Research Paper
Year: 2020 | Month: August | Volume: 7 | Issue: 8 | Pages: 137-148
The Liquidity Resilience of Islamic Banking in Indonesia
Susandi1, Noer Azam Achsani1, Rifki Ismal2
1Business School, Institut Pertanian Bogor, Jl. Raya Pajajaran, Bogor 16 151
2University of Indonesia, Jl. Margonda Raya, Pondok Cina, Beji, Depok, 16424
Corresponding Author: Susandi
ABSTRACT
Liquidity has always been one of the most important for banking industry resilience. Due to this importance, a study concerning the factors associated with Financing to Deposit ratio (FDR) needs to be done. This study will be devoted to analyze the structural relationship of internal performance of shariah banking industry indicator such liquid assets to short term funding ratio (STM), non performing financing (NPF), profit and the the external indicators such policy rate (BI rate), inflation, Industrian Production Index (IPI), and exchange rate. The research will try to compare the response or sensitivity of Financing to Deposits ratio to the changes of those indicators.Using monthly data from 2001 to 2015 and conducted using VAR/VECM model, we found that in the long run, the external factor exchange rate and BI rate are the most significantly cointegrated with FDR ratio. In the short run,the movement of FDR itself, NPF BI rate, IPI and Inflation are positively responsed by FDR.On the other hand, the response of FDR to STM, Profit, and exchange rate are negative. Furthermore, using FEVD we found the most contributing in FDR ratio variability is FDR ratio itself and the external indicators side are IPI and exchange rate.
Keywords: FDR Ratio, liquid asset to short term funding (STM), Shariah Banking, VAR/VECM.
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