The Behavior of Conventional and Islamic Bank Deposit Returns in Malaysia and Turkey

Serhan Cevik and Joshua Charap
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Joshua Charap: International Monetary Fund, 700 19th Street, N.W. Washington, D.C. 20431, USA.

International Journal of Economics and Financial Issues, 2015, vol. 5, issue 1, 111-124

Abstract: This paper examines the empirical behavior of conventional bank deposit rates and the rate of return on retail Islamic profit-and-loss sharing (PLS) investment accounts in Malaysia and Turkey, using monthly data from January 1997 to August 2010. The analysis shows that conventional bank deposit rates and PLS returns exhibit long-run cointegration and the time-varying volatility of conventional bank deposit rates and PLS returns is correlated and is statistically significant. The pairwise and multivariate causality tests show that conventional bank deposit rates Granger cause returns on PLS accounts. These findings have policy implications in terms of price stability and financial stability.

Keywords: Interest rates; Islamic banks; causality; time-varying volatility correlation (search for similar items in EconPapers)
JEL-codes: E42 E43 E49 F59 G14 G15 O16 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (33)

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Related works:
Working Paper: The Behavior of Conventional and Islamic Bank Deposit Returns in Malaysia and Turkey (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2015-01-09

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