scholarly journals Default Risk on Islamic Banking in Indonesia

2021 ◽  
Vol 24 (1) ◽  
Author(s):  
Budiandru Budiandru
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Default Risk ◽  
Stock Index ◽  
Islamic Banking ◽  
Primary Concern ◽  
Islamic Banks ◽  
Vector Error Correction ◽  
Long Run ◽  
Default Risks

The problem of default by debtors becomes a primary concern for Islamic banking recently. This study analyzes the effect of economic pressure on the risk of default on Islamic banks, both in the short and long term, the risk response of default, and also other variables' contribution in explaining the diversity of risk of default of Islamic banks. This study used monthly data from 2007 to 2020 by using a vector error correction model. The results show that inflation and exchange rates affect the risk of default in the short term, while inflation, exchange rates, and interest rates affect the risk of default in the long run. Non-performing financing quickly stabilized when responding to the interest rates. The Islamic stock index has the most significant contribution in explaining the diversity of default risks. Islamic banks must be aware of the monetary fluctuation and also careful in analyzing the demand for financing by looking at the future economic prospects.

scholarly journals VEC-MSF models in Bayesian analysis of short- and long-run relationships

2017 ◽  
Vol 21 (3) ◽  
Author(s):  
Anna Pajor ◽  
Justyna Wróblewska
Keyword(s):  
Time Series ◽  
Numerical Methods ◽  
Exchange Rates ◽  
Interest Rates ◽  
Stochastic Volatility ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Stochastic Factor ◽  
Polish Economy

AbstractThe paper aims at developing new Bayesian Vector Error Correction – Stochastic Volatility (VEC-SV) models, which combine the VEC representation of a VAR structure with stochastic volatility, represented by either the multiplicative stochastic factor (MSF) process or the MSF-SBEKK specification. Appropriate numerical methods (MCMC-based algorithms) are adapted for estimation and comparison of these type of models. Based on data coming from the Polish economy (time series of unemployment, inflation, interest rates, and of PLN/EUR, PLN/USD and EUR/USD exchange rates) it is shown that the models and numerical methods proposed in our study work well in simultaneous modelling of volatility and long-run relationships.

scholarly journals Analisis Pengaruh Variabel Makroekonomi terhadap Return Saham Syariah Sektor Pertanian yang terdaftar di ISSI Periode 2011-2018

2020 ◽  
Vol 6 (10) ◽  
pp. 1953
Author(s):  
Achmad Kharis ◽  
Imron Mawardi
Keyword(s):  
Exchange Rates ◽  
Agricultural Sector ◽  
Stock Index ◽  
Correction Model ◽  
Vector Error Correction ◽  
Agriculture Sector ◽  
Vector Error ◽  
Long Run ◽  
Analysis Technique ◽  
Research Period

This study aims to determine the effect of GDP, Inflation, SBIS, Exchange Rates against Returns on Sharia Stocks in the Agriculture Sector Listed in the Indonesian Sharia Stock Index (ISSI). The approach used is quantitative by using the Vector Error Correction Model (VECM) analysis technique with the STATA program. While the GDP, Inflation, SBIS, Exchange Rates as independent variables and Returns on Sharia Stocks in the Agriculture Sector Listed in the Indonesian Sharia Stock Index (ISSI) as the dependent variable. The results of this study indicate that in the short term only GDP has a negative and significant effect. Whereas in the long run the GDP has a negative and significant effect, inflation has a positive and significant effect, SBIS has a negative and significant effect, Exchange rates have a positive and significant effect on the return of Agricultural Sector Sharia Shares registered at ISSI on the research period from 2011 to 2018.Keywords: GDP, Inflation, SBIS, Exchange Rates and Returns on Sharia Stocks in the Agriculture Sector Listed in ISSI

scholarly journals DETERMINANT ANALYSIS IN PROPERTY STOCKS INDEX AT INDONESIA STOCK EXCHANGE

2020 ◽  
Vol 2 (2) ◽  
pp. 255-267
Author(s):  
Alfan Samsuar ◽  
Pardomuan Sihombing
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Stock Exchange ◽  
Oil Prices ◽  
Positive Influence ◽  
Stock Index ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Determinant Analysis

