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Macroprudential Liquidity Stress Test: Application For Indonesian Banking

Author

Listed:
  • Aditya Anta Taruna
  • Cicilia A. Harun
  • R. Renanda Nattan

Abstract

This paper closes the gap of the need to have a macroprudential liquidity stress test model with consistent macroeconomic scenario and implementation of the propagation and amplification mechanism for Indonesian banking. The model breaks down idiosyncratic, macroeconomic and unknown impact to the liquidity portfolio of banks taking into account the solvency condition. The liquidity stress test should be implemented as a part of the overall macroprudential stress test that measure the systemic risk.

Suggested Citation

  • Aditya Anta Taruna & Cicilia A. Harun & R. Renanda Nattan, 2018. "Macroprudential Liquidity Stress Test: Application For Indonesian Banking," Working Papers WP/29/2018, Bank Indonesia.
    • Handle: RePEc:idn:wpaper:wp292018
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    References listed on IDEAS

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    6. Claudio Borio, 2010. "Ten propositions about liquidity crises," CESifo Economic Studies, CESifo Group, vol. 56(1), pages 70-95, March.
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