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Volume 10
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10.3390/risks10090174
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Article

Macroeconomics of Systemic Risk: Transmission Channels and Technical Integration

by
Mohamad Rizan
1,
Muhammad Zulkifli Salim
2,3,*,
Saparuddin Mukhtar
1 and
Kevin Daly
2
1
Faculty of Economcis, State University of Jakarta, East Jakarta 13220, Indonesia
2
School of Business, Western Sydney University, Penrith, NSW 2151, Australia
3
Department of Banking Research and Regulation, Financial Services Authority, Jakarta 10710, Indonesia
*
Author to whom correspondence should be addressed.
Risks 2022, 10(9), 174; https://doi.org/10.3390/risks10090174
Submission received: 1 June 2022 / Revised: 9 August 2022 / Accepted: 19 August 2022 / Published: 1 September 2022
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Abstract

The avenue to find a balanced assessment of systemic financial institutions needs the integration of macro and micro granular datasets. This paper investigates how macroeconomic shocks affect systemic risk through several transmission channels. Employing Indonesia datasets over 2008–2019, we regressed three market models: CoVaR, MES, and SRISK using fixed effect, random effect, GARCH(1,1), and finite mixture models. The findings show that stock beta, market index, and exchange rate volatility amplify the systemic risk while the liquidity spread outcome varies due to different of model variables and the deepness of the country’s financial market. We propose a practical systemic risk assessment framework and samples of technical integration to capture the overall risk endogenously and externally expose the systemically important financial institutions.
Keywords: systemic risk; interconnectedness; financial crises; macroeconomics; market model systemic risk; interconnectedness; financial crises; macroeconomics; market model

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MDPI and ACS Style

Rizan, M.; Salim, M.Z.; Mukhtar, S.; Daly, K. Macroeconomics of Systemic Risk: Transmission Channels and Technical Integration. Risks 2022, 10, 174. https://doi.org/10.3390/risks10090174

AMA Style

Rizan M, Salim MZ, Mukhtar S, Daly K. Macroeconomics of Systemic Risk: Transmission Channels and Technical Integration. Risks. 2022; 10(9):174. https://doi.org/10.3390/risks10090174

Chicago/Turabian Style

Rizan, Mohamad, Muhammad Zulkifli Salim, Saparuddin Mukhtar, and Kevin Daly. 2022. "Macroeconomics of Systemic Risk: Transmission Channels and Technical Integration" Risks 10, no. 9: 174. https://doi.org/10.3390/risks10090174

APA Style

Rizan, M., Salim, M. Z., Mukhtar, S., & Daly, K. (2022). Macroeconomics of Systemic Risk: Transmission Channels and Technical Integration. Risks, 10(9), 174. https://doi.org/10.3390/risks10090174

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