Analisis Kekakuan dan Faktor-faktor yang Memengaruhi Tingkat Suku Bunga Perbankan di Indonesia

2013 ◽  
Vol 8 (2) ◽  
pp. 26
Author(s):  
Eko Listiyanto ◽  
Telisa Aulia Falianty
Keyword(s):  
Time Series ◽  
Interest Rate ◽  
Interest Rates ◽  
Error Correction ◽  
Time Series Data ◽  
Error Correction Model ◽  
Least Square ◽  
Capital Adequacy ◽  
Series Data ◽  
Correction Model

<p align="center"><em>ABSTRACT</em></p><p><em>The research discusses the rigidity of interest rates on deposits and loans to changes in interest rate policies in the three groups of banks in Indonesia, and the factors that influence the interest rates on deposits and loans in the banking system. Rigidity of bank interest rates were analyzed with error correction model approach (Error Correction Model / ECM) using panel data. While the factors that influence the development of the banking interest rates were analyzed with multiple linear regression approach method of Generalized Least Square (GLS) using time series data. The period of data used from July 2005-March 2010.</em></p><p><em>Error Correction Model shows the slackness of interest rates response on deposits and loans toward the policy of interest rate. The rigidity of interest rates on deposits and loans in Indonesia is relatively slow when compared to some other countries.</em></p><p><em>Regression results with GLS method proves that the banking efficiency factor, bad credit and market share significantly influence the interest rates on deposits. While the borrowing rate is influenced by the rate of inflation, capital adequacy ratio, as well as bad credit. The results of this study suggest the importance of watching bad credit factors in making monetary policy because it can affect the interest rates on deposits and lending interest rates.  </em></p><p>ABSTRAK</p><p>Penelitian ini membahas kekakuan suku bunga deposito dan pinjaman untuk perubahan kebijakan suku bunga dalam tiga kelompok bank di Indonesia, dan faktor-faktor yang mempengaruhi suku bunga deposito dan pinjaman dalam sistem perbankan. Kekakuan suku bunga perbankan dianalisis dengan pendekatan error correction model (Error Correction Model / ECM) menggunakan data panel. Sedangkan faktor-faktor yang mempengaruhi perkembangan suku bunga perbankan dianalisis dengan metode pendekatan regresi linier berganda dari Generalized Least Square (GLS) dengan menggunakan data time series. Periode data yang digunakan dari Juli 2005-Maret 2010.</p><p>Error Correction Model menunjukkan kelambanan dari suku bunga respon deposito dan pinjaman terhadap kebijakan tingkat suku bunga. Kekakuan suku bunga deposito dan pinjaman di Indonesia relatif lambat jika dibandingkan dengan beberapa negara lain.</p><p>Hasil regresi dengan metode GLS membuktikan bahwa faktor efisiensi perbankan, kredit macet dan pangsa pasar secara signifikan mempengaruhi suku bunga deposito. Sementara tingkat pinjaman dipengaruhi oleh tingkat inflasi, rasio kecukupan modal, serta kredit macet. Hasil penelitian ini menunjukkan pentingnya menonton faktor kredit macet dalam membuat kebijakan moneter karena dapat mempengaruhi suku bunga deposito dan suku bunga kredit.</p>

scholarly journals Analyzing The Macroeconomic and Fundamental Determinants of Non-Performing Financing of Bank Muamalat Indonesia

2020 ◽  
Vol 11 (1) ◽  
pp. 49-78
Author(s):  
Pungky Lela Saputri ◽  
Ratno Agriyanto ◽  
Mujiyono Abdillah
Keyword(s):  
Time Series ◽  
Error Correction ◽  
Time Series Data ◽  
Error Correction Model ◽  
Capital Adequacy ◽  
Series Data ◽  
Islamic Banking ◽  
Correction Model ◽  
Long Run ◽  
Short Run

