Virtus InterPress

ALM BEHAVIOR OF BANKS: DEPOSIT PRICING POSITIONING, MANAGERIAL RISK APPETITE, AND MONEY MARKET

Mochammad Doddy Ariefianto, Irwan Trinugroho, Muthmainah Muthmainah, Rahmawati Rahmawati

DOI: 10.22495/cocv12i4p7

Abstract

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.

Keywords: Banks, Asset Liability Management, Risk Appetite, Deposits, Money Market, Macro Economy

How to cite this paper: Ariefianto, M. D., Trinugroho, I., Muthmainah, M., & Rahmawati, R. (2015). ALM behavior of banks: Deposit pricing positioning, managerial risk appetite, and money market. Corporate Ownership & Control, 12(4), 91-102. doi:10.22495/cocv12i4p7

Download This Article
Corporate Governance Experts Global Repository
Merio Honor Честь
Ryoushin Conscience Совесть
Kouki Nobility Доброе имя