Open AccessANALISIS VECTOR AUTOREGRESSION (VAR) TERHADAP INTERRELATIONSHIP ANTARA FINANCING DEPOSIT RATIO (FDR) DAN RETURN ON ASSET (ROA) PADA BANK SYARIAH DI INDONESIA
Author(s) -
Iskandar Iskandar
Publication year - 2019
Publication title -
jurnal ekonomi syariah, akuntansi, dan perbankan (jeskape)/jeskape (jurnal ekonomi syariah, akuntansi, dan perbankan)
Language(s) - English
Resource type - Journals
eISSN - 2714-8793
pISSN - 2615-8469
DOI - 10.52490/jeskape.v3i2.430
Subject(s) - vector autoregression , autoregressive model , econometrics , cointegration , return on assets , economics , asset (computer security) , mathematics , finance , computer science , computer security , profitability index
The Vector Autoregressive Model (VAR) is a very useful analytical tool in understanding the existence of interrelationships between economic variables and in the formation of a structured economy. This study aims to explain the analysis of the Vector Autoregressive (VAR) model and explain the application of the Vector Autoregressive (VAR) model for influence analysis. The FDR ratio in the Sharia Commercial banks tends to be stable. This is illustrated from the coefficient of determination which is almost close to 100%, namely 91.55%. Cointegration test results show there is no long-term balance relationship between FDR variables with ROA of Islamic banks in Indonesia. ROA has a positive effect on ROA while ROA on FDR is negative, meaning that FDR makes a small contribution to ROA.