Abstract: This study analyzes the macroeconomic and fundamentals of Islamic banking factors towards the non-performing financing (NPF) of Bank Muamalat Indonesia in the long run and short-run period 2005-2018. The data used in this study are quarterly time-series data of Bank Muamalat Indonesia Financial Report as the source of fundamentals of Islamic banking data and Bank Indonesia Monetary Policy Review as the source of macroeconomic data period 2005 - 2018. The analytical method used is the Error Correction Model (ECM). This study shows that in the long run, inflation, central bank (Bank Indonesia/BI) Rate, and capital adequacy ratio (CAR) significantly affect the NPF; meanwhile, the financing to deposit (FDR) ratio does not affect NPF. In the short term context, only CAR has a significant effect, yet inflation, BI Rate, and FDR have no significant impact on NPF. Thus, the novelty can present the result of analysis of factors that affect NPF in the long run and short run. The limitation of the study is the use of time-series data that are very likely to spurious regression.Abstrak: Penelitian ini bertujuan untuk menganalisis pengaruh faktor makroekonomi dan fundamental perbankan syariah terhadap NPF Bank Muamalat Indonesia dalam jangka panjang dan jangka pendek periode 2005-2018. Data yang digunakan dalam penelitian ini yaitu data runtun waktu Laporan Keuangan Triwulan Bank Muamalat Indonesia sebagai sumber data fundamental perbankan syariah dan Tinjauan Kebijakan Moneter Bank Indonesia sebagai sumber data makroekonomi periode 2005 – 2018. Faktor makroekonomi diwujudkan dalam variabel Inflasi dan BI Rate. Faktor fundamental perbankan syariah diwujudkan dalam variabel CAR dan FDR. Alat analisis yang digunakan yaitu Error Correction Model (ECM). Hasil analisis menunjukkan dalam jangka panjang Inflasi, BI Rate, dan CAR dengan nilai signifikansi 0.0026, 0.0001, dan 0.0032 berpengaruh signifikan dan FDR dengan nilai signifikansi 0.6940 tidak berpengaruh signifikan terhadap NPF. Dalam jangka pendek hanya CAR dengan nilai signifikansi 0.0056 yang berpengaruh signifikan sedangkan Inflasi, BI Rate, dan FDR dengan nilai signifikansi 0.0666, 0.9532, and 0.2065 berpengaruh tidak signifikan terhadap NPF. Kebaharuan penelitian ini yaitu penelitian ini mampu menyajikan hasil analisis faktor-faktor yang mempengaruhi NPF dalam jangka panjang dan jangka pendek. Meski begitu, terdapat juga limitasi pada penelitian ini yaitu penggunaan data time series yang rawan terkena regresi lancung.

scholarly journals Credit Risk Determinants in Indonesia

2018 ◽  
Vol 1 (2) ◽  
pp. 106-115
Author(s):  
Amin Yusuf Efendi
Keyword(s):  
Time Series ◽  
Interest Rate ◽  
Credit Risk ◽  
Error Correction ◽  
Error Correction Model ◽  
Series Data ◽  
Short Term ◽  
Correction Model ◽  
Spurious Regression

Credit is the main business of the banking industry, therefore, in running the business, the bank is always overshadowed by the credit risk the which can be determined by the ratio of non-performing loans (NPL). The development of technology, finance digital brings the outside could impact on the financial industry both positive and negative. The purpose of this study was to analyze the interest rate, inflation, exchange rates, gross domestic product (GDP), a dummy finance digitalization policies in the long term and the short term of the non-performing loan (NPL) of conventional commercial banks in Indonesia The analytical method used in this research is-EG Error Correction Model (ECM), The Data used in this research is secondary quarterly time series data from the 2008 quarter 1-2017 4. The time series of data are not stationar Often that can cause spurious regression results, the exact models used is-EG Error Correction Model (ECM), This models may explain the behavior of short-term and long-term. The results Showed in the short-term variable interest rates significanly to non-performing loans, while in the long-term variable interest rate, exchange rate, and GDP Significantly, non-performing loans. Kredit merupakan bisnis utama dari industri perbankan, oleh karena itu dalam menjalankan bisnisnya, bank selalu dibayangi oleh risiko kredit yang dapat diketahui melalui rasio non-performing loans (NPL). Perkembangan teknologi, menghadirkan digital finance yang membawa dampak luar bisa terhadap industri keuangan baik positif dan negatif. Tujuan dari penelitian ini adalah untuk menganalisis suku bunga, inflasi, kurs, produk domestik bruto (PDB) dummy kebijakan digitalisasi keuangan dalam jangka panjang dan jangka pendek terhadap non-performing loan (NPL) bank umum konvensional di Indonesia  Metode analisis yang digunakan dalam penelitian ini adalah Error Correction Model-EG (ECM). Data yang digunakan dalam penelitian ini adalah data sekunder runtut waktu kuartalan dari 2008 kuartal 1 – 2017 kuartal 4. Data runtun waktu sering tidak stationar sehingga bisa menyebabkan hasil regresi palsu (spurious regression), Model yang tepat digunakan adalah Error Correction Model-EG (ECM), model ini dapat menjelaskan perilaku jangka pendek dan jangka panjang. Hasil penelitian menunjukkan dalam jangka pendek variabel suku bunga berpengaruh secara signifikan terhadap non performing loan, sedangkan dalam jangka panjang variabel suku bunga, kurs, dan PDB berpengaruh secara signifikan terhadap non perfoming loan.

