{"title":"Early Warning to Banking Crises in the Dual Financial\nSystem in Indonesia: The Markov Switching Approach","authors":"Irfan Nurfalah Irfan Nurfalah","doi":"10.4197/islec.31-2.10","DOIUrl":null,"url":null,"abstract":"This research aims at detecting early indicators that cause conventional\nbanking and Islamic banking crises, identifying the longest crisis period for both types\nof banks, and comparing the stability between the two kinds of banks. The method\nused is the Markov Switching Vector Autoregressive (MS-VAR) approach. This study\nuses secondary data obtained from official sources and in monthly form from January\n2004 to March 2017. The results show that Islamic banking is more stable against\ninternal and external shocks than conventional banking. Z-score for Islamic banking is\nhigher (11,933) than the Z-score for conventional banking (11,679). The longest crisis\nperiod for conventional banking was around April 2013 – March 2017 while for\nIslamic banking was around January 2008 – October 2008.","PeriodicalId":39159,"journal":{"name":"Journal of King Abdulaziz University, Islamic Economics","volume":"1 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2018-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of King Abdulaziz University, Islamic Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.4197/islec.31-2.10","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
引用次数: 5
Abstract
This research aims at detecting early indicators that cause conventional
banking and Islamic banking crises, identifying the longest crisis period for both types
of banks, and comparing the stability between the two kinds of banks. The method
used is the Markov Switching Vector Autoregressive (MS-VAR) approach. This study
uses secondary data obtained from official sources and in monthly form from January
2004 to March 2017. The results show that Islamic banking is more stable against
internal and external shocks than conventional banking. Z-score for Islamic banking is
higher (11,933) than the Z-score for conventional banking (11,679). The longest crisis
period for conventional banking was around April 2013 – March 2017 while for
Islamic banking was around January 2008 – October 2008.
期刊介绍：
The aims and scope of the journal include: -To develop the emerging paradigm of Islamic economics on scientific lines through publishing original works in this field that pass its peer review process. -To promote dialogue and discussion on current issues in the fields of Islamic economics and finance among the international community of scholars. -To encourage empirical research on Islamic finance, takaful, zakah, awqaf and other Islamic institutions including case studies from Muslim economies. -Contemporary global economic issues viewed from an Islamic perspective. To publish book reviews of important works published in the field, including books in conventional economics, business and finance having some connection with Islamic economics and/or finance.
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