Analyzing a macroprudential instrument during the COVID-19 pandemic using border collision bifurcation

Monch. Fandi Ansori; Novriana Sumarti; Kuntjoro Adji Sidarto; Iman Gunadi

doi:10.24310/recta.22.2.2021.19881

Autores/as

Monch. Fandi Ansori Bandung Institute of Technology
Novriana Sumarti Bandung Institute of Technology
Kuntjoro Adji Sidarto Bandung Institute of Technology
Iman Gunadi Bank Indonesia Institute

DOI:

https://doi.org/10.24310/recta.22.2.2021.19881

Palabras clave:

Macroprudential policy, Loan dynamics, Border collision bifurcation, COVID-19

Resumen

Bank Indonesia, el banco central de Indonesia, ha realizado ajustes en un instrumento de política macroprudencial llamado índice de intermediación macroprudencial (IIM) para impulsar el crecimiento de los préstamos en el contexto de la recuperación económica nacional debido a la pandemia de COVID-19. En este artículo, se desarrolla un modelo dinámico de préstamo bancario con comportamiento procíclico, y se equipa con el instrumento predecesor del IIM denominado requerimiento de reserva basado en la relación préstamo-depósito (RR-RPD). Examinamos los efectos de los parámetros RR-RPD en la dinámica del préstamo utilizando el análisis de bifurcación de colisión de fronteras para determinar los valores umbral de los parámetros RR-RPD para que se pueda mantener la estabilidad del equilibrio del préstamo. Este modelo se aplica a los datos mensuales de los bancos comerciales de Indonesia antes y durante la pandemia de COVID-19 para evaluar la región de estabilidad de los parámetros del instrumento.

Descargas

Los datos de descarga aún no están disponibles.

Referencias

Ansori, M. F. (2021). Mathematical Model and Its Application for Analyzing Macroprudential Instrument in the Banking Industry. PhD Thesis, Institut Teknologi Bandung. (in Indonesian)

Ansori, M. F., Sidarto, K. A., & Sumarti, N. (2019a). Logistic models of deposit and loan between two banks with saving and debt transfer factors. AIP Conference Proceedings, 2192, 060002.

https://doi.org/10.1063/1.5139148 DOI: https://doi.org/10.1063/1.5139148

Ansori, M. F., Sidarto, K. A., & Sumarti, N. (2019b). Model of deposit and loan of a bank using spiral optimization algorithm. J. Indones. Math. Soc., 25(3), 292- 301.

https://doi.org/10.22342/jims.25.3.826.292-301 DOI: https://doi.org/10.22342/jims.25.3.826.292-301

Ansori, M. F., Sidarto, K. A., Sumarti, N., & Gunadi, I. (2021a). Dynamics of Bank's Balance Sheet: A System of Deterministic and Stochastic Differential Equations Approach. International Journal of Mathematics and Computer Science, 16(3), 871-884.

Ansori, M. F., Sumarti, N., Sidarto, K. A., & Gunadi, I. (2021b). An algorithm for simulating the banking network system and its application for analyzing macroprudential policy. Computer Research and Modeling, 13(6), 1275-1289.

https://doi.org/10.20537/2076-7633-2021-13-6-1275-1289 DOI: https://doi.org/10.20537/2076-7633-2021-13-6-1275-1289

Bank Indonesia (2021). Instrumen Kebijakan Makroprudensial. Accessed in August 25, 2021 from https://www.bi.go.id/id/fungsi-utama/stabilitas-sistem-keuangan/instrumenmakroprudensial/default.aspx.

Bank Indonesia Press Conference (2021). Lampiran 1 Siaran Pers Bank Indonesia No. 23/68/DKom Penguatan Kebijakan Rasio Intermediasi Makroprudensial dan Rasio Intermediasi Makroprudensial Syariah (RIM/RIMS).

Bank Indonesia Regulation (2019). Peraturan Bank Indonesia No. 21/12/PBI/2019 tentang Perubahan atas Peraturan Bank Indonesia No. 20/4/PBI/2018 tentang Rasio Intermediasi Makroprudensial dan Penyangga Likuiditas Makroprudensial bagi Bank Umum Konvensional, Bank Umum Syariah, dan Unit Usaha Syariah.

Bathaluddin, M. B., Adhi, N. M., & Wahyu, A. W. (2012). Dampak persistensi ekses likuiditas terhadap kebijakan moneter. Buletin Ekonomi Moneter dan Perbankan, 257-282.

https://doi.org/10.21098/bemp.v14i3.359 DOI: https://doi.org/10.21098/bemp.v14i3.359

Bischi, G.-I., Chiarella, C., Kopel, M., & Szidarovszky, F. (2010). Nonlinear Oligopolies: Stability and Bifurcations. Springer-Verlag, Berlin.

https://doi.org/10.1007/978-3-642-02106-0 DOI: https://doi.org/10.1007/978-3-642-02106-0

Brianzoni, S. & Campisi, G. (2021). Dynamical analysis of a banking duopoly model with capital regulation and asymmetric costs. Discrete and Continuous Dynamical Systems - B.

