scholarly journals ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI LIKUIDITAS BANK SYARIAH DI INDONESIA MENGGUNAKAN METODE VECTOR ERROR CORRECTION MODEL (VECM)

2019 ◽  
Vol 4 (2) ◽  
pp. 117
Author(s):  
AYIF FATHURRAHMAN ◽  
FIRSHA RUSDI
Keyword(s):  
Interest Rates ◽  
Capital Adequacy ◽  
Return On Assets ◽  
Internal Factors ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Capital Adequacy Ratio ◽  
Positive Effect

This study aims to analyze the factors that affect the liquidity of Islamic banks in Indonesia. The analysis is carried out using sequential monthly data published by Bank Indonesia in the period 2010 to 2018. The variables used are internal factors (Capital Adequacy Ratio (CAR), Return On Assets (ROA)) and external factors (SBI Inflation and Interest Rates) ) The method used in this study is the Vector Error Corection Model (VECM). Based on the results of the study show that in the short term, the variable CAR, ROA, Inflation and SBI interest rates positively and significantly affect FDR. Whereas in the long term, the CAR variable and inflation have a significant positive effect on FDR, the ROA variable negatively influences FDR. And the variable SBI interest rate does not have a significant effect on FDR.

scholarly journals Error Correction Model Analysis in Measuring the Effect of Bank Internal Factors on Mudharabah Deposits for Islamic Commercial Banks

2021 ◽  
Vol 1 (2) ◽  
pp. 109-118
Author(s):  
Yudhistira Ardana ◽  
Nur Syamsiyah ◽  
Misfi Laili Rohmi ◽  
Lilis Renfiana
Keyword(s):  
Error Correction ◽  
Commercial Banks ◽  
Error Correction Model ◽  
Capital Adequacy ◽  
Return On Assets ◽  
Internal Factors ◽  
Correction Model ◽  
Capital Adequacy Ratio ◽  
Short And Long Term

Islamic bank products to raise public funds can be in the form of demand deposits (wadiah), savings (mudharabah), and deposits (mudharabah). One of the profit-sharing rates in Islamic banks comes from internal factors, namely Return on Assets, Capital Adequacy Ratio, Financing to Deposit Ratio, and Operational Expenses Operating Costs. This study will examine the effect of bank internal factors on mudharabah deposits of Islamic commercial banks using an econometric model, namely the error correction model. Findings. The results showed that the bank's internal variables had a significant effect on mudharabah deposits both in the short and long term. Variables Return on Assets, Capital Adequacy Ratio, and Operational Expenses Operational costs both short and long term have a negative effect on mudharabah deposits.

scholarly journals PENGARUH NON PERFORMING FINANCING, CAPITAL ADEQUACY RATIO, BEBAN OPERASIONAL PENDAPATAN OPERASIONAL DAN NET IMBALAN TERHADAP RETURN ON ASSETS (STUDI PADA BANK MAYBANK SYARIAH PERIODE 2012-2019)

2021 ◽  
Vol 1 (1) ◽  
pp. 78-93
Author(s):  
Lely Awintasari ◽  
Maulida Nurhidayati
Keyword(s):  
Error Correction ◽  
Error Correction Model ◽  
Capital Adequacy ◽  
Short Term ◽  
Return On Assets ◽  
Correction Model ◽  
Long Run ◽  
Capital Adequacy Ratio ◽  
Short And Long Term

