Vector Autoregressive Modelling of Profitability Sharia Rural Bank in Indonesia

DOI

10.2991/assehr.k.201010.008How to use a DOI?

Keywords

Cointegration, Multivariate Time Series, Profitability, Sharia Bank, Vector Autoregressive

Abstract

The objective of this study is to investigate the effect of Non-Performing Financing (NPF), Return on Capital (ROE), Capital Adequacy Ratio (CAR), Financing to Deposit Ratio (FDR), Ratio of Operational Costs to Operating Income (BOPO) to Return on Assets (ROA) Sharia rural bank in Indonesia. The data is secondary data sourced from Otoritas Jasa Keuangan (OJK) for the period of January 2013 to August 2019, in addition, it is also related to analytical analysis and forecasting used in this study. The existing variables are not stationary at the level and cointegration testing shows that there is no co-integration so the Vector Autoregressive (VAR) model is used for modeling. The test results show that NPF has a significant and negative effect on ROA, while ROE has a significant and positive effect on ROA. Forecasting results that are used based on the VAR(1) model formed show ROE in the next ten periods will decrease, the results of this forecasting with a MAPE evaluation value of 3.89%.

Copyright

© 2020, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Alfazrin Banapon
AU  - Rahmadi Yotenka
PY  - 2020
DA  - 2020/10/11
TI  - Vector Autoregressive Modelling of Profitability Sharia Rural Bank in Indonesia
BT  - Proceedings of the 2nd International Seminar on Science and Technology (ISSTEC 2019)
PB  - Atlantis Press
SP  - 43
EP  - 52
SN  - 2352-5398
UR  - https://doi.org/10.2991/assehr.k.201010.008
DO  - 10.2991/assehr.k.201010.008
ID  - Banapon2020
ER  -