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IJSTR >> Volume 9 - Issue 6, June 2020 Edition



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

Website: http://www.ijstr.org

ISSN 2277-8616



Cointegration Of Oil Price, Exchange Rate And Fed Rate To Bank Performance

[Full Text]

 

AUTHOR(S)

Muhammad Sofie Abdul Hasan, Adler Haymans Manurung, Bahtiar Usman

 

KEYWORDS

Bank Performance, RAROC, EVA, Oil Price, Fed Rate, Exchange Rate, Cointegration.

 

ABSTRACT

This research aims to explore Cointegration of Oil Price, Exchange Rate and Fed Rate to Bank Performance. This research uses graph analysis and Dickey Fuller to test cointegration for period data 2008 to 2018. The result is Bank performance which is RAROC and EVA has cointegration with Oil Price, but it does not integrate in long term between Fed Rate and Bank Performance. Exchange and RAROC also cointegrated to RAROC, but it does not cointegrate with EVA.

 

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