank competitiveness on bank systemic risk in Indonesia during 2010-2014. Using Lerner Index to measure bank degree of competitiveness and Merton's distance-to-default to measure systemic risk, result a significant negative relationship between bank degree of competitiveness and systemic risk. The less concentrated of banking market cause systemic risk reduction. The greater bank degree of competitiveness encourages banks to take more diversified risks, causes a fragile banking system.
Keywords: Systemic risk, bank competition, distance-to-default, lerner index, profitability
Downloads
References
Acharya, V. V.2009. A Theory of Systemic Risk and Design of Prudential Bank Regulation. Journal of Financial Stability, 224-255.
Adrian, T., and Brunnermeier, M. K. 2008. CoVaR. Federal Reserve Bank of New York Staff Report No. 348. Federal Reserve.
Allen, F., and Gale, D. 2004. Competition and Financial Stability. Journal of Money, Credit, and Banking, 453-480.
Anginer, D., Demirguc-Kunt, A., and Zhu, M. 2014. How Does Competition Affect Bank Systemic Risk? Journal of Financial Intermediation, 1-26.
Anginer, D., Demirguc-Kunt, A., 2011. Has the Global Banking System become more Fragile Over Time? World Bank Policy Research Working Paper No. 5849.
Basel Committee on Banking Supervision.2012. A Framework for Dealing With Domestic Systemically Important Banks, Bank for International Settlements Publication
Basel Committee on Banking Supervision. 2012. Core Principles For Effective Banking Supervision, Bank for International Settlements Publication
Battiston, S., Delli Gatti,D., Gallegati, M., Greenwald, B., and Stiglitz, J. 2012. Default Cascades: When Does Risk Diversification Increase Stability? Journal of Financial Stability 8 (3): 138–49.
Beck, T., Jonghe, O. D., and Schepens, G. 2013. Bank Competition and Stability: Cross-country Heterogeneity. Journal of Financial Intermediation, 218-244.
Bharath, S.T., Shumway, T., 2008. Forecasting Default with The Merton Distance to Default Model. Review Financial Studies. 21 (3), 1339–1369.
Boyd, J. H., and Nicolo, G. D. 2005. The Theory of Banking Risk Taking and Competition Revisted. Journal of Finance, 1329-1343.
Campbell, J.Y., Hilscher, J., and Szilagyi, J. 2008. In Search of Distress Risk. Journal of. Finance 63, 2899–2939.
Dell’Ariccia, G., and Marquez, R.2004. Information and Bank Credit Allocation. Journal Financial Economics 72 (1), 185–214.
Demirguc-Kunt, A., and Peria, M. S. 2010. A Framework for Analyzing Competition in the Banking Sector. Policy Research Working Paper, p. 5499.
Elliot, M., Golub, B.,and Jackson, M. 2014. Financial Networks and Contagion. American Economic Review 104 (10). 3115–53.
Fiordelisi, F., and Marques-Ibanez, D. 2013. Is Bank Default Risk Systematic? Journal of Banking and Finance, 2000-2010.
Georg, C. 2013. The Effect of the Interbank Network Structure on Contagion and Common Shocks.Journal of Banking and Finance 37 (7): 2216–28.
Gai, P,. Halande, A.,and Kapadia, S. 2011. Complexity, Concentration and Contagion. Journal of Monetary Economics 58 (5): 453–70.
Hakenes, H., and Schnabel, I., 2011. Bank size and Risk-taking under Basel II. Journal of Banking and Finance 35 (6), 1436–1449.
Hauswald, R., and Marquez, R., 2006. Competition and Strategic Information Acquisition in credit markets. Review Financial Studies 19 (3),967–1000.
Hellmann, T.F., Murdock, K.C., and Stiglitz, J.E., 2000. Liberalization, Moral Hazard in Banking, and Prudential Regulation: Are Capital Requirements E nough? American Economics. Review 90 (1), 147–165.
Karolyi, G.A., Lee, K.H., Van Dijk, M.A.2012. Understanding commonality in liquidity around the world. Journal Financial Economics. 105 (1),82–112.
Loffler, G., Posch, P. 2007. Credit Risk Modeling Using Excel and VBA. Wiley & Sons
Martinez-Miera, D., and Repullo, R.2010. Does competition reduce the risk of bank failure? Review Financial Studies 23 (10), 3638–3664.
Merton, R. 1974. On the pricing of corporate debt: the risk structure of interest rate. Journal of Finance, 449-470.
Schaeck, K., Cihák, M. 2014. Competition, Efficiency, and Stability in Banking
Financial Management. 43, 1, p. 215-241..
Shin, H S. 2009. Securitisation and Financial Stability. Economic Journal 119 (536), 309–32
Sundaresan, S., 2013. “A Review of Mertons Model of the Firms Capital Structure with its Wide Applications.†Annual Review of Financial Economics, 5, 21–41.
Tan, Y. 2015. The impact of risk and competition on bank profitability in China. Journal of International Financial Market, Institution and Money.
Worldbank. 2014. Global Financial Development Database. Washington, D.C.: Worldbank.
Shin, H S. (2009). Securitisation and financial stability. Economic Journal 119(536), 309–32
Sundaresan, S. (2013). A review of mertons model of the firms capital structure with its wide applications. Annual Review of Financial Economics, 5, 21–41
Tan, Y. (2015). The impact of risk and competition on bank profitability in China. Journal of International Financial Market, Institution and Money.
Wibowo, B. (2017) Systemic risk, bank's capital buffer, and leverage. Economic Journal of Emerging Markets, 9(2), 150-158.
Worldbank. (2014). Global Financial Development Database. Washington, D.C.: Worldbank.
Downloads
Submitted
Accepted
Published
How to Cite
Issue
Section
License
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License. Copyright @2023. This is an open-access article distributed under the terms of the Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License (http://creativecommons.org/licenses/by-nc-sa/4.0/) which permits unrestricted non-commercial used, distribution and reproduction in any medium.
