KOINTEGRASI BUNGA BANK KONVENSIONAL DAN BAGI HASIL BANK SYARIAH PERIODE JANUARI 2017 SAMPAI FEBRUARI 2021

Ardhi, NIM.: 15830082 (2021) KOINTEGRASI BUNGA BANK KONVENSIONAL DAN BAGI HASIL BANK SYARIAH PERIODE JANUARI 2017 SAMPAI FEBRUARI 2021. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

This study attempts to empirically analyze cointegration between islamic bank deposit profit and loss sharing and conventional bank deposit rate in Indonesia, using monthly data from Januari 2017 to February 2021. VECM (Vector Error Correction Model) is used to analysis data. The analysis shows that there is cointegration between conventional and sharia bank deposit return. Shock of conventional deposit rate influence the fluctuation of sharia deposit return and vice versa. Shock of sharia deposit return has less contribution to explain the fluctuation of conventional deposit rate in all deposit model (1 month deposit, 3-month deposit, 6-month deposit, and 12-month deposit) than shock of conventional deposit rate explain the fluctuation of sharia deposit return. It happens because market share of conventional banking is larger than sharia banking. Therefore, if there is shock in sharia deposit return, it does not influence much to explain the fluctuation of conventional deposit rate.

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