This research aims to determine those influence of inflation, interest rates, exchange rates, world oil prices and world gold prices against the property sector stock index which registered In Indonesia Stock Exchange. These population of research were all activities from monthly movement of property sector stock index, inflation, exchange rates, BI interest rates, world oil prices and world gold prices. The sample chosen method by purposive sampling where the researcher gathered its data based on proficiency strategies or personal considerations, selecting data based on these following criteria: 1) Availability of macro economic data that affects shares from property sector during January 2016 to December 2019; and 2) Availability of property stock index data from January 2016 till December 2019. The model used in this research was the Vector Error Correction Model (VECM). With The results showed that: 1) ISP responsiveness to inflation movements where stumbled or shocks that occur on inflation had positive influence towards ISP movements; 2) Responsiveness of ISP to instability or shocks that occur in exchange rates will negatively affect ISP movements; 3) Those responsiveness of ISP to the BI rate movement was responded positively; 4) Based on these results from research conducted, the ISP responded negatively on stumbled or shocks towards oil price movements; and 5) ISP responsiveness to movements or shocks to gold price had been responded positively by the ISP.

scholarly journals ANALISIS INTEGRASI PEMBIAYAAN SEKTOR PERTANIAN DAN NILAI TUKAR PETANI DI INDONESIA

2018 ◽  
Vol 1 (3) ◽  
pp. 108
Author(s):  
Hafiiz Maulana
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Banking Sector ◽  
Agricultural Sector ◽  
Islamic Banking ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Financing Performance

Islamic banking in the context of the agricultural sector has decreased performance in the proportion of financing. The existence of this alleged decline occurred because it was influenced by Farmer Exchange Rate. This study aims to identify the relationship between the financing performance of the Islamic banking sector and the Farmer Exchange Rate in Indonesia. The analysis used the Vector Error Correction (VECM) Model from January 2009 until December 2017. The results of the tests carried out consider the determinants of other variables in the form of non-performing financing and the based credit interest rate. Agricultural sector financing, in the long run, has a significant effect on increasing Farmer Exchange Rate, but this influence is not responsive in the short term. The findings predict that Non-performing financing will reduce the proportion of financing in the agricultural sector to Islamic banks. Determination of Basic Interest Rates Credit is the most responsive variable to changes in the financing of Islamic banking and Farmer Exchange Rates in Indonesia.

Economic Turmoil in Islamic Banking Investment

ETIKONOMI ◽  
2020 ◽  
Vol 19 (2) ◽  
Author(s):  
Budiandru Budiandru ◽  
Sari Yuniarti
Keyword(s):  
Interest Rates ◽  
Stock Price ◽  
Time Series Data ◽  
Series Data ◽  
Islamic Banking ◽  
Vector Error Correction ◽  
Investment Financing ◽  
Vector Error ◽  
Operational Activities

Investment financing is one of the operational activities of Islamic banking to encourage the real sector. This study aims to analyze the effect of economic turmoil on investment financing, analyze the response to investment financing, and analyze each variable's contribution in explaining the diversity of investment financing. This study uses monthly time series data from 2009 to 2020 using the Vector Error Correction Model (VECM) analysis. The results show that the exchange rate, inflation, and interest rates significantly affect Islamic banking investment financing in the long term. The response to investment financing is the fastest to achieve stability when it responds to shocks to the composite stock price index. Inflation is the most significant contribution in explaining diversity in investment financing. Islamic banking should increase the proportion of funding for investment. Customers can have a larger business scale to encourage economic growth, with investment financing increasing.JEL Classification: E22, G11, G24How to Cite:Budiandru., & Yuniarti, S. (2020). Economic Turmoil in Islamic Banking Investment. Etikonomi: Jurnal Ekonomi, 19(2), xx – xx. https://doi.org/10.15408/etk.v19i2.17206.