The purpose of this study is to analyze the influence of Non Performing Financing (NPF), Capital Adequacy Ratio (CAR), Operating Expenses operating income (BOPO) and Net Rewards (NI) ratio on Return On Assets of Maybank Syariah Bank. A bank's Return on Assets (ROA) is a ratio that shows the bank's success in making a profit. If the ROA obtained by a small bank as a result of the bank can suffer losses and hinder the growth of the bank. This research is a type of quantitative research with Error Correction Model method with a significance rate of 5%, with a total of 32 samples in the form of quarterly data published by Bank Maybank Syariah in 2012-2019. The findings in this study are that NPF negatively affects ROA in the short term but NPF has no effect on ROA in the long run. CAR has no effect on ROA in the short term but CAR has a positive effect on ROA in the long run. BOPO in the short and long term negatively affects ROA. NI in the short and long term has no effect on ROA. Simultaneously NPF, CAR, BOPO and NI both short-term and long-term affect ROA simultaneously. The amount of influence exerted in the short term is 89.20% while in the long term it is 88.57%. In order to increase ROA, Maybank Syariah Bank as much as possible to reduce the percentage of NPF and BOPO and can increase the CAR owned. Tujuan penelitian ini adalah untuk menganalisis pengaruh rasio kuangan Non Performing Financing (NPF), Capital Adequacy Ratio (CAR), Beban Operasional Pendapatan Operasional (BOPO) dan Net Imbalan (NI) terhadap  Return On Assets Bank Maybank Syariah. Return on Assets (ROA) suatu bank merupakan rasio yang menunjukkan keberhasilan bank dalam menghasilkan keuntungan. Apabila ROA yang diperoleh bank kecil akibatnya bank dapat mengalami kerugian serta menghambat pertumbuhan bank tersebut. Penelitian ini berjenis penelitian kuantitatif dengan metode Error Correction Model dengan tingkat signifikansi 5%, dengan jumlah sampel sebanyak 32 yang berupa data triwulan yang dipublikasikan oleh Bank Maybank Syariah tahun 2012-2019. Temuan pada penelitian ini adalah NPF berpengaruh negatif pada ROA dalam jangka pendek tetapi NPF tidak berpengaruh pada ROA dalam jangka panjang. CAR tidak berpengaruh pada ROA pada jangka pendek namun CAR berpengaruh positif terhadap ROA dalam jangka panjang. BOPO dalam jangka pendek maupun jangka panjang berpengaruh negatif pada ROA. NI dalam jangka pendek maupun jangka panjang tidak berpengaruh pada ROA. Secara simultan NPF, CAR, BOPO dan NI baik jangka pendek maupun jangka panjang berpengaruh terhadap ROA secara simultan. Besarnya pengaruh yang diberikan pada jangka pendek adalah 89,20% sedangkan pada jangka panjang sebesar 88,57%. Untuk dapat meningkatkan ROA, Bank Maybank Syariah sebisa mungkin untuk menurunkan persentase NPF dan BOPO serta dapat meningkatkan CAR yang dimiliki.

scholarly journals Impact of Macro Economy on Financial Stability in Malaysia

SPLASH Magz ◽  
2021 ◽  
Vol 1 (2) ◽  
pp. 48-55
Author(s):  
Bambang Hadi Prabowo ◽  
◽  
Maria Garcia ◽  
Keyword(s):  
Interest Rates ◽  
Financial Stability ◽  
Short Term ◽  
Macroeconomic Factors ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Specific Factors ◽  
Bank Specific Factors

Research studies the influence of macroeconomic factors (inflation, exchange rates, and interest rates) and bank-specific factors (credit) on Non-Performing Loans (NPLs) in Malaysia for the period 2015 to 2018. This study uses the Vector Error Correction Model (VECM) to determine the effect of variables. independent consisting of macroeconomic factors and bank-specific factors. Based on the VECM estimation results, three variables that have a positive and significant effect on long-term NPL are credit, inflation and interest rates. Meanwhile, in the short term, there are only two variables that have a positive and significant effect on NPL, namely credit and interest rates. Inflation and exchange rate variables have a negative and insignificant effect on NPL in the short term.

scholarly journals BANK INTERNAL FACTORS AND PROFIT DISTRIBUTION MANAGEMENT OF SYARIAH BANKS IN INDONESIA

1970 ◽  
Vol 18 (1) ◽  
pp. 19-34
Author(s):  
Mismiwati Mismiwati
Keyword(s):  
Profit Sharing ◽  
Capital Adequacy ◽  
Return On Assets ◽  
Internal Factors ◽  
Distribution Management ◽  
Purposive Sampling ◽  
Profit Distribution ◽  
Capital Adequacy Ratio ◽  
Negative Effect ◽  
Positive Effect

AbstractThe purpose of this study is to analyze the effect of Capital Adequacy Ratio (CAR), Operation Efficiency (BOPO), Financing to Deposit Ratio (FDR), Proportion of Depositor’s Funding (PDPK), Purchase Financing (PJB), Profit Sharing Financing (PBH) and Return On Assets (ROA) to Profit Distribution Management (PDM) in Islamic banks in Indonesia. The sample determined by using purposive sampling based on Indonesia Syariah Bank for period of 2009-2013. The population in this research is 11 Syariah Banks, which 5 Syariah Banks are chosen based on purposive sampling. For analysis the data, multiple regression analysis with IBM SPSS. The result of the research shown that internal bank factors (BOPO and PBH) give positive effect to PDM, the internal bank factors (FDR and PDPK) give negative effect to PDM, while internal bank factors (CAR and PJB) do not affect to PDM. ROA gives positive effect on PDM. Keywords  : CAR, BOPO, FDR, PDPK, PJB, PBH, ROA, PDM.

scholarly journals Analisis Kredit UMKM di Provinsi Aceh: Analisis Empiris Vector Error Correction Model (VECM)

2020 ◽  
Vol 4 (1) ◽  
pp. 59
Author(s):  
Hamdani Hamdani ◽  
Ismail Ismail ◽  
Thasrif Murhadi
Keyword(s):  
Interest Rates ◽  
Error Correction ◽  
Error Correction Model ◽  
Domestic Product ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Aceh Province

