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IJSTR >> Volume 9 - Issue 5, May 2020 Edition



International Journal of Scientific & Technology Research  
International Journal of Scientific & Technology Research

Website: http://www.ijstr.org

ISSN 2277-8616



Liquidity Creation Analysis On Indonesian Bank Using Panel Ardl Approach

[Full Text]

 

AUTHOR(S)

Sri Lestari, Imam Ghozali, Najmudin, Masfufah

 

KEYWORDS

liquidity creation, banks in Indonesia, Panel ARDL

 

ABSTRACT

This research is liquidity creation research and is entitled "Liquidity Creation Analysis of Indonesian Bank Using Panel ARDL Approach: A Case Study of Top Ten Banks in Indonesia in the Period 2009-2018". The sample of this research is taken from the top ten commercial banks in Indonesia. This research is aimed to know the impact of earning volatility, reserve requirement, and market share on liquidity creation. The population of this research is all of commercial banks in Indonesia which are registered in Otoritas Jasa Keuangan (OJK) with 1.122 observation. The samples of this research are taken from top ten banks in Indonesia in the period 2018. The sampling method which is used in this research is purposive sampling method. Based on the result of the research and data analysis using Panel ARDL (Autoregressive Distributed Lag) method, it shows that: (1) earning volatility has significant negative impact on long term and insignificant impact on short term liquidity creation, (2) reserve requirement (primary and combination) has significant negative impact on long term liquidity creation, reserve requirement combination has significant negative impact on short term liquidity creation, whereas reserve requirement (secondary, foreign exchnge, and LDR) cannot be examined because of a near singular matrix, (3) market share has significant negative impact on long term liquidity creation and insignificant impact on short term liquidity creation. The implication of above summary is bank party should consider the variables which are used in this research and their impacts on liquidity creation to improve bank performance. It is hoped that the next research can increase the number of samples and add variables that have not been used in liquidity research-creation in Indonesia.

 

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