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Erscheinungsjahr: 
2023
Quellenangabe: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 11 [Issue:] 2 [Article No.:] 2226903 [Year:] 2023 [Pages:] 1-32
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
In this paper, we explore how asset returns used as a proxy to detect interconnectedness of systemic risk in the financial system. Our sample employs a mixture of Indonesian banks' public and prudential data over the 2012-2019 period. Using the Principal Component Analysis and Granger causality the core banks in the network could explain the variance, risk co-movement, and show shocks propagation. Further, the results are also in line with Basel indicator-based to score the interconnectedness. The dominance of big size banks in the centrality measures raises issue of substitutability. This paper outstretched theories and their application provides a basis for policy makers to develop supervision frameworks to mitigate systemic risk.
Schlagwörter: 
Granger causality
interconnectedness
principal component analysis
systemic Risk
JEL: 
G21
G210
G28
G280
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