The purpose of this study was to determine the effect of regional gross domestic product, non-performing loans, and loan interest rates on credit absorption by SMEs in Aceh province in the long term. The data used is secondary data in the form of a quarter 1st quarter 1995 to third quarter 2015. The model used in this study is a model of Vector Error Correction Model (VECM) to find out the results of short-term estimates, and using Johansen cointegration test to determine the relationship long-term between variables. The data used in this study has been tested with Augmented Dickey Fuller (ADF) to determine the stationary data. Based on this study it was found that in the long term there is a cointegration relationship between the variables studied. In the short term, the variables affecting the gross regional domestic product and has a one-way relationship with SME loans while variable interest rates have a causal relationship with SME loans in Aceh province, while the NPL variable does not have a causal relationship with SME loans. Keywords: SME Loans, Gross Domestic Product, Non Performimg Loan, Interest Rates, Vector Error Correction Model (VECM).

scholarly journals ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI PENYALURAN KREDIT BANK UMUM MILIK NEGARA PERIODE TAHUN 2004 - 2012

2017 ◽  
Vol 19 (3) ◽  
pp. 398
Author(s):  
Renaldo Prima Sutikno ◽  
Hermanto Siregar ◽  
Muhammad Firdaus
Keyword(s):  
Financial Crisis ◽  
Error Correction ◽  
Error Correction Model ◽  
Capital Adequacy ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Capital Adequacy Ratio ◽  
Lending Activity

Krisis keuangan global yang terjadi menjelang akhir tahun 2008 berdampak terhadap industri perbankan di Indonesia. Krisis keuangan ikut berperan dalam melambatnya pertumbuhan aktivitas penyaluran kredit perbankan. Tujuan dari penelitian ini adalah untuk mengetahui faktor-faktor yang dominan dalam mempengaruhi aktivitas penyaluran kredit pada bank-bank BUMN dan merumuskan strategi untuk meningkatkan penyaluran kredit bagi setiap bank-bank BUMN. Metode yang digunakan dalam penelitian ini adalah Vector Error Correction Model (VECM). Variabel mikro keuangan yang diteliti dalam penelitian ini adalah Dana Pihak Ketiga (DPK), Capital Adequacy Ratio (CAR), Non Performing Loan (NPL), dan Loan to Deposit Ratio (LDR). Variabel makroekonomi yang diteliti dalam penelitian ini adalah BI Rate, Nilai Tukar, dan Produk Domestik Bruto (PDB). Hasil penelitian ini menunjukkan bahwa hanya beberapa variabel yang memiliki kontribusi yang signifikan dari masing-masing bank dalam jangka panjang, yaitu DPK pada Bank Mandiri, NPL pada Bank BRI dan Bank BTN, dan PDB pada Bank BNI dan Bank BCA. Setelah mengetahui faktor-faktor dominan tersebut, maka masing-masing bank dapat memilih strategi untuk memberikan hadiah promosi dan cash back dalam periode tertentu, melakukan verifikasi data kredit dengan menggunakan four eyes principles, dan melakukan ekspansi pasar pada daerah potensial.The global financial crisis that occurred towards the end of 2008 have many impact on the banking industry in Indonesia. Financial crisis also had a role in slowing the growth of credit lending activity. The purpose of this study was to describe the most dominant factors that affect lending activity at the government banks and to formulate strategies to increase lending activity by each government bank. The methods used in this research were Vector Error Correction Model (VECM). Micro-financial variables examined in this study were Third Party Fund (DPK), Capital Adequacy Ratio (CAR), Non Performing Loan (NPL), and Loan to Deposit Ratio (LDR). The macroeconomic variables examined in this study were BI Rate, Exchange Rate, and Gross Domestic Product (PDB). The result of this research indicated that only a few variables that have a significant contribution of each bank in the long run are DPK on Bank Mandiri, NPL on Bank BRI and Bank BTN, and PDB on Bank BNI and Bank BCA. After knowing that dominant factors, each bank can raise capital by giving promotional gifts and cash back in certain periods, verifying credit data by using four eyes principles, doing market expansion in the potential region.

scholarly journals PENGARUH EKSPOR HASIL MINYAK DAN IMPOR MINYAK BUMI TERHADAP PERTUMBUHAN EKONOMI DI INDONESIA

2021 ◽  
Vol 10 (1) ◽  
pp. 23
Author(s):  
Fadila Arza ◽  
Murtala Murtala
Keyword(s):  
Economic Growth ◽  
Secondary Data ◽  
Vector Error Correction Model ◽  
Short Term ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
The Relationship ◽  
Positive Effect

