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BANK RUNS CONTAGION PADA PERBANKAN SYARIAH DI INDONESIA TAHUN 2008-2015
Bank which acts as financial intermediary plays a role in fund collected from the community has to serve them kindly who have excess or need funds. With those activities bank should have the ability to manage the balance of maturity mismatch. The inability of banks in managing the maturity mismatch led to a liquidity crisis that could trigger the panic which assumes the bank has failed to manage the funds, so customers take their funds at the same times. Such conditions were eventually trigger bank runs. Bank runs which happened in a bank can spread to the others. The possibility of bank runs shows that liquidity management is a crucial factor for the banking industry. Banks must be able to detect signals that indicates the liquidity crisis, so they can take the strategy to overcome these problems. This study uses a Liquidity Problems Indicators to measure the possibility of bank runs. The indicator is a composite of three variables: Financing to Deposit Ratio (FDR), Current Ratio (CR) and the Short-Term Portfolio to Total Assets. Object of this research is the Islamic Banks are issuing quarterly financial statements from 2008-2015. The analysis tool is the Vector Autoregression (VAR). Based on the results, it can be concluded that there is a pattern of one-way causality between Bank Muamalat Indonesia and BRI Syariah, while the two-way causality between Bank Syariah Mandiri and BRI Syariah. The impact of interbank liquidity pressures showed statistically significant value to the Bank Syariah Mandiri as a major contributor to the effect of pressure. Impulse Response Analysis shows the response speed of other banks are experiencing shock. Banks respond to shocks that arise on average in the first period and the second period.
FAKULTAS EKONOMI DAN BISNIS ISLAM, UIN SUNAN KALIJAGA YOGYAKARTA
NIM. 12390045 GARNIS SEGI REGIANI AGUSTIN
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