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Mansur, Alfan
Badan Pendidikan dan Pelatihan Keuangan - Kementerian Keuangan Republik Indonesia
Economics, Econometrics & Finance

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Measuring Systemic Risk on the Indonesia’s Banking System Mansur, Alfan
Jurnal Kajian Ekonomi dan Keuangan Vol 2, No 2 (2018)
Publisher : Badan kebijakan Fiskal

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31685/kek.v2i2.325

Abstract

Inter-connectedness is one important aspect in measuring the degree of systemic risk arising in the banking system. In this paper, this aspect besides the degree of commonality and volatility are measured using Principal Component Analysis (PCA), dynamic Granger causality tests and a Markov regime switching model. These measures can be used as leading indicators to detect pressures in the financial system, in particular the banking system. There is evidence that the inter-connectedness level together with degree of commonality and volatility among banks escalate substantially during the financial distress. It implies that less systemically important banks could become more important in the financial system during the abnormal times. Therefore, the list of systemically important banks as regulated in the Law on Prevention and Mitigation of Financial System Crisis (UU PPKSK) should be updated more frequently during the period of financial distress.
The Impact of a Loss of Confidence in Emerging Market Economies to the World Economy: A Simulation with the G-Cubed Model Mansur, Alfan
Jurnal Kajian Ekonomi dan Keuangan Vol 1, No 2 (2017)
Publisher : Badan kebijakan Fiskal

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31685/kek.v1i2.148

Abstract

Risks in emerging market economies have considerably gone up as capital inflows have soared since the global financial crises in 2008. Once the advanced economies recover, especially in the US where its monetary stimulus ends, market expectations change. It may then potentially lead to sudden capital outflows from emerging economies which could lead to loss of confidence in the emerging market economies. To study the impacts of such event, this paper simulates with the G-Cubed Model. The results show that once financial shocks hit emerging market economies, it can produce critical real effects in the economic downturn which will last for a long period. The simulation also shows the strong interdependence between financial and real economies. In the emerging economies, expected future incomes and wealth fall, while the developed economies gain through the reallocation of investment. Another important channel of the shocks is through trade channel as most emerging market economies rely on imports for their production inputs.
Memantau Risiko Makro – Finansial di dalam Perekonomian Indonesia Mansur, Alfan; ., Syaifullah
Jurnal Kajian Ekonomi dan Keuangan Vol 2, No 2 (2018)
Publisher : Badan kebijakan Fiskal

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31685/kek.v2i2.302

Abstract

AbstractTulisan ini mengaplikasikan model MCM Spidergram: Macro Financial Environment Tool (Ms Muffet) yang dikembangkan oleh IMF sebagai alat analisis dan penilaian risiko dan kondisi makro-finansial yang berdampak pada stabilitas sistem keuangan di Indonesia. Model ini dibentuk dari 68 indikator yang digabungkan menjadi 6 indeks gabungan yang merefleksikan 4 risiko dan 2 kondisi makro-finansial. Hasil model dapat menunjukkan performa yang cukup baik dalam memberikan sinyal risiko instabilitas sistem keuangan di Indonesia selama periode 2015-2016. Berdasarkan hal ini, model Ms Muffet ini dapat melengkapi berbagai alat analisis yang digunakan untuk mengukur stabilitas sistem keuangan di Indonesia yang sudah ada. Model ini juga mampu mengatasi sejumlah kekurangan dari model-model pengukuran stabilitas sistem keuangan sebelumnya.
Co-Authors SYAIFULLAH .