Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/303961 
Year of Publication: 
2023
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 11 [Issue:] 1 [Article No.:] 2172803 [Year:] 2023 [Pages:] 1-21
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
The study examines the stability of Indonesian Islamic Commercial Bank (ICB) and Islamic Rural Bank (IRB) by employing a Markov Switching Dynamic model of two regimes, stable (tranquil) and unstable (crisis). This study utilizes monthly data between December 2007 and April 2022. Findings show that both ICB and IRB have greater probabilities of remaining in the tranquil regime compared to the period of crisis. Even though ICB Z-scores have a wider range of volatility than IRB Z-scores, the ICB has been shown to recover from crises faster than the IRB. The differences in characteristics between ICB and IRB, as well as swings in the Z-score, do not provide resilience benefits. Thus, both ICB and IRB are equally vulnerable to the crisis. This study's findings could be used to generate policy for the relevant stakeholders of Islamic banking industries.
Subjects: 
bank vulnerability
early warning system
Islamic banking
Markov Switching
Z-score
JEL: 
G21
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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