KAJIAN INDIKATOR PERINGATAN DINI BANK RUNS DI INDONESIA: PENDEKATAN MARKOV-SWITCHING
Abstract
A run on a particular bank can lead to a banking crisis if it spreads to other banks (contagious effect). In the case of Indonesia, bank runs have also reoccurred time and again. In 1992, bank runs affected several national banks, subsequently precipitating the liquidation of one bank. Then in 1997/1998, bank runs developed into the worst banking crisis ever witnessed in the banking history of Indonesia. Considering the extent of losses attributable to bank runs and the banking crisis, extensive studies on the early warning indicators of bank runs are urgently required to prevent future bank runs and banking
crises. This paper aims to comprehensively analyse the early warning indicators of bank runs for all banks in Indonesia, both during the sample period of 1990-2005 as well as during the banking crisis in 1997-1998. The study of early warning indicators of bank runs uses the Markov-Switching model. To calculate the transition probability from a tranquil state to a state of bank run uses the Markov-Switching process through an auto-regressive approach. The change in deposits held at each bank is used as a variable of bank runs. The results of Markov-Switching (MS) show that the MS model is robust as an early warning indicator of bank runs. This is reflected by testing, which was performed on the actual incident of 102 banks, showing that the MS model only produced false signals an estimated 0.69% - 2.08% of the time.
Keywords: Bank Runs, Early Warning Indicators, Markov-Switching
JEL Classification: C22, G21
Downloads
Download data is not yet available.
References
Bank Indonesia, 1997 - 2007, Bank Indonesia Annual Report.
______, 2008, “Indonesian Financial System: 10 years after crisis.” DPNP Bank Indonesia working paper.
Beck, Thorsten; Demirguc-Kunt, Asli dan Levine, Ross. “Bank Concentration and Crises.” NBER Working Paper Series, WP No. 9921, Agustus 2003.
Bryant, John. “Bank Collapse and Depression” Journal of Money, Credit and Banking, Vol. 13, No. 4 (Nov., 1981), pp. 454-464.
Calomiris, Charles W. “Bank Failures in Theory and History: The Great Depression and Other ‘Contagious’ Events.” NBER Working Paper Series, No. WP 13597, November 2007.
Caprio, Gerrar, James A. Hanson dan Robert E. Litan. Financial Crises: Lessons from the Past, Preparation for the Future. Brookings Institution Press, Washington, D.C. 2005.
Catalan, Mario. “Endogenous Bank Runs.” UCLA, Oktober 2000.
Demirguc-Kunt, Asli dan Detragiache, Enrica, 1999, “Monitoring Banking Sector Fragility: A Multivariate Logit Approach.” IMF Working Paper, No. WP/99/147, Oktober.
______, 2005, “Cross-Country Empirical Studies of Systemic Bank Distress: A Survey.” Maret.
Diamond, Douglas W. “Debt Maturity Structure and Liquidity Risk.” The Quaterly Journal of Economics, August 1991, 106(3), pp. 709-737.
______, dan Philip H. Dybvig, “Bank Runs, Deposit Insurance, and Liquidity.” Journal of Political Economy, June 1983, 91(3), pp. 401-419.
______, dan Raghuram G Rajan. “Liquidity Shortages and Banking Crises.” NBER Working Paper Series, WP No. 10071, Oktober 2003.
Eichengreen, Barry dan Arteta C., 2000, “Banking Crises in Emerging Markets: Presumptions and Evidence”. Centre for International Development and Economics Research Working Paper, C00-115, August.
Freixas, Xavier dan Jean-Charles Rochet. “Microeconomics of Banking”. The MIT Press, 2002.
Freixas, Xavier, Bruno M. Parigi, dan Jean-Charles Rochet. “Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank” Journal of Money, Credit and Banking, Vol. 32, No. 3, Part 2: What Should Central Banks Do? (Aug., 2000), pp. 611-638.
Frydl, Edward J. “The Length and Cost of Banking Crises.” IMF Working Paper, No. WP/99/30, March 1999.
Garcia-Herrero, Alicia. “Banking Crises in Latin America in the 1990s: Lessons from Argentina, Paraguay, and Venezuela.” IMF Working Paper, No. WP/97/140, October 1997.
