BibTex Citation Data :
@article{JSMO5575, author = {Nicolaus Christiawan and Erman Arfianto}, title = {INTERBANK CONTAGIOUS: SISTEMIK MARKET RISK KASUS PADA PERBANKAN INDONESIA 2002-2012}, journal = {JURNAL STUDI MANAJEMEN ORGANISASI}, volume = {10}, number = {1}, year = {2013}, keywords = {}, abstract = {Every bank has their eternal risk, which is maturity mismatch. Those risk caused by bank’s business core. The maturity mismatch can cause the bank failure and also can trigger the contagion effect. This study focus on interbank contagion effect problem and potential of systemic risk phenomenon in Indonesia’s banking industry in period 2002-2012. In this case in order to understand the contagion effect and systemic risk potential there are a few analysis’ to test the contagion existence, there are tracking on interbank contagion pattern, measuring the impact of interbank contagion effect on banking industry, measuring respond period of interbank contagion effect. Vector Autoregression are the method that selected in this study to analyze the contagion effect on sample that consist of bank that had 8,9 trillion rupiah minimum total asset in 2011(Indonesian top ten biggest bank on asset). The reason why those ten are being chosen is those ten held 63% of total banking industry asset in Indonesia. In order to describe the interbank contagion effect, financial distress contagion index being used. The index being composed by three variable which are current account in other bank divided by third-party funds ,the difference between fair value of financial asset divided by total asset, difference between foreign exchange transaction divided by total asset. In this VAR Analysis model there are three methods that had selected which are: Granger causality test, VAR analysis, impulse respond function (IRF). Conclusion form this Interbank Contagion: Systemic Market Risk in Indonesian banking Industry 2002-2012 study, there is systemic risk and also contagion risk in Indonesian Banking Industry. This is showed by the provement of all of the hipothesis in data analysis. From the data analysis result, the pattern of contagion effect, size of contagion impact, and quickness of the responses can be showed. However, the impact of systemic crises that may happen is not significant enough to collapsing the whole Indonesia’s banking industry.Keyword: contagion effect, systemic risk, Vector Autoregression (VAR), financial distress contagion}, pages = {38--48} doi = {10.14710/jsmo.v10i1.5575}, url = {https://ejournal.undip.ac.id/index.php/smo/article/view/5575} }
Refworks Citation Data :
Article Metrics:
Last update:
Last update: 2025-07-25 01:53:59
In order to be accepted and published by Jurnal Studi Manajemen Organisasi, the author (s) who submit a manuscript should complete the review process. Jurnal Studi Manajemen Organisasi articles are distributed under a Creative Commons Attribution-ShareAlike 4.0 International License (CC BY-SA 4.0). Articles can be read, shared, and adapted even for commercial purposes under the following conditions:
The copyright of received articles is assigned to the author (s). The author (s) have the right to the articles that have been published. The Editorial Team of Jurnal Studi Manajemen Organisasi and the Author(s) strive to ensure that no errors occur in the articles that have been published, both data errors and statements in the articles. Authors who publish in this journal agree to the following terms:
Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) before and during submission, as it can lead to productive exchanges and earlier and greater citation of published work.
View My Stats
Jurnal Studi Manajemen Organisasi (e-ISSN : 2828-4534) is a scientific journal published by Management Departement Faculty of Economics and Business Diponegoro University under license Creative Commons Attribution-ShareAlike 4.0 International License.