An analysis of Islamic banks' exposure to rate of return risk

An analysis of Islamic banks' exposure to rate of return risk

The objective of this study is to analyze the dynamic effects of interest rate changes on the rate of return of Islamic banks and the amount of deposits in the conventional and Islamic banks. In analyzing the potential rate of return risk in the Islamic banks and interest rate risk in the convention...

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Main Authors: Zainol, Zairy, Kassim, Salina
Format: Article
Language:English
Published: The Statistical, Economic and Social Research and Training Centre for Islamic Countries (SESRIC) 2010
Subjects:
HG1501 Banking
Online Access:http://irep.iium.edu.my/11969/
http://irep.iium.edu.my/11969/
http://irep.iium.edu.my/11969/1/An_analysis_of_Islamic_banks%27_exposure_to_rate_of_return_risk.pdf
id iium-11969
recordtype eprints
spelling iium-119692012-04-18T07:56:38Z http://irep.iium.edu.my/11969/ An analysis of Islamic banks' exposure to rate of return risk Zainol, Zairy Kassim, Salina HG1501 Banking The objective of this study is to analyze the dynamic effects of interest rate changes on the rate of return of Islamic banks and the amount of deposits in the conventional and Islamic banks. In analyzing the potential rate of return risk in the Islamic banks and interest rate risk in the conventional banks, for the Islamic banks, the 3-month Islamic deposit rate of return and total Islamic deposit are considered, while for the conventional banks, the 3-month fixed deposit interest rate and total conventional deposits are considered. Using data covering the period from January 1997 to October 2008, the study applies the cointegration analysis, bi-variate Granger causality test, Impulse Response Function (IRF) and Variance Decomposition (VDC) analysis based on the Vector Auto-regression (VAR) framework. The results of the study have important implications on the risk management practices of the Islamic banks in Malaysia. Several suggestions are put forward to mitigate the rate of return risk so as to ensure healthy growth of the Islamic banking institutions. The Statistical, Economic and Social Research and Training Centre for Islamic Countries (SESRIC) 2010 Article PeerReviewed application/pdf en http://irep.iium.edu.my/11969/1/An_analysis_of_Islamic_banks%27_exposure_to_rate_of_return_risk.pdf Zainol, Zairy and Kassim, Salina (2010) An analysis of Islamic banks' exposure to rate of return risk. Journal of Economic Cooperation and Development, 31 (1). pp. 59-84. ISSN 1308-7800 http://www.sesric.org/jecd/jecd_articles/ART09062201-2.pdf
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
topic HG1501 Banking
spellingShingle HG1501 Banking
Zainol, Zairy
Kassim, Salina
An analysis of Islamic banks' exposure to rate of return risk
description The objective of this study is to analyze the dynamic effects of interest rate changes on the rate of return of Islamic banks and the amount of deposits in the conventional and Islamic banks. In analyzing the potential rate of return risk in the Islamic banks and interest rate risk in the conventional banks, for the Islamic banks, the 3-month Islamic deposit rate of return and total Islamic deposit are considered, while for the conventional banks, the 3-month fixed deposit interest rate and total conventional deposits are considered. Using data covering the period from January 1997 to October 2008, the study applies the cointegration analysis, bi-variate Granger causality test, Impulse Response Function (IRF) and Variance Decomposition (VDC) analysis based on the Vector Auto-regression (VAR) framework. The results of the study have important implications on the risk management practices of the Islamic banks in Malaysia. Several suggestions are put forward to mitigate the rate of return risk so as to ensure healthy growth of the Islamic banking institutions.
format Article
author Zainol, Zairy
Kassim, Salina
author_facet Zainol, Zairy
Kassim, Salina
author_sort Zainol, Zairy
title An analysis of Islamic banks' exposure to rate of return risk
title_short An analysis of Islamic banks' exposure to rate of return risk
title_full An analysis of Islamic banks' exposure to rate of return risk
title_fullStr An analysis of Islamic banks' exposure to rate of return risk
title_full_unstemmed An analysis of Islamic banks' exposure to rate of return risk
title_sort analysis of islamic banks' exposure to rate of return risk
publisher The Statistical, Economic and Social Research and Training Centre for Islamic Countries (SESRIC)
publishDate 2010
url http://irep.iium.edu.my/11969/
http://irep.iium.edu.my/11969/
http://irep.iium.edu.my/11969/1/An_analysis_of_Islamic_banks%27_exposure_to_rate_of_return_risk.pdf
first_indexed 2023-09-18T20:21:12Z
last_indexed 2023-09-18T20:21:12Z
_version_ 1777408118553051136

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