The Dynamic Link Between Islamic and Conventional Deposit Rates in a Dual Banking System

IF 2.8 Q2 BUSINESS, FINANCE

ISRA International Journal of Islamic Finance Pub Date : 2023-03-06 DOI:10.55188/ijif.v15i1.487

Agus Widarjono, Md. Mahmudul Alam, Abdur Rafik

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引用次数: 1

Abstract

Purpose — This study empirically assesses the extent to which the conventional deposit rate (CDR) affects the Islamic deposit rate (IDR) in Indonesia and Malaysia within the dual banking system. Design/Methodology/Approach — This study uses non-linear autoregressive distributed lag (NARDL) and panel cointegration. Monthly data are employed, but the time period for the two countries examined is different because of data availability. The study thus covers the period 2009:M1 to 2020:M12 for Indonesia and 2000:M1 to 2020:M12 for Malaysia. Findings — The findings confirm evidence of the long-run link between IDR and CDR, where the IDRs in Indonesia and Malaysia asymmetrically respond to changes in CDRs. In addition, Indonesia’s IDRs adjust faster in response to the decline in CDRs compared to increases in CDRs. However, Malaysia’s IDRs adapt faster in response to increases in CDRs than their decreases. The panel cointegration results reinforce the asymmetric findings. Originality/Value — To the best of our knowledge, this paper is the first study to examine the extent to which IDRs asymmetrically respond to CDRs in a dual baking system in Indonesia and Malaysia. Practical Implications — Islamic banks (IBs) follow CDRs in determining IDRs due to uncompetitive IDRs, implying that IBs suffer from displaced commercial risk. Therefore, IBs may adopt a policy to address liquidity issues through investment risk reserves (IRR) and profit equalization reserves (PER) to reduce the distinctive gap between IDRs and CDRs.

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双重银行体系中伊斯兰和传统存款利率之间的动态联系

目的——本研究实证评估了在双重银行体系中，传统存款利率（CDR）对印度尼西亚和马来西亚伊斯兰存款利率（IDR）的影响程度。设计/方法/方法——本研究使用非线性自回归分布滞后（NARDL）和面板协整。采用了月度数据，但由于数据的可用性，调查的两个国家的时间段不同。因此，该研究涵盖了2009年：M1至2020年：印度尼西亚为M12，2000年：M1到2020年：马来西亚为M12。研究结果——研究结果证实了印尼盾和CDR之间存在长期联系的证据，印尼和马来西亚的印尼盾对CDR的变化反应不对称。此外，与CDR的增加相比，印度尼西亚的IDR对CDR的下降反应更快。然而，马来西亚的IDR对CDR增加的反应比对CDR减少的反应更快。面板协整结果强化了不对称发现。独创性/价值——据我们所知，这篇论文是第一篇研究印尼和马来西亚双重烘焙系统中IDR对CDR不对称反应的程度的研究。实际意义——由于IDR缺乏竞争力，伊斯兰银行（IB）在确定IDR时遵循CDR，这意味着IB承受着转移的商业风险。因此，IB可能会采取一项政策，通过投资风险准备金（IRR）和利润均衡准备金（PER）来解决流动性问题，以缩小IDR和CDR之间的明显差距。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

ISRA International Journal of Islamic Finance BUSINESS, FINANCE-

CiteScore

3.40

自引率

17.40%

发文量

审稿时长

20 weeks

期刊介绍： It is the aspiration of the editorial committee that IJIF achieves the highest rank in quality and substance. It is thus our aim that the journal be carried in the Thompson Reuters’ ISI and Scopus databases. By ensuring high standards in articles published in Islamic finance we ensure that further innovation and research is carried out and promoted in the Islamic finance industry and academia. IJIF publishes 2 issues per annum.