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

Author

Listed:
  • Doddy Zulverdi

    (Bank Indonesia)

  • Iman Gunadi

    (Bank Indonesia)

  • Bambang Pramono

    (Bank Indonesia)

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.

Suggested Citation

  • Doddy Zulverdi & Iman Gunadi & Bambang Pramono, 2006. "Pengembangan Model Manajemen Portofolio Bank Dengan Memasukkan Faktor Nilai Tukar Dan Faktor Kondisi Modal Bank," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 8(4), pages 503-528, March.
  • Handle: RePEc:idn:journl:v:8:y:2006:i:4d:p:503-528
    DOI: https://doi.org/10.21098/bemp.v8i4.147
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    More about this item

    Keywords

    Portofolio Bank; Nilai Tukar; Modal Bank;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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