https://doi.org/10.3934/dcdsb.2021116 DOI: https://doi.org/10.3934/dcdsb.2021116

Elsadany, A. A. (2010). Dynamics of a delayed duopoly game with bounded rationality. Mathematical and Computer Modelling, 52(9-10), 1479-1489.

https://doi.org/10.1016/j.mcm.2010.06.011 DOI: https://doi.org/10.1016/j.mcm.2010.06.011

Elsadany, A. A. (2017). Dynamics of a Cournot duopoly game with bounded rationality based on relative profit maximization. Applied Mathematics and Computation, 294, 253-263.

https://doi.org/10.1016/j.amc.2016.09.018 DOI: https://doi.org/10.1016/j.amc.2016.09.018

Fanti, L. (2014). The dynamics of a banking duopoly with capital regulations. Economic Modelling, 37, 340-349.

https://doi.org/10.1016/j.econmod.2013.11.010 DOI: https://doi.org/10.1016/j.econmod.2013.11.010

Freixas, X. & Rochet, J. (2008). Microeconomics of Banking, Edisi Kedua. MIT Press, Masachusetts.

Governors Board of Bank Indonesia Regulation (2021). Peraturan Anggota Dewan Gubernur No. 23/7/PADG/2021 tentang Perubahan Ketuga atas Peraturan Anggota Dewan Gubernur No. 21/22/PADG/2019 tentang Rasio Intermediasi Makroprudensial dan Penyangga Likuiditas Makroprudensial bagi Bank Umum Konvensional, Bank Umum Syariah, dan Unit Usaha Syariah.

Gunadi, I. & Harun, C. A. (2011). Revitalising reserve requirement in banking model: An industrial organisation approach. SEACEN Occasional Papers, (51).

Josaphat, B. P., Ansori, M. F., & Syuhada, K. (2021). On Optimization of Copula-based Extended Tail

Value-at-Risk and Its Application in Energy Risk. IEEE Access. doi: 10.1109/ACCESS.2021.3106715.

https://doi.org/10.1109/ACCESS.2021.3106715 DOI: https://doi.org/10.1109/ACCESS.2021.3106715

Kahou, M. E. & Lehar, A. (2017). Macroprudential policy: A review. Journal of Financial Stability, 29, 92-105.

https://doi.org/10.1016/j.jfs.2016.12.005 DOI: https://doi.org/10.1016/j.jfs.2016.12.005

Klein, M. A. (1971). A theory of banking firm. Journal of Money, Loan, and Banking, 3, 205-218.

https://doi.org/10.2307/1991279 DOI: https://doi.org/10.2307/1991279

Monti, M. (1972). Deposit, loan, and interest rates determination under alternative objective functions, in Szego, G. P. and Shell, K., eds. Mathematical methods in investment and finance, Amsterdam.

Otoritas Jasa Keuangan (2021). Statistik Perbankan Indonesia. Retrieved from https://www.ojk.go.id/id/kanal/perbankan/data-dan-statistik/statistik-perbankanindonesia/Default.aspx (accessed August 22, 2021).

Satria, D., Harun, C. A., & Taruna, A. (2015). The macro-prudential aspects of loan-to-deposit-ratio-linked reserve requirement. Applied Economics, 48(1), 24-34.

https://doi.org/10.1080/00036846.2015.1073840 DOI: https://doi.org/10.1080/00036846.2015.1073840

Sidarto, K. A. & Kania, A. (2015). Finding all solutions of systems of nonlinear equations using spiral dynamics optimization with clustering. J. of Advanced Computational Intelligence and Intelligence Informatics (JACIII), 19(5), 697- 707.

https://doi.org/10.20965/jaciii.2015.p0697 DOI: https://doi.org/10.20965/jaciii.2015.p0697

Sumarti, N., & Gunadi, I. (2013). Reserve Requirement Analysis using a Dynamical System of a Bank based on Monti-Klein model of Bank's Profit Function, arXiv.org.

Sumarti, N., Nurfitriyana, R., & Nurwenda, W. (2014). A Dinamical System of Deposit and Loan Volumes based on the Lotka-Volterra Model, AIP Conference Proceedings 1587, 92.

https://doi.org/10.1063/1.4866541 DOI: https://doi.org/10.1063/1.4866541

Sumarti, N., Fadhlurrahman, A., Widyani, H., & Gunadi, I. (2018). The dynamical system of the deposit and loan volumes of a commercial bank containing interbank lending and saving factors. Southeast Asian Bulletin of Mathematics, 42, 757-772.

Tamura, K. & Yasuda, K. (2011). Spiral dynamics inspired optimization. J. of Advanced Computational Intelligence and Intelligence Informatics (JACIII), 15(8), 1116-1122.

https://doi.org/10.20965/jaciii.2011.p1116 DOI: https://doi.org/10.20965/jaciii.2011.p1116

Wijayanti, R., Adhi, N. M., & Harun, C. A. (2020). Effectiveness of macroprudential policies and their interaction with monetary policy in Indonesia. BIS Paper, (110), 31-50.

Wong, C. H. (2011). Border Collision Bifurcations in Piecewise Smooth Systems. PhD thesis, The University of Manchester.