Pengembangan Model Manajemen Portofolio Bank Dengan Memasukkan Faktor Nilai Tukar Dan Faktor Kondisi Modal Bank

Doddy Zulverdi, Iman Gunadi and Bambang Pramono
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Doddy Zulverdi: Bank Indonesia
Iman Gunadi: Bank Indonesia
Bambang Pramono: Bank Indonesia

Bulletin of Monetary Economics and Banking, 2006, vol. 8, issue 4, 503-528

Abstract: This paper establishes an analytical model of the banking liquidity management behavior based on microeconomic theory. We include the exchange rate as one of an important factor on the banking liquidity management behavior. In addition, we examine the impact of the bank’s capital condition (flexible and fixed) on the banking liquidity management behavior. Including these two factors provide a better model in explaining the actual banking liquidity management behavior. The calibrated model is applicable on analyzing the effectiveness of the monetary policy, distinguishing the bank category and analyzing the impact of the monetary policy, simulating the impact of the monetary policy or simulating the impact of the bank regulatory. However, the model is still in static framework model, and we leave the dynamic specification as further research.

Keywords: Portofolio Bank; Nilai Tukar; Modal Bank (search for similar items in EconPapers)
JEL-codes: C61 E44 G21 (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:8:y:2006:i:4d:p:503-528

DOI: 10.21098/bemp.v8i4.147

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