Data/hora: 11/06/2024 02:46:13

Provedor de dados: 	31	
País: 	United States	
Título: 	DETERMINANTS OF THE FUNDING VOLATILITY OF INDONESIAN BANKS: A DYNAMIC MODEL	
Autores: 	Obben,   James; Nugroho,   Agus Eko.	
Data: 	2005-10-05	
Ano: 	2003	
Palavras-chave: 	Autoregressive distributed lag model; Cointegration; Funding volatility ratio; Systemic liquidity; Financial Economics; C22.	
Resumo: 	Illiquidity is at the core of the various currency and banking/financial crises of the 1990s. In the wake of the Asian crisis of 1997/98 the term "systemic liquidity" has been coined to refer to adequate arrangements and practices which permit efficient liquidity management and which provide a buffer during financial distress. A constructed balance-sheet-based variable that captures the essence of the risk from systemic liquidity is funding volatility ratio, FVR. Using data covering January 1990 to July 2003 and employing cointegration techniques, this study attempts to quantify the purported link between FVR and the measurable determinants of a balanced liquidity infrastructure for Indonesia, the country that suffered the most from the Asian crisis. A good fit is obtained for the dynamic regression model and estimates of short-run and long-run impacts and elasticities are computed. FVR is shown to be increasing in the rupiah-US dollar exchange rate, the Jakarta stock market index, interest rate and the number of banks, and decreasing in capital:asset ratio and foreign liabilities: total asset ratio. The best option for lowering the FVR in the short run is increasing bank capital; over the long term enduring increases in foreign-currency accounts and reduction in the number of banks seem to hold the best prospect for lowering the FVR.	
Tipo: 	Working or Discussion Paper	
Idioma: 	Inglês	
Identificador: 	18023

http://purl.umn.edu/23700	
Editor: 	AgEcon Search	
Relação: 	Massey University&gt;Department of Applied and International Economics&gt;Discussion Papers

Discussion Paper 03.07	
Formato: 	26

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