Ghysels, Eric, Robert E. McCulloch, and Ruey S. Tsay, “Bayesian Inference for Periodic Regime- Switching Models”, Journal of Applied Econometrics, Vol. 13, No. 2 (Mar. - Apr., 1998), 129-143.
Goldstein, Morris, dan Philip Turner.
“Banking Crises in Emerging Economies: Origins and Policy Options” Bank for International Settlements Economic Papers, No. 46 - October 1996
Goldstein, Morris, Graciela L. Kaminsky, and Carmen M. Reinhart. Assessing Financial Vulnerability : An Early Warning System for Emerging Markets. Institute for International Economics, Washington, DC. June 2000.
Gonzalez-Hermosillo, Brenda, 1999, “Determinants of Ex-Ante Banking System Distress: A Macro-Micro Empirical Exploration of Some Recent Episodes.” IMF Working Paper, No. WP/99/33, March.
Gorton, G. “Banking Panics and Business Cycles”, Oxford Economic Papers, 40, pp. 751-781, 1988.
Hamilton, James D. “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle”. Econometrica, Vol. 57, No. 2 (Mar., 1989), 357-384.
______, 1990, “Analysis of Time Series Subject to Changes in Regime”. Journal of Econometrics 45 , hal 39-70.
______. Time Series Analysis. Princeton University Press, Princeton, New Jersey, 1994.
______. dan R. Susmel. “Autoregressive Conditional Heteroscedasticity and Changes in Regime,”Journal of Econometrics (64), 1994, pp.307-333.
Hanson, James A. “Postcrisis Challenges and Risks in East Asia and Latin America: Where They Go from Here?”, dalam Financial Crises: Lessons form the Past, Preparation for the Future, editors Gerrard Caprio, James A. Hanson, dan Robert E. Litan, 2005.
Hardy, Daniel C. And Ceyla Pazarba_ilu. “Leading Indicators of Banking Crises: Was Asia Different?”. IMF Working Paper, WP/98/91, 1998.
______. “Determinants and Leading Indicators of Banking Crises: Further Evidence.” IMF Staff Papers, Vol. 46, 3 (September/Desember 1999), pp. 247-258.
Ho, Thomas dan Saunders, Anthony. “A Catastrophe Model of Bank Failure.” The Journal of Finance, Vol. 35, Issue 5 (Desember 1980), pp. 1189-1207.
Hoelscher, David S. And Marc Quintyn. “Managing Systemic Banking Crises”, IMF Occasional Paper No. 224, International Monetary Fund, Washington DC, 2003.
Honohan, Patrick. “Banking System Failures in Developing and Transition Countries: Diagnosis and Prediction”. BIS Working Papers, No. 39.
______, dan Luc Laeven. Sistemic Financial Crises: Containment and Resolution. Cambridge University Press, 2005.
Kaminsky, Graciela L.,1999, “Currency and Banking Crises: The Early Warnings of Distress.” IMF Working Paper, No. WP/99/178, Desember.
______, and Carmen M. Reinhart, 1998, “Financial Crises in Asia and Latin America: Then and Now” The American Economic Review, Vol. 88, No. 2, Papers and Proceedings of the Hundred and Tenth Annual Meeting of the American Economic Association (May), pp. 444-448
______, dan Reinhart, Carmen M., 1999, “The Twin Crises: The Causes of Banking and Balance- Of-Payments Problems.” The American Economic Review, Vol. 89, No. 3 (Juni), pp. 473 - 500.
Kaufman, George G., 1988, “Bank Runs: Causes, Benefits and Costs.” Cato Journal 2, no. 3 (Winter): 559-88.
Kindleberger, C. P. Manias,1978, Panics and Crashes. Basic Books, New York.
Krolzig, Hans-Martin. Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis. Springer, 1997.
Latter, Tony. “The Causes and Management of Banking Crises.” Handbooks in Central Banking, No. 12, Bank of England, July 1997.
Lindgren, Carl-Johan, Garcia, Gillian, Garcia dan Saal, Matthew, 1996, I.”Bank Soundness and Macroeconomic Policy.” IMF.
