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印尼银行的比较稳定性分析:伊斯兰和传统行业的马尔科夫切换-动态回归
Imron Mawardi1, Muhammad Ubaidillah Al Mustofa2, Tika Widiastuti1
1Department of Islamic Economics, Faculty of Economics and Business, Universitas Airlangga, Surabaya, Indonesia.
PloS one
|April 18, 2024
概括
印度尼西亚的伊斯兰银行比传统银行更稳定,但在危机期间恢复速度较慢. 较大的银行,无论是伊斯兰银行还是传统银行,都显示出更大的稳定性.
科学领域:
- 银行业和金融稳定 金融稳定
- 金融机构的风险管理
- 经济制度分析 经济制度分析
背景情况:
- 有效的预警系统对于减轻银行业的系统性风险至关重要.
- 了解在经济稳定和危机时期影响银行稳定的因素对于系统弹性至关重要.
- 对伊斯兰和传统银行业的稳定性进行比较分析对于明智的决策至关重要.
研究的目的:
- 对印尼伊斯兰和传统银行的稳定性进行比较分析.
- 确定影响不同经济制度 (危机和稳定) 银行稳定性的因素.
- 加强银行业早期预警系统的发展.
主要方法:
- 分析2007年12月至2022年11月的每月银行业务数据.
- 马尔科夫切换动态回归技术的应用.
- 使用Z-score作为银行稳定的代理进行比较分析.
主要成果:
- 无论是伊斯兰银行还是传统银行,都显示出处于稳定状态的可能性高于处于危机状态的可能性.
- 伊斯兰银行 (ICB,IRB) 与传统银行 (CCB,CRB) 相比,更倾向于稳定.
- 按资产和规模来看,较大的银行比较小的银行具有更高的稳定性.
结论:
- 伊斯兰银行更容易处于稳定时期,但在危机期间恢复的可能性低于传统银行.
- 银行规模是稳定性的重要决定因素,较大的机构更有弹性.
- 这些发现有助于更深入地了解印度尼西亚的银行业动态,并为改进预警系统提供信息.
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