THE PERSISTENCY AND THE SUSTAINABILITY OF THE INDONESIA'S CURRENT ACCOUNT DEFICIT
Keywords:
current account deficit, random walk, intertemporal budget constraint, unit root, ARDL
Abstract
Asian and European crises were witnesses of banks’ vulnerable due to market risks. The Basel Committee requires an internal risk assessment applying Value at Risk (VaR). However, a replacement of VaR with Expected Shortfall (ES) has been suggested recently due to an excessive losses produced by banks which are beyond VaR estimations. This paper studied the risk of Indonesian banks applying a historical expected shortfall. We used JIBOR (overnight) from 2009 – 2012 as a proxy of market risk. The assessment of a historical expected shortfall of the net position of 27 banks accounts for October 2012 showed that state owned banks placed among the five highest value of each component (net position) in the balance sheet, namely placement to Bank Indonesia, interbank placement, spot and derivatives claims, securities, and loans. It means that the state owned banks had the highest risk and were the most aggressive among Indonesian banks. It might be due to carrying some of the government’s program, such as small enterprise loans. Keywords: expected shortfall, value at risk, banks, risk. JEL Classification: D81, G210Downloads
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References
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Azgun, S. dan T. Ozdemir. 2008. Current Accounts Deficits Sustainability: Implications of Intertemporal Foreign Borrowing Constraint For Pakistan. Trakia Journal of Sciences, Vol.6, No. 3, pp 3-9.
Baharumshah A. Z., Evan Lau dan Stilianos Fountas. 2002. On sustainability of current account deficits: Evidence from four ASEAN countries (National University of Ireland Working Paper No. 62)
Bank Indonesia. 2001-2013. Statistik Ekonomi Indonesia. Jakarta: BI.
Bank Indonesia. 2004-2013. Neraca Pembayaran Indonesia. Jakarta: BI.
Bank Indonesia. 2005. Laporan Bank Indonesia kepada DPR. Jakarta: BI.
Bank Indonesia. 2009. Outlook Ekonomi Indonesia 2009-2014. Jakarta: BI.
Binatli, Ayla Ogus dan Niloufer Sohrabji. 2012.Intertemporal Solvency of Turkey’s Current Account. Panoeconomicus, Vol. 1, pp 89-104.
Celik, Tuncay. 2011. Long Run Relationship between Export and Import: Evidence from Turkey for the period of 1990-2010. International Conference on Applied Economics.
Clower, Erica dan Hiro Ito. 2012. The Persistence of Current Account Balances and Its Determinants: The Implications for Global Rebalancing (ADB Institute Working Paper No. 200).
Djeutem, Edouard T. dan Pierre E. Nguimkeu. 2013. On the Sustainability of Current Account Deficits in Cameroon. International Journal of Economics and Financial Issues, Vol. 3, No. 2, pp 286-495.
Destaings, Nyongesa N., Mukras S. Mohamed dan Momanyi Gideon. 2013. Is Kenya Current Account Sustainable. European Scientific Journal, Vol. 9, No. 25, pp 171-190.
Enders. (2004). Applied Econometrics Time Series. New York: John Wiley Sons, Inc
Eviews 6 User’s Guide II. 2007. Quantitative Micro Software. United States of America.
Falianty, Telisa A. 2003. Exchange Rate Overshooting: Sebuah Studi Empiris di Indonesia dalam sistem nilai tukar mengambang. Tesis pada Program Pascasarjana Ilmu Ekonomi Universitas Indonesia (tidak diterbitkan).
Ferretti, Milesi dan Assaf Razin. 1996. Persistent Current Account Deficits: A Warning Signal? International Journal Finance, Vol. 1, pp 161-181.
Fuso, Oteng-Abayie Eric dan Frimpong Joseph Magnus. 2006. Bounds Testing Approach to Cointegration: An Examination of Foreign Direct Investment Trade and Growth Relationships. American Journal of Applied Sciences, Vol. 3 No. 11, pp 2079-2085.
Hassan H., Salih T.K dan Narmin D. 2012. Are Current Account Deficits Sustainable? New Evidence from Iran Using Bounds Testing Approach to Level Relationships. Economics The Open-Access Open-Assessment E-Journal.
Husted, Steven. 1992. The Emerging U.S Current Account Deficit in 1980s: A Cointegration Analysis. The Review of Economics and Statistics, Vol. 74, pp 159-166.
Iskandar. 2011. Analisis Hubungan Perkembangan Sektor Keuangan dan Pertumbuhan Ekonomidi Indonesia periode 1990:Q1-2009:Q4 pendekatan ARDL. Tesis pada Program Pascasarjana Ilmu Ekonomi Universitas Indonesia (tidak diterbitkan).
Ismayadi, Budi. 2009. Kointegrasi antara Investasi Langsung Luar Negeri, Perdagangan dan Pendapatan Perkapita di Indonesia 1976-2008 Pendekatan ARDL. Tesis pada Program Pascasarjana Ilmu Ekonomi Universitas Indonesia (tidak diterbitkan).