Meyer, Paul A. dan Pifer, Howard W. “Prediction of Bank Failures.” The Journal of Finance, Vol. 25, 4 (September 1970), hal. 853-868.
Minsky, Hyman.
“A Theory of System Fragility”, dalam Edward Altman dan Arnold Sametz (ed.), Financial Crises: Institutions and Markets in a Fragile Financial Environment, New York: Wiley-Interscience, 1977.
Mishkin, Frederic S. “Understanding Financial Crises: A Developing Country Perspective.” NBER Working Paper Series, No. WP 5600, Mei 1996.
______. The Economics of Money, Banking, and Financial Markets. Sixth Edition, 2001, Addison- Wesley.
Montes-Negret, Fernando dan Muller, Thomas. “Banking System Crises and Recovery in the Transition Economies of Europe and Central Asia: An Overview.” in Caprio, Gerard; Hanson, James A.; dan Litan, Robert A. Financial Crises: Lessons from the Past, Preparation for the Future, 2005.
Nagayasu, Jun. “Currency Crisis and Contagion: Evidence from Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand” IMF Working Paper, WP/00/39.
Norden, Simon Van, “Regime Switching as a Test for Exchange Rate Bubbles”, Journal of Applied Econometrics, Vol. 11, No. 3 (May - Jun., 1996), 219-251.
Pangestu, Mari dan Habir, Manggi.
“The Boom, Bust, and Restructuring of Indonesian Banks.” IMF Working Paper, No. WP/02/66, April 2002.
Peck, James, and Karl Shell.
“Bank Portfolio Restrictions and Equilibrium Bank Runs” Journal of Economic Literature, July 29,1999.
______. “Equilibrium Bank Runs” Journal of Political Economy, 2003, vol. 111, No. 1. The University of Chicago
Rigobon, Roberto. “On the Measurement of the International Propagation of Shocks: is the Transmission Stable?” Journal of International Economics. 1 October 2002. Elsevier B.V.
Summers, Lawrence H. “International Financial Crises: Causes, Prevention, and Cures” The American Economic Review, Vol. 90, No.2, Papers and Proceedings of the One Hundred Twelfth Annual Meeting of the American Economic Association (May, 2000), pp. 1-16.
Sundararajan, V. And Tomas J.T. Balino (Edited). Banking Crises: Cases and Issues. International Monetary Fund, 1998.
Warjiyo, Perry, 2001, “Bank Failure Management: The Case of Indonesia” APEC Policy Dialogue on Bank Failure Management Paper, Mexico, June 7-8
______, 2008, “Indonesian Financial System: 10 years after crisis.” DPNP Bank Indonesia working paper.
Beck, Thorsten; Demirguc-Kunt, Asli dan Levine, Ross. “Bank Concentration and Crises.” NBER Working Paper Series, WP No. 9921, Agustus 2003.
Bryant, John. “Bank Collapse and Depression” Journal of Money, Credit and Banking, Vol. 13, No. 4 (Nov., 1981), pp. 454-464.
Calomiris, Charles W. “Bank Failures in Theory and History: The Great Depression and Other ‘Contagious’ Events.” NBER Working Paper Series, No. WP 13597, November 2007.
Caprio, Gerrar, James A. Hanson dan Robert E. Litan. Financial Crises: Lessons from the Past, Preparation for the Future. Brookings Institution Press, Washington, D.C. 2005.
Catalan, Mario. “Endogenous Bank Runs.” UCLA, Oktober 2000.
Demirguc-Kunt, Asli dan Detragiache, Enrica, 1999, “Monitoring Banking Sector Fragility: A Multivariate Logit Approach.” IMF Working Paper, No. WP/99/147, Oktober.
______, 2005, “Cross-Country Empirical Studies of Systemic Bank Distress: A Survey.” Maret.
Diamond, Douglas W. “Debt Maturity Structure and Liquidity Risk.” The Quaterly Journal of Economics, August 1991, 106(3), pp. 709-737.
______, dan Philip H. Dybvig, “Bank Runs, Deposit Insurance, and Liquidity.” Journal of Political Economy, June 1983, 91(3), pp. 401-419.