Determinants of Treasury-LIBOR Swap Spreads

2005 ◽  
Vol 08 (04) ◽  
pp. 687-705 ◽  
Author(s):  
D. K. Malhotra ◽  
Vivek Bhargava ◽  
Mukesh Chaudhry
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Default Risk ◽  
Yield Curve ◽  
Short Term ◽  
Long Run ◽  
Interest Rate Volatility ◽  
Short Run ◽  
Using Data ◽  
Swap Spreads

Using data from the Treasury versus London Interbank Offer Swap Rates (LIBOR) for October 1987 to June 1998, this paper examines the determinants of swap spreads in the Treasury-LIBOR interest rate swap market. This study hypothesizes Treasury-LIBOR swap spreads as a function of the Treasury rate of comparable maturity, the slope of the yield curve, the volatility of short-term interest rates, a proxy for default risk, and liquidity in the swap market. The study finds that, in the long-run, swap spreads are negatively related to the yield curve slope and liquidity in the swap market. We also find that swap spreads are positively related to the short-term interest rate volatility. In the short-run, swap market's response to higher default risk seems to be higher spread between the bid and offer rates.

scholarly journals Profitability Variables and Bank Size Effects on Corporate Zakat: Evidence from Indonesian Islamic Banks

2019 ◽  
Vol 4 (1) ◽  
pp. 55-66
Author(s):  
Muhammad Anif Afandi
Keyword(s):  
Impulse Response Function ◽  
Islamic Banks ◽  
Vector Error Correction ◽  
Independent Variables ◽  
Vector Error ◽  
Long Run ◽  
Short Run ◽  
Operational Activities ◽  
Conventional Banks ◽  
Research Period

Islamic banks carry out their operational activities based on Islamic principles. Thus, they are not only required to pay taxes but also zakat of 2.5 percent with several conditions. Theoretically, zakat has an impact on Islamic banks larger expenditures compared to conventional banks which are not obliged to. This research examines and analyzes the extent to which profitability variables which are ROA, ROE, and BOPO, and bank size which is represented by total assets, can affect corporate zakat expenditure by Islamic Commercial Banks (BUS) in Indonesia. To do so, the Panel Vector Error Correction Model (PVECM) is used to analyze the subject matters which the period covers from 2012 to 2017. This work finds that in the short-run, all the independent variables were insignificant. However, in the long-run only ROE and BOPO which were significant. The results of the Impulse Response Function (IRF) analysis showed that the dependent variable responds to the shock of its independent variables with fluctuating and even negative trend. In addition, the results of Variance Decomposition (VDC) analysis showed that the contribution of profitability variables and bank size tended to decrease toward the formation of corporate zakat expenditure by BUS until the end of the research period. Keywords: Corporate Zakat Expenditure, Islamic Banks, Profitability, Bank Size, PVECM

scholarly journals DETERMINANTS OF SHARIA BANKING MARKET SHARE GROWTH IN INDONESIA

2020 ◽  
Vol 1 (2) ◽  
pp. 87
Author(s):  
Nizar Hosfaikoni Hadi ◽  
Muh. Khairul Fatihin
Keyword(s):  
Interest Rates ◽  
Market Share ◽  
Financial Services ◽  
Research Data ◽  
Islamic Banking ◽  
Islamic Banks ◽  
Profit Rate ◽  
Banking Market ◽  
Banking Markets ◽  
Default Rate

AbstractThe purpose of this paper is to investigate the variables that influence Islamic banking markets in Indonesia. The research data were obtained directly from the website of the Central Statistics Agency (BPS) and the financial services authority(OJK) from 2011-2018 which were taken on a quarterly basis. This study uses multiple regression analysis to analyze the factors that have an impact on the market share of Islamic banks in Indonesia. The variable that can affect Islamic banking marketshare in Indonesia is the liquidity ratio (FDR). While other variables such as the default rate (NPF), profit rate (ROA), economic growth (GDP) and conventional bank interest rates (INT) do not affect Islamic banking. The results suggest that Islamic banking regulates liquidity ratios (FDR) so that Islamic banking can effectively increase its market. This study complements previous research so that Islamic banking maintains a liquidity ratio in order to remain balanced.Keywords: marketshare, Islamic banking, FDR, GDP, ROA

scholarly journals Analysis of Internal and External Determinant Variables towards Profitability of Islamic Banking in Indonesia (2014-2020)

2021 ◽  
Vol 4 (1) ◽  
pp. 18-34
Author(s):  
Febri Ramadhani ◽  
Muhammad Rizkan
Keyword(s):  
Negative Relationship ◽  
Banking System ◽  
Islamic Banking ◽  
Correction Model ◽  
Factors Affecting ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Short Run ◽  
Relationship Of