Jain, Vipin dan Janesh Sami. 2012. Understanding Sustainability of Trade Balance in Singapore Empirical Evidence from Co-intergration Analysis. View Point Journal, Vol. 2, No. 1, pp 3-9
Keong, C. C, Z. Yusop dan Venus Liew K. S. 2005. Export-Led Growth Hypothesis in Malaysia: An Investigation Using Bounds Test. Sunway Academic Journal, Vol. 2, pp 13-22.
Konya, Laszlo. 2008. The Sustainability of the Current Account in the Czech Republic, Hungaria and Slovenia. Empirical Economics Journal, Vol. 36, pp 367-384.
Krugman, Paul R. dan Maurice Obstfeld. 2003. International Economics Theory and Policy:Addison Wesley.
Lau, Evan, Ahmad Zubaidi Baharumshah dan Chan Tze Haw. 2006. Current Account: Mean-Reverting or Random Walk Behavior? Japan and The World Economy, Vol. 18, pp 90- 107.
Listiarso, Amiruli D. 2013. Pengaruh Karakteristik Krisis Finansial Global 2008 Terhadap Variabel Makroekonomi Indonesia: Analisis Pada Trade Dan Financial Channell. Tesis pada Program Pascasarjana Ilmu Ekonomi Universitas Indonesia (tidak diterbitkan).
Nachrowi, Nachrowi D. dan Hardius Usman. 2006. Pendekatan Populer dan Praktis Ekonometrika Untuk Analisis Ekonomi dan Keuangan. Jakarta: Lembaga Penerbit Fakultas Ekonomi UI.
Perera, N. dan R. Verma. 2008.An Empirical Analysis of Sustainability of Trade Deficit: Evidence from Sri Lanka. International Journal of Applied Econometrics and Quantitive Studies, Vol. 5, No. 1, pp 71-92.
Pesaran, M. H. dan Bahram Pesaran. 1996. Working with Microfit 4.0: Interactive Econometric Analysis. Oxford: Oxford University Press.
Pesaran, M. H. dan Yongcheol Shin. 1997. An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis. A Revised Version of A Paper Presented atSymposium at the Centennial of Ragnar Frisch, The Norwegian Academy of Science and Letters, Oslo, March 3-5, 1995.
Pesaran, M. H., Y. Shin, dan R. J. Smith. 2001. BoundsTesting Approaches to the analysis of level relationships. Journal of Applied Econometrics, Vol. 16, pp 289-326.
Pyndick, R.S dan Daniel Rudenfeld. 1991. Econometric Models and Economic Forecasts Fourt Edition: McGraw-Hill International Edition.
Polat, Ozgur. (2011). Sustainability of Current Account Deficit in Turkey. African Journal of Business Management, Vol. 5, No. 2, pp 577-581.
Rahman, M. Z. 2011. Existence of Export-Import Cointegration: A Study on Indonesia and Malaysia. International Business Research, Vol. 4, No. 3, pp 108-115.
Romer, David. 2006. Advanced Macroeconomics Third Edition: McGraw-Hill International Edition.
Salomo, Ronny M. dan Pos M. Hutabarat. 2007. Peranan Perdagangan Internasional sebagai salah satu sumber pertumbuhan ekonomi Indonesia. Paper dipresentasikan pada seminar Parallel session IIID FEUI.
Trehan, Bharat dan Carl E. Walsh. 1991. Testing Intertemporal Budget Constraints: Theory and Application to U.S Federal Budget and Current Account. Journal of Money, Credit, and Banking, Vo. 23, No. 2, pp 206-223.
Utkulu, Utku. 1998. Are the Turkish External Deficits Sustainable? Evidence from the Cointegrating relationship between exports and imports. Dergisi, Vol. 13 No. 1, pp 119-132.
http://bisnis.liputan6.com/read/672922/4-paket-lengkap-kebijakan-ekonomi-pemerintah, 28 Agustus 2013.
www.kabarbisnis.com/read/2837033, 26 Februari 2013.
www.neraca.co.id/harian/article/31502/empatdefisitjadikendalaekonominasional, 5 Agustus 2013.
http://www.fiskal.kemenkeu.go.id/2010/Kliping/WartaFiskal/Edisi_3_2012/files/search/searchtext.xml, Maret 2012.
Yin, Fengbao dan Shigeyuki Hamori. 2011.The Sustainability of Trade Balance in China.Economics Bulletin, Vol. 31, No. 3, pp 2090-2097.
Published
2015-03-27
How to Cite
Asmarani, T., & Falianty, T. (2015). THE PERSISTENCY AND THE SUSTAINABILITY OF THE INDONESIA’S CURRENT ACCOUNT DEFICIT. Buletin Ekonomi Moneter Dan Perbankan, 17(3), 315-338. https://doi.org/10.21098/bemp.v17i3.35
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Buletin Ekonomi Moneter dan Perbankan / Bulletin of Monetary Economics and Banking is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