______, dan Raghuram G Rajan. “Liquidity Shortages and Banking Crises.” NBER Working Paper Series, WP No. 10071, Oktober 2003.
Eichengreen, Barry dan Arteta C., 2000, “Banking Crises in Emerging Markets: Presumptions and Evidence”. Centre for International Development and Economics Research Working Paper, C00-115, August.
Freixas, Xavier dan Jean-Charles Rochet. “Microeconomics of Banking”. The MIT Press, 2002.
Freixas, Xavier, Bruno M. Parigi, dan Jean-Charles Rochet. “Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank” Journal of Money, Credit and Banking, Vol. 32, No. 3, Part 2: What Should Central Banks Do? (Aug., 2000), pp. 611-638.
Frydl, Edward J. “The Length and Cost of Banking Crises.” IMF Working Paper, No. WP/99/30, March 1999.
Garcia-Herrero, Alicia. “Banking Crises in Latin America in the 1990s: Lessons from Argentina, Paraguay, and Venezuela.” IMF Working Paper, No. WP/97/140, October 1997.
Ghysels, Eric, Robert E. McCulloch, and Ruey S. Tsay, “Bayesian Inference for Periodic Regime- Switching Models”, Journal of Applied Econometrics, Vol. 13, No. 2 (Mar. - Apr., 1998), 129-143.
Goldstein, Morris, dan Philip Turner.
“Banking Crises in Emerging Economies: Origins and Policy Options” Bank for International Settlements Economic Papers, No. 46 - October 1996
Goldstein, Morris, Graciela L. Kaminsky, and Carmen M. Reinhart. Assessing Financial Vulnerability : An Early Warning System for Emerging Markets. Institute for International Economics, Washington, DC. June 2000.
Gonzalez-Hermosillo, Brenda, 1999, “Determinants of Ex-Ante Banking System Distress: A Macro-Micro Empirical Exploration of Some Recent Episodes.” IMF Working Paper, No. WP/99/33, March.
Gorton, G. “Banking Panics and Business Cycles”, Oxford Economic Papers, 40, pp. 751-781, 1988.
Hamilton, James D. “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle”. Econometrica, Vol. 57, No. 2 (Mar., 1989), 357-384.
______, 1990, “Analysis of Time Series Subject to Changes in Regime”. Journal of Econometrics 45 , hal 39-70.
______. Time Series Analysis. Princeton University Press, Princeton, New Jersey, 1994.
______. dan R. Susmel. “Autoregressive Conditional Heteroscedasticity and Changes in Regime,”Journal of Econometrics (64), 1994, pp.307-333.
Hanson, James A. “Postcrisis Challenges and Risks in East Asia and Latin America: Where They Go from Here?”, dalam Financial Crises: Lessons form the Past, Preparation for the Future, editors Gerrard Caprio, James A. Hanson, dan Robert E. Litan, 2005.
Hardy, Daniel C. And Ceyla Pazarba_ilu. “Leading Indicators of Banking Crises: Was Asia Different?”. IMF Working Paper, WP/98/91, 1998.
______. “Determinants and Leading Indicators of Banking Crises: Further Evidence.” IMF Staff Papers, Vol. 46, 3 (September/Desember 1999), pp. 247-258.
Ho, Thomas dan Saunders, Anthony. “A Catastrophe Model of Bank Failure.” The Journal of Finance, Vol. 35, Issue 5 (Desember 1980), pp. 1189-1207.
Hoelscher, David S. And Marc Quintyn. “Managing Systemic Banking Crises”, IMF Occasional Paper No. 224, International Monetary Fund, Washington DC, 2003.
Honohan, Patrick. “Banking System Failures in Developing and Transition Countries: Diagnosis and Prediction”. BIS Working Papers, No. 39.
______, dan Luc Laeven. Sistemic Financial Crises: Containment and Resolution. Cambridge University Press, 2005.
Kaminsky, Graciela L.,1999, “Currency and Banking Crises: The Early Warnings of Distress.” IMF Working Paper, No. WP/99/178, Desember.