scholarly journals The Long-Run and Short-Run Impacts of Investment, Export, Money Supply, and Inflation on Economic Growth In Indonesia

2019 ◽  
Vol 22 (1) ◽  
Author(s):  
Erni Panca Kurniasih
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Error Correction ◽  
Money Supply ◽  
Time Series Data ◽  
Error Correction Model ◽  
Series Data ◽  
Correction Model ◽  
Long Run ◽  
Short Term Investment

ABSTRACTThe development of investment and exports in Indonesia shows an increase, as well as money supply, while the inflation rate shows a decline, but this is not always followed by increasing economic growth. This study aims to explain the relationship between investment, export, money supply and inflation with the economic growth in Indonesia. The data used was time series data from the first quarter in 2001 to the fourth quarter in 2014 and was analyzed using multiple regression models with Error Correction Model (ECM) and classical assumptions. The study findings show that in short-term investment, export, money supply and inflation are not significant to economic growth. In long-run, investment has negative and significant effect on the economic growth, while export, money supply and inflation have positive and significant effect on the economic growth in Indonesia. Bank Indonesia must applied a tight money policy consistently to achieve the long-term inflation target ABSTRAKPerkembangan investasi dan ekspor di Indonesia menunjukkan peningkatan, demikian pula jumlah uang beredar, sementara tingkat inflasi menunjukkan penurunan, namun hal tersebut tidak selalu diikuti dengan meningkatnya pertumbuhan ekonomi. Studi ini bertujuan untuk menjelaskan hubungan antara investasi, ekspor neto, jumlah uang beredar dan inflasi terhadap pertumbuhan ekonomi di Indonesia. Data yang digunakan adalah data time series dari kuartal pertama tahun 2001 hingga kuartal keempat tahun 2014 dan dianalisa dengan menggunakan model regresi berganda dengan Error Correction Model (ECM). Hasil studi menunjukkan  bahwa investasi, ekspor, jumlah uang beredar dan inflasi tidak signifikan terhadap pertumbuhan ekonomi di Indonesia dalam jangka pendek. Investasi berpengaruh negatif dan signifikan terhadap pertumbuhan ekonomi di Indonesia dalam jangka panjang, sedangkan ekspor , jumlah uang beredar dan inflasi berpengaruh positif dan  signifikan terhadap pertumbuhan ekonomi di Indonesia. Bank Indonesia harus menerapkan kebijakan moneter yang ketat secara konsisten pada pencapaian sasaran inflasi jangka menenngah 

scholarly journals PROFITABILITY OF ISLAMIC MICROFINANCE IN INDONESIA: DOES THE TYPE OF FINANCING MATTER?

2021 ◽  
Vol 1 (1) ◽  
pp. 31-38
Author(s):  
Chitra Yuliashri Katili ◽  
Rifadli D. Kadir
Keyword(s):  
Time Series ◽  
Error Correction ◽  
Significant Influence ◽  
Time Series Data ◽  
Error Correction Model ◽  
Series Data ◽  
Correction Model ◽  
Islamic Microfinance

This study aims to examine the effect of Inflation Variables, CAR, NPF, Murabahah Financing, Mudharabah Financing, and Musyarakah Financing on the Profitability of Sharia BPRs in Indonesia. This study uses time series data from 2016-2020. The data is processed using the Error Correction Model (ECM). This study concludes that Murabahah Financing Variables have a significant influence and other variables, namely Inflation, CAR, NPF, Mudharabah Financing and Musyarakah Financing have no effect on the Profitability of Sharia BPRs in Indonesia. Thus, the type of financing affects the profitability of Sharia BPR in Indonesia

scholarly journals Analisis Pengeluaran Sektor Pariwisata terhadap Ketimpangan Upah Tenaga Kerja di Indonesia

2019 ◽  
pp. 100-118
Author(s):  
Lalu Muhammad Azmi Prasetya ◽  
M. Pudjihardjo ◽  
Nurul Badriyah
Keyword(s):  
Time Series ◽  
Error Correction ◽  
Wage Inequality ◽  
Foreign Investment ◽  
Time Series Data ◽  
Government Expenditure ◽  
Error Correction Model ◽  
Series Data ◽  
Correction Model ◽  
Foreign Tourist

