PENGELOLAAN DANA DAN LIKUIDITAS BANK
Abstract
This paper analyzes the liquidity of banks, both precautionary and involuntary liquidity. We apply dynamic panel estimation on individual bank data covering the period of Januari 2002 to November 2011. The result shows that precautionary liquidity is more determined by the operation of the bank. On the other hand, the involuntary liquidity is more affected by the financial system condition. Related to the size, the effect of the financial system condition and the macroeconomy is larger for the small banks. Moreover, the monetary policy in the form minimum reserve requirement affects the precautionary liquidity of the small banks; while the central bank rate is less influential to the bank liquidity. Keywords: Banking, Liquidity, General Method of Moment JEL classification: G21, G11, C33Downloads
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References
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Di Giorgio, G.1999. Financial development and reserve requirements. Journal of Banking and Finance.
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Edlin, A.S. and Jaffee, D. 2009. Show Me the Money. University of California, Berkeley.
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Sacerdoti, E. 2005. Access to Bank Credit in Sub-Saharan Africa: Key Issues and Reform Strategies. Working paper, International Monetary Fund.
Saxegaard, M. 2006. Excess Liquidity and Effectiveness of Monetary Policy: Evidence from Sub-Saharan Africa. Working paper, International Monetary Fund.
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Agenor,P.R., Aizenman, J., and Hoffmaister, A. 2000. The credit crunch in east asia: What can bank excess liquidity tells us? National Bureau of Economic Research, Working Paper No.7951.
Alper, K., Hulagu, T., and Keles, G. 2012. An empirical study on liquidity and bank lending. Central Bank of Turkey.
Aspachs,O., Nier, E., Tiesset,M. 2005. Liquidity, Banking Regulation and the Macroeconomy. Evidence on bank liquidity holdings from a panel of UK-resident banks. Bank of England Working Paper.
Bagehot, W.1873. Lombard Street, a Description of the Money Market. Henry S. King,
Bank for International Settlement. 2008. Principles for sound liquidity risk management and supervision.
Bank for International Settlements. 2009. International framework for liquidity risk measurement, standards and monitoring.
Bathaluddin, M.B, Adhi, N.M, dan Wahyu, A.W. 2012. Dampak Persistensi Ekses Likuiditas terhadap Kebijakan Moneter. Buletin Ekonomi Moneter dan Perbankan vol 14., No. 3, Bank Indonesia.
Berger, A.N., dan Bouwman, C.H.2009. Bank liquidity creation, monetary policy, and financial crises. University of South Carolina.
Borio, C. 1997. The implementation of monetary policy in industrial countries: A survey. Bank for International Settlements, Economic Papers No. 47.
Borio, C. 2001. A hundred ways to skin a cat: Comparing monetary policy operating procedures in the United States, Japan, and Euro area. Bank for International Settlements, Monetary and Economic Department Papers No. 9.
Brunnermeier, M. K. 2009. Deciphering the Liquidity and Credit Crunch 2007-2008. Journal of Economic Perspectives, Vol. 23, No. 1, pp. 77-100.
Di Giorgio, G.1999. Financial development and reserve requirements. Journal of Banking and Finance.
Drehmann,M. and Nikolau,K. 2009.Funding Liquidity Risk. Definition and Measurement. ECB Working Paper, No. 1024.
Edgeworth, F., 1888. The mathematical theory of banking, Journal of the Royal Statistical Society, 51, 113-127.
Edlin, A.S. and Jaffee, D. 2009. Show Me the Money. University of California, Berkeley.
Freixas,X. and Rochet, J.C. 1998. Microeconomics of Banking. Massachusetts Institute of Technology.
Freixas,X., Martin,A., dan Skeie, D. 2009. Bank Liquidity, Interbank Markets, and Monetary Policy. Federal Reserve Bank of New York Staff Reports, No. 371.
Ganley, J. 2004. Surplus Liqudity: Implications for Central Banks. Lecture Series no:3, Centre for Central Banking Studies, Bank of England.
Goodhart, C. 1987. Why Do Banks Need a CB?. Oxford Economic Papers, p 75-89.
Henry, L., Birchwood, A., and Primus, K. 2010. The dynamics of involuntary commercial banks’ reserves in Trinidad and Tobago. XLII Annual Monetary Studies Conference.
Keister, T. and Mc Andrews, J. 2009. Why are banks holding so many excess reserves? Federal Reserve Bank of New York, Staff Reports.
Keynes, J.M., 1936. The General Theory of Employment, Interest and Money. McMillan,London. London.
O’Connell, S. 2005. Note on Excess Liquidity. Working paper, International Monetary Fund.
Pontes, G. and Sol Murta, F. 2012. The determinants of the bank’s excess liquidity and the credit crisis: the case of Cape Verde. Faculdade de Economia da Universidade de Coimbra.
Sacerdoti, E. 2005. Access to Bank Credit in Sub-Saharan Africa: Key Issues and Reform Strategies. Working paper, International Monetary Fund.
Saxegaard, M. 2006. Excess Liquidity and Effectiveness of Monetary Policy: Evidence from Sub-Saharan Africa. Working paper, International Monetary Fund.
Shen, C.H., Chen, Y.K., Kao,L.F., Yeh, C.Y. 2009. Bank Liquidity Risk and Performance.
Vodova, P. 2011. Liquidity of Czech Commercial Banks and Its Determinants. International Journals of Mathematical Models and Methods in Applied Sciences, issues 6, volume 5.
Published
2014-09-17
How to Cite
Wuryandani, G., Ginting, R., Iskandar, D., & Sitompul, Z. (2014). PENGELOLAAN DANA DAN LIKUIDITAS BANK. Buletin Ekonomi Moneter Dan Perbankan, 16(3), 247-276. https://doi.org/10.21098/bemp.v16i3.45
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Buletin Ekonomi Moneter dan Perbankan / Bulletin of Monetary Economics and Banking is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