______, and Carmen M. Reinhart, 1998, “Financial Crises in Asia and Latin America: Then and Now” The American Economic Review, Vol. 88, No. 2, Papers and Proceedings of the Hundred and Tenth Annual Meeting of the American Economic Association (May), pp. 444-448
______, dan Reinhart, Carmen M., 1999, “The Twin Crises: The Causes of Banking and Balance- Of-Payments Problems.” The American Economic Review, Vol. 89, No. 3 (Juni), pp. 473 - 500.
Kaufman, George G., 1988, “Bank Runs: Causes, Benefits and Costs.” Cato Journal 2, no. 3 (Winter): 559-88.
Kindleberger, C. P. Manias,1978, Panics and Crashes. Basic Books, New York.
Krolzig, Hans-Martin. Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis. Springer, 1997.
Latter, Tony. “The Causes and Management of Banking Crises.” Handbooks in Central Banking, No. 12, Bank of England, July 1997.
Lindgren, Carl-Johan, Garcia, Gillian, Garcia dan Saal, Matthew, 1996, I.”Bank Soundness and Macroeconomic Policy.” IMF.
Meyer, Paul A. dan Pifer, Howard W. “Prediction of Bank Failures.” The Journal of Finance, Vol. 25, 4 (September 1970), hal. 853-868.
Minsky, Hyman.
“A Theory of System Fragility”, dalam Edward Altman dan Arnold Sametz (ed.), Financial Crises: Institutions and Markets in a Fragile Financial Environment, New York: Wiley-Interscience, 1977.
Mishkin, Frederic S. “Understanding Financial Crises: A Developing Country Perspective.” NBER Working Paper Series, No. WP 5600, Mei 1996.
______. The Economics of Money, Banking, and Financial Markets. Sixth Edition, 2001, Addison- Wesley.
Montes-Negret, Fernando dan Muller, Thomas. “Banking System Crises and Recovery in the Transition Economies of Europe and Central Asia: An Overview.” in Caprio, Gerard; Hanson, James A.; dan Litan, Robert A. Financial Crises: Lessons from the Past, Preparation for the Future, 2005.
Nagayasu, Jun. “Currency Crisis and Contagion: Evidence from Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand” IMF Working Paper, WP/00/39.
Norden, Simon Van, “Regime Switching as a Test for Exchange Rate Bubbles”, Journal of Applied Econometrics, Vol. 11, No. 3 (May - Jun., 1996), 219-251.
Pangestu, Mari dan Habir, Manggi.
“The Boom, Bust, and Restructuring of Indonesian Banks.” IMF Working Paper, No. WP/02/66, April 2002.
Peck, James, and Karl Shell.
“Bank Portfolio Restrictions and Equilibrium Bank Runs” Journal of Economic Literature, July 29,1999.
______. “Equilibrium Bank Runs” Journal of Political Economy, 2003, vol. 111, No. 1. The University of Chicago
Rigobon, Roberto. “On the Measurement of the International Propagation of Shocks: is the Transmission Stable?” Journal of International Economics. 1 October 2002. Elsevier B.V.
Summers, Lawrence H. “International Financial Crises: Causes, Prevention, and Cures” The American Economic Review, Vol. 90, No.2, Papers and Proceedings of the One Hundred Twelfth Annual Meeting of the American Economic Association (May, 2000), pp. 1-16.
Sundararajan, V. And Tomas J.T. Balino (Edited). Banking Crises: Cases and Issues. International Monetary Fund, 1998.
Warjiyo, Perry, 2001, “Bank Failure Management: The Case of Indonesia” APEC Policy Dialogue on Bank Failure Management Paper, Mexico, June 7-8
Published
2012-10-03
How to Cite
Simorangkir, I. (2012). KAJIAN INDIKATOR PERINGATAN DINI BANK RUNS DI INDONESIA: PENDEKATAN MARKOV-SWITCHING. Buletin Ekonomi Moneter Dan Perbankan, 15(1), 3-37. https://doi.org/10.21098/bemp.v15i1.55
Issue
Section
Articles
Buletin Ekonomi Moneter dan Perbankan / Bulletin of Monetary Economics and Banking is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