This study analyses the effect of foreign tourist expenditure, government expenditure and foreign investment on wage inequality between skilled, semi-skilled and unskilled labour in the Indonesian tourism sector. The study uses time series data with a period of 22 years. The method used is Error Correction Model (ECM). The results of this study indicate that foreign tourist expenditure and government expenditure increase inequality in the short term, but in the long run can reduce wage inequality. Meanwhile, foreign investment increases inequality both in the short and long term. ================================ Penelitian ini menganalisis pengaruh pengeluaran wisatawan mancanegara, pengeluaran pemerintah dan investasi asing terhadap ketimpangan upah antara tenaga kerja terampil, semi terampil, dan tidak terampil di sektor pariwisata Indonesia. Penelitian menggunakan data time series dengan periode waktu 22 tahun. Metode yang digunakan adalah Error Correction Model (ECM). Hasil penelitian ini menunjukkan bahwa pengeluaran wisatawan dan pemerintah meningkatkan ketimpangan dalam jangka pendek, namun dalam jangka panjang mampu menurunkan ketimpangan upah. Investasi asing meningkatkan ketimpangan, baik dalam jangka pendek maupun jangka panjang.

scholarly journals Moving forward with time series analysis

2017 ◽  
Vol 4 (4) ◽  
pp. 205316801773223
Author(s):  
Peter K. Enns ◽  
Nathan J. Kelly ◽  
Takaaki Masaki ◽  
Patrick C. Wohlfarth
Keyword(s):  
Time Series ◽  
Time Series Analysis ◽  
Error Correction ◽  
Time Series Data ◽  
Error Correction Model ◽  
Series Data ◽  
Correction Model ◽  
Standard Procedures ◽  
Cointegration Tests ◽  
General Error

In a recent Research and Politics article, we showed that for many types of time series data, concerns about spurious relationships can be overcome by following standard procedures associated with cointegration tests and the general error correction model (GECM). Matthew Lebo and Patrick Kraft (LK) incorrectly argue that our recommended approach will lead researchers to identify false (i.e., spurious) relationships. In this article, we show how LK’s response is incorrect or misleading in multiple ways. Most importantly, when we correct their simulations, their results reinforce our previous findings, highlighting the utility of the GECM when estimated and interpreted correctly.

scholarly journals PENGARUH GUNCANGAN OUTPUT GAP DAN INFLASI TERHADAP SUKU BUNGA SEBAGAI SASARAN OPERASIONAL KEBIJAKAN MONETER DI INDONESIA

2012 ◽  
Vol 1 (2) ◽  
Author(s):  
Utami Baroroh
Keyword(s):  
Time Series ◽  
Interest Rate ◽  
Error Correction ◽  
Time Series Data ◽  
Series Data ◽  
Output Gap ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

The objectives of this study are to observe interest rate response because shock/innovation of inflation and output gap. The data sample used in this study are quarterly time series data from 1983.1 – 2008.4. Those data are SBI interest rate, inflation (CPI) and output gap. A method of analysis in this study is Vector Error Correction Model (VECM). The empirical results of impulse response show that the effect of inflation and output gap shock to interest rate is positifDOI: 10.15408/sjie.v1i2.2601

scholarly journals PENDUGAAN FUNGSI PENAWARAN EKSPOR RUMPUT LAUT INDONESIA DI PASAR INTERNASIONAL Analisis Pendekatan Error Correction Model (ECM)

2017 ◽  
Vol 3 (1) ◽  
pp. 55
Author(s):  
Risna Yusuf ◽  
Tajerin Tajerin
Keyword(s):  
Time Series ◽  
Error Correction ◽  
Time Series Data ◽  
Export Price ◽  
International Market ◽  
Error Correction Model ◽  
Series Data ◽  
Correction Model ◽  
Export Supply ◽  
The Government

