Putri Irmala Sari

Type of the article: Research Article

Abstract
Banking systems in emerging economies face mounting exposure to geopolitically induced shocks, yet the precise transmission pathways through which geopolitical disruptions translate into fundamental banking vulnerabilities remain poorly understood, particularly in the ASEAN region. This study examines how geopolitical risk propagates into credit, liquidity, and operational dimensions of banking stability across five major ASEAN economies during the period 2022–2024. Employing a quantitative panel design, the study draws on daily-frequency data from 75 conventional commercial banks operating in Indonesia, Malaysia, Singapore, Thailand, and the Philippines. The analytical framework integrates a newly constructed ASEAN Geopolitical Risk Index derived from text mining and Natural Language Processing applied to over 50,000 regional news articles with Vector Autoregression (VAR) estimation, fixed-effects panel regression, and network-based spillover analysis. Results demonstrate that geopolitical risk exerts a statistically significant positive effect on credit risk (NPL: β = 0.324, p < 0.01) and liquidity risk (LDR: β = 0.287, p < 0.01), while its effect on operational risk (BOPO: β = 0.198, p < 0.05) is heterogeneous across countries. Singapore and Malaysia exhibit superior resilience compared to Indonesia and the Philippines. Network analysis identifies a credit-to-liquidity contagion mechanism with a transmission lag of two to three trading days, and spillover intensity escalates non-linearly with geopolitical stress severity. The study contributes the first region-specific geopolitical risk index for ASEAN, a hybrid VAR-network methodology for systemic risk analysis, and actionable evidence for macroprudential policy design and early warning system development in the region.