Suku Bunga Penjaminan dan Imbal Bagi Hasil (Yield Rates) Deposito Mudharabah: Peran Likuiditas Sebagai Pemoderasi
Abstract
This study aims to analyze the effect of the deposit insurance interest rate on the yield rates of mudharabah deposits at Islamic commercial banks in Indonesia. Bank liquidity was positioned as a moderating variable. Using monthly time-series data over January 2015 -March 2021, sourced from finance statistical reports published by the Financial Services Authority (OJK) and the Indonesian Deposit Insurance Corporation (LPS). The analytical model applied comprises simple linear regression and moderated regression analysis (MRA) which is then estimated using the Ordinary Least Square (OLS) approach. The study pointed out that the deposit insurance interest rate has a positive and significant effect on the yield rates of mudharabah deposits. Sharia commercial banks responded to the increase in deposit insurance interest rates by increasing the deposit yield rates. Bank liquidity does not significantly affect yield rates, except for time deposits over 12 months, but this variable moderates the effect of the deposit insurance interest rate on yield rates for time deposits of 1 month, 6 months, and > 12 months. The moderating effect is negative, such as reducing the positive impact of deposit insurance interest rate on the yield rates of the three category of time deposits.
Keywords
Full Text:
PDFReferences
Anginer, Deniz and Demirgüç-Kunt, Asli and Zhu, Min, 2012. How Does Bank Competition Affect Systemic Stability?. World Bank Policy Research Working Paper No. 5981.
Bikker, J. A., & Gerritsen, D. F. 2017. Determinants of Interest Rates on Time Deposits and Savings Accounts: Macro Factors, Bank Risk, and Account Features. International Review of Finance, 18(2), 169–216. doi:10.1111/irfi.12143
BIS, 2008, Principles for Sound Liquidity Risk Management and Supervision
Cahyani, P. D., & Saepudin, E. 2015. Analisis kinerja keuangan dan prediksi tingkat kesehatan bank pada berbagai bank umum syariah devisa di Indonesia (dengan pendekatan PBI NO.9/1/PBI/2007). Islamadina, 14(1), 49-70.
De Graeve, F., De Jonghe, O., & Vennet, R. V. 2007. Competition, transmission and bank pricing policies: Evidence from Belgian loan and deposit markets. Journal of Banking & Finance, 31(1), 259–278. doi:10.1016/j.jbankfin.2006.03.
Demirgüç-Kunt, A., & Huizinga, H. 2004. Market discipline and deposit insurance. Journal of Monetary Economics, 51(2), 375–399. doi:10.1016/j.jmoneco.2003.04.
Demirgüç-Kunt, A., Kane, E., & Laeven, L. 2015. Deposit insurance around the world: A comprehensive analysis and database. Journal of Financial Stability, 20, 155–183. doi:10.1016/j.jfs.2015.08.005
Fairchild, A. J., & MacKinnon, D. P. 2008. A General Model for Testing Mediation and Moderation Effects. Prevention Science, 10(2), 87–99. doi:10.1007/s11121-008-0109-6.
Gambacorta, L. 2008. How do Banks Set Interest Rates?, European Economic Review, 52, 792–819.
Gersbach, H., & Wenzelburger, J., (2001). The dynamics of deposit insurance and the consumption trap. Working paper series No. 509. CESifo.
Hwang, D.-Y., Lee, C. F., & Liaw, K. T. 1997. Forecasting bank failures and deposit insurance premium. International Review of Economics & Finance, 6(3), 317–334. doi:10.1016/s1059-0560(97)90041.
Li, G., & Shaffer, S. 2015. Reciprocal brokered deposits, bank risk, and recent deposit insurance policy. The North American Journal of Economics and Finance, 33, 366–384. doi:10.1016/j.najef.2015.07.001
Ngalawa, H., Tchana, F. T., & Viegi, N. 2016. Banking instability and deposit insurance: the role of moral hazard. Journal of Applied Economics, 19(2), 323–350. doi:10.1016/s1514-0326(16)30013
Pattipeilohy, C. 2013. Spaarrentes en het depositofinancieringsgat (In Dutch; ‘Savings Interest Rates and the Savings Funding Gap’), Economisch-Statistische Berichten, 98, 298–300
Pennacchi, G. 2006. Deposit insurance, bank regulation, and financial system risks. Journal of Monetary Economics, 53(1), 1–30. doi:10.1016/j.jmoneco.2005.10.0
Preacher, K. J., Rucker, D. D., & Hayes, A. F. 2007. Addressing Moderated Mediation Hypotheses: Theory, Methods, and Prescriptions. Multivariate Behavioral Research, 42(1), 185–227. doi:10.1080/00273170701341316.
Raj, J., & John, J. 2020. Steering interest rates amidst large structural surplus liquidity: a tale of three central banks. Indian Economic Review 55, 93–116 https://doi.org/10.1007/s41775-020-00084-4
Siddiqui, A. 1992. The liquidity effect of money on short term interest rates: The New Zealand experience. New Zealand Economic Papers, 26(2), 177–197. doi:10.1080/00779959209544190
Silva Faia, V. D., & Vieira, V. A. 2018. Two-way and three-way moderating effecs in regression analysis and interactive plots. Rev. Adm. UFSM, Santa Maria, 11(4), 961-979. DOI: 10.5902/19834659 16968.
Vieira, V. A. 2009. Moderation, Mediation, Moderator-Mediator, and Indirect Effects in Structural Equation Modeling: An Application to the Expectation Confirmation Model. Revista de Administração, 44(1), 17-33.
Tian, L., & Han, L. 2018. How local is local? Evidence from bank competition and corporate innovation in U.S. Review of Quantitative Finance and Accounting. doi:10.1007/s11156-018-0710-0
Were, M., & Wambua, J. 2014. What factors drive interest rate spread of commercial banks? Empirical evidence from Kenya. Review of Development Finance, 4(2), 73–82. doi:10.1016/j.rdf.2014.05.005
Whisman, M. A., & McClellland, G. H. 2005. Designing, testing, and interpreting interactions and moderator effects in family research. Journal of Family Psychology, 19(1), 111-120.
Yoshino, N., Taghizadeh-Hesary, F., & Nili, F. 2013. Optimal Premiums for the Deposit Insurance System: An empirical work on the deposit insurance system of Japan. KESDP No. 13-1.
DOI: http://dx.doi.org/10.33087/ekonomis.v6i1.498
Refbacks
- There are currently no refbacks.
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Ekonomis: Journal of Economics and Business Published by Lembaga Penelitian dan Pengabdian kepada Masyarakat |