Kajian ini bertujuan untuk menduga faktor-faktor yang mempengaruhi penawaran ekspor rumput laut Indonesia di pasar Internasional dengan menggunakan data runut waktu (time series data) tahun 1975 hingga 2005. Pendugaan persamaan penawaran ekspor rumput laut tersebut dilakukan dengan pendekatan metoda koreksi kesalahan (Error Corection Model – ECM). Hasil analisis menunjukkan bahwa penawaran ekspor rumput laut Indonesia ke pasar internasional dipengaruhi oleh produksi, harga ekspor, pendapatan nasional bruto negara mitra dagang, nilai tukar rupiah dan ekspor rumput laut Indenesia tahun lalu dengan arah perubahan yang sama (positif), dan harga domestik dan tingkat suku bunga dengan arah perubahan yang berlawanan (negatif). Oleh karena itu, perlu kesungguhan pemerintah bersama nelayan/pembudidaya & eksportir rumput laut untuk menjaga mutu; dan lebih meningkatkan kerjasama perdagangan dengan negara mitra dagang Indonesia (Importir), demikian juga dengan negara produsen lainnya. Tittle: The Estimation of Indonesian Seaweed Export Supply Function in the International Market : Analysis of Error Correction Model (ECM)The aim of the research was to estimate the factors affecting Indonesian seaweed export supply in international market using secondary time series data from 1975 until 2005. The estimation of supply was done using error correction model (ECM). The results show that export supply of Indonesian seaweed in international markets is affected by production, export price, gross national product, exchange rate, and lagged export of Indonesian seaweed which all have positive signs. On the other hand domestic price and interest rate have negative signs. Therefore, the government, fishers/seaweed farmers and seaweed exporter must pay more attention on seaweed quality and trade cooperation with importer and other producers.

scholarly journals A Study on Estimation and Prediction of Vector Time Series Model Using Financial Big Data (Interest Rates)

2021 ◽  
Vol 12 (5) ◽  
pp. 309-316
Author(s):  
Jae-Hyun Kim, Chang-Ho An
Keyword(s):  
Time Series ◽  
Interest Rate ◽  
Prediction Model ◽  
Interest Rates ◽  
Time Series Data ◽  
Information Criteria ◽  
Series Data ◽  
Call Rate ◽  
Causality Test ◽  
Vector Autoregressive

Due to the global economic downturn, the Korean economy continues to slump. Hereupon the Bank of Korea implemented a monetary policy of cutting the base rate to actively respond to the economic slowdown and low prices. Economists have been trying to predict and analyze interest rate hikes and cuts. Therefore, in this study, a prediction model was estimated and evaluated using vector autoregressive model with time series data of long- and short-term interest rates. The data used for this purpose were call rate (1 day), loan interest rate, and Treasury rate (3 years) between January 2002 and December 2019, which were extracted monthly from the Bank of Korea database and used as variables, and a vector autoregressive (VAR) model was used as a research model. The stationarity test of variables was confirmed by the ADF-unit root test. Bidirectional linear dependency relationship between variables was confirmed by the Granger causality test. For the model identification, AICC, SBC, and HQC statistics, which were the minimum information criteria, were used. The significance of the parameters was confirmed through t-tests, and the fitness of the estimated prediction model was confirmed by the significance test of the cross-correlation matrix and the multivariate Portmanteau test. As a result of predicting call rate, loan interest rate, and Treasury rate using the prediction model presented in this study, it is predicted that interest rates will continue to drop.

scholarly journals Assessment of the Determinants of Balance of Payment in Tanzania

2021 ◽  
Vol 4 (1) ◽  
pp. 62-75
Author(s):  
Magreth Exuper Kingia ◽  
Seif Muba
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Diagnostic Tests ◽  
Time Series Data ◽  
Unit Root Test ◽  
Negative Influence ◽  
Least Square ◽  
Series Data ◽  
Ordinary Least Square Regression ◽  
The Interest Rate

The purpose of the study was to assess the determinants of the balance of payment in Tanzania. The nature of this study was quantitative where secondary time series data covering a period of thirty-one years between 1990 and 2020 were collected. The study performed descriptive statistics and diagnostic tests such as normality test, unit root test for stationarity, Pearson’s Correlation matrix to check if there is a multicollinearity problem in the data. The diagnostic tests revealed that the data bring unbiased results, therefore the ordinary least square regression was performed and we found that foreign direct investment and inflation rate have a negative and significant influence on the balance of payment, whereas exchange rate has a positive and insignificant influence on the balance of payment, and the interest rate has an insignificant negative influence on the balance of payment. Finally, we recommend that a country have to introduce relative prices of imports in order to improve the inflows of FDI in order to have a favourable balance of payment in a country like Tanzania. Also, Tanzania's central bank must be cautious in its monetary policy and take some beneficial steps to regulate the money supply. To attract the new internal investor, it must keep an eye on interest rates and charge a low-interest rate.

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