Indonesia is a country that adheres to a dual banking system, namely conventional and Islamic Banking. The growth rate of Islamic banking in the last three years is higher than conventional banking. However, in total assets, Islamic banking is still far behind conventional banking. Therefore, it is necessary to study further the performance of Islamic banking reflected in its profitability. So, it becomes an alternative input in determining Islamic banking policies. This study aims to know the factors affecting the profitability (ROA) of Islamic Banking in Indonesia. The data used are the 2014-2020 monthly data in the amount of 79 data. The method used in this study is a Vector Error Correction Model (VECM) to determine the effect of long-run and short-run relationships. The results of the study showed that the long-run relationship of the NPF variable affected and was significant positive toward ROA, CAR affected and was significant negative toward ROA, while the inflation variable had a negative relationship and not significant toward ROA. The results of the short-run relationships showed that the NPF and CAR variables positively affected ROA, while the inflation variable did not significantly affect the ROA.

Macroeconomic shocks, fragility and home financing in Malaysia: can rental index be the answer?

2018 ◽  
Vol 9 (1) ◽  
pp. 17-44 ◽  
Author(s):  
Rosylin Mohd Yusof ◽  
Farrell Hazsan Usman ◽  
Akhmad Affandi Mahfudz ◽  
Ahmad Suki Arif
Keyword(s):  
Interest Rates ◽  
Islamic Banks ◽  
Macroeconomic Shocks ◽  
Content Type ◽  
Long Run ◽  
Short Run ◽  
Rental Rate ◽  
Conventional Banks ◽  
The Impact ◽  
Conventional And Islamic Banks

Purpose This study aims to investigate the interactions among macroeconomic variable shocks, banking fragility and home financing provided by conventional and Islamic banks in Malaysia. Identifying the causes of financial instability and the effects of macroeconomic shocks can help to foil the onset of future financial turbulence. Design/methodology/approach The autoregressive distributed lag bound-testing cointegration approach, impulse response functions (IRFs) and forecast error variance decomposition are used in this study to unravel the long-run and short-run dynamics among the selected macroeconomic variables and amount of home financing offered by both conventional and Islamic banks. In addition, the study uses Granger causality tests to investigate the short-run causalities among the selected variables to further understand the impact of one macroeconomic shock to Islamic and conventional home financing. Findings This study provides evidence that macroeconomic shocks have different long-run and short-run effects on amount of home financing offered by conventional and Islamic banks. Both in the long run and short run, home financing provided by Islamic banks is more linked to real sector economy and thus is more stable as compared to home financing provided by conventional banks. The Granger causality test reveals that only gross domestic product (GDP), Kuala Lumpur Syariah Index (KLSI)/Kuala Lumpur Composite Index (KLCI) and house price index (HPI) are found to have a statistically significant causal relationship with home financing offered by both conventional and Islamic banks. Unlike the case of Islamic banks, conventional home financing is found to have a unidirectional causality with interest rates. Research limitations/implications This study has focused on analyzing the macroeconomic shocks on home financing. However, this study does not assess the impact of financial deregulation and enhanced information technology on amount of financing offered by both conventional and Islamic banks. In addition, it is not within the ambit of this present study to examine the effects of agency costs and information asymmetry. Practical implications The analysis of cointegration and IRFs exhibits that in the long run and short run, home financing provided by Islamic banks are more linked to real sector economy like GDP and House Prices (HPI) and therefore more resilient to economic vulnerabilities as compared to home financing provided by conventional banks. However, in the long run, both conventional and Islamic banks are more susceptible to fluctuations in interest rates. The results of the study suggest that monetary policy ramifications to improve banking fragility should focus on stabilizing interest rates or finding an alternative that is free from interest. Social implications Because interest plays a significant role in pricing of home loans, the potential of an alternative such as rental rate is therefore timely and worth the effort to investigate further. Therefore, Islamic banks can explore the possibility of pricing home financing based on rental rate as proposed in this study. Originality/value This paper examines the unresolved issues in Islamic home financing where Islamic banks still benchmark their products especially home financing, to interest rates in dual banking system such as in the case of Malaysia. To the best of the authors’ knowledge, studies conducted in this area are meager and therefore is imperative to be examined.

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