This study aims to analyze the effect of oil product exports and petroleum imports on the economic growth of Indonesia. This study uses secondary data. The method used to analyze the relationship between endogenous and exogenous variables is a dynamic model with the Vector Error Correction Model (VECM) approach. The results in the long-term and short-term show that Oil Products Exports have a positive effect on the Economic Growth of Indonesia. In the long-term and short-term, petroleum imports negatively influence the economic growth of Indonesia.Keywords:Oil Product Exports, Crude Oil Imports, Economic Growth

scholarly journals MARKET DICIPLINE DAN REGULASI PENJAMINAN SIMPANAN BANK DI INDONESIA

2017 ◽  
Vol 20 (3) ◽  
Author(s):  
Rahmat Setiawan ◽  
I Made Sudana
Keyword(s):  
Interest Rates ◽  
Market Discipline ◽  
Capital Adequacy ◽  
Return On Assets ◽  
Bank Deposits ◽  
Management Quality ◽  
Capital Adequacy Ratio ◽  
The Moment ◽  
Asset Quality ◽  
Positive Effect

This research aims to find out the effect of fundamental factors bank as measured using the CAMEL ratio to changes the amount of deposits and interest rates. CAMEL ratios consists of capital as measured by capital adequacy ratio (CAR), asset quality as measured by non performing loan (NPL), management quality as measured by non-interest expenditures to total assets (NIETA), earnings as measured by return on assets (ROA), liquidity as measured by cash to assets (CTA). Research conducted in Indonesia is also used to find out if there are differences in the behavior of market discipline at the time of a full guarantee, Rp. 100 million guarantee, and Rp 2 billion guarantee. The results showed while guaranteeing full there was no fundamental factors influential to changes in bank deposits and interest rates, while the granting of Rp. 100 million CAR and CTA have significant positive effect to changes deposits and significant negatife to interest rates, and than NIETA has significant negative to changes deposits and significant positive to interest rates, Rp 2 billion guarantee CAR and ROA have positive effect to changes in deposits and significant negative to interest rates. Market discipline occurs at the time of the granting of Rp 2 billion and is increasing at the moment of granting decrase to Rp. 100 million, indicated by number of variables that has a significant effect to changes in deposit and interest rate. whereas when full guarantee market discipline does not occur.

scholarly journals ANALISIS DINAMIKA KESEJAHTERAAN PETANI DI PROVINSI JAWA TIMUR

2017 ◽  
Vol 5 (2) ◽  
pp. 222
Author(s):  
Nurisqi Amalia ◽  
Anisa Nurpita
Keyword(s):  
Interest Rates ◽  
Price Change ◽  
Considerable Proportion ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
The Interest Rate ◽  
Long Term Impact

East Java province has the largest rice field in Indonesia. East Java can contribute to improving economic growth and reducing poverty. Farmers Exchange Rate (NTP) is one indicator determinant of farmers welfare. NTP is formed from a price index related to inflation, where inflation is also formed from a price change. This study aims to analyze the dynamics of farmer’s welfare in East Java Province observed through quarterly data from 2006 quarter 2 to 2015 quarter 4 with the Vector Error Correction Model (VECM) Method. The results of this study indicate that inflation has the largest proportion and long-term impact in affecting NTP. The interest rate is a variable that affects the NTP with a considerable proportion when compared with the GRDP. Just like inflation, credit interest rates (IR) affect NTP in the long run. Meanwhile, PDRB is the only variable affecting NTP in the short term.

scholarly journals An Assessment of House Loans Cointegration with Macro Variables in Selected Euro Zone Countries

Ekonomika ◽  
2020 ◽  
Vol 99 (2) ◽  
pp. 39-58
Author(s):  
Kazys Kupčinskas ◽  
Arvydas Paškevičius
Keyword(s):  
Interest Rates ◽  
Correction Model ◽  
Monthly Data ◽  
Vector Error Correction ◽  
Vector Error ◽  
Time Period ◽  
Long Time ◽  
Macro Variables ◽  
The Relationship

This paper performs an empirical study on house loans, interest rates, unemployment, and house rent prices relationship in Germany, France, Spain and Italy from the year 2003 to 2018. We look for the cointegration and causality relationship between the house loans and macro variables with the help of the Vector error correction model (VECM) and Granger causality methods. We investigate whether variables with monthly data explain better the relationship and causal effects between the variables. We find a long term cointegrating relationship between the real house loans and interest rates, unemployment and house rent prices for France, Spain, and Italy, but not for Germany. On average the equilibrium in house loan development is reached from 4 to 8 years, meaning that long term equilibrium exists, but the variables reach it in a rather long time period. The ECB deposit facility rate included as an exogenous variable in four countries gained no significant power in explaining the short term changes of house loans in any of the country. We reveal a complex interaction between the bank’s credits and unemployment, interest rates, house rental prices in the paper. 

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