ALM behavior of banks: Deposit pricing positioning, managerial risk appetite, and money market

Autor:	Mochammad Doddy Ariefianto, Rahmawati Rahmawati, Muthmainah Muthmainah, Irwan Trinugroho
Předmět:	Money market Risk appetite Financial system Monetary economics Business General Business Management and Accounting
Zdroj:	Scopus-Elsevier
Popis:	We construct a simple model in which banks use deposit interest rate position to shape for Asset Liability Management (ALM) strategy. Using monthly panel data of 104 banks over the January 2005 - December 2013 period, we empirically test our model. Panel data technique is used to estimate the parameter. We find that the model is well supported. The coefficient of loan growth is positive while reserves inventory is negative. Nevertheless, we find the spread to JIBOR O/N and business index to be negative which contradict our hypotheses. The results are largely unaltered when we account for turbulence period.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::13c7ede7d95221c5171d0871e8fedd38 http://www.scopus.com/inward/record.url?eid=2-s2.0-84930977713&partnerID=MN8TOARS Zobrazit plný text záznamu