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ABSTRAKPenelitian ini bertujuan untuk mengetahui pengaruh pengelolaan risiko likuiditas pada perbankan syariah serta imbal hasil PUAS terhadap perkembangan pasar uang antarbank syariah. Dalam penelitian ini digunakan analisis deskriptif yang menggambarkan hubungan yang terjadi antara volume transaksi PUAS dengan rasio risiko likuiditas pada perbankan syariah yaitu dengan menggunakan rasio Short Term Mismatch (STM), rasio Financing to Deposit Ratio (FDR) dan imbal hasil yang diterima pada transaksi PUAS. Selain itu juga digunakan analisis ekonometri dengan metode ARCH dan GARCH yang bertujuan untuk mengetahui pengaruh yang ditimbulkan oleh pengelolaan risiko likuiditas dan imbal hasil PUAS terhadap perkembangan PUAS.
Hasil dari analisis ekonometri dengan metode ARCH dan GARCH diperoleh varian model ARCH-M (1,1), sebagai model terbaik dalam penelitian ini, menunjukan bahwa rasio risiko likuiditas pada perbankan syariah yang berupa rasio STM, rasio FDR dan imbal hasil PUAS mempunyai pengaruh yang signifikan terhadap perkembangan PUAS. Kebijakan pengelolaan risiko likuiditas pada saat terjadi excess liquidity maupun shortage liquidity serta manajemen pengelolaan risiko likuiditas jangka pendek perbankan syariah dan imbal hasil PUAS dianggap sebagai hal yang mempengaruhi perkembangan PUAS.
ABSTRACTThis study aims to determine the effect of liquidity risk management and return of PUAS againts of sharia interbank money market developments. This study used a descriptive analysis that describes a relationship between the volume of PUAS transaction with liquidity risk ratio in islamic banking by using Short Term Mismatch (STM) ratio, Financing to Deposit Ratio (FDR) and return of PUAS.Furthermore, its used an econometric analysis of the ARCH and GARCH method that aims to determine the effect that caused by management of liquidity risk and return of PUAS againts of sharia interbank money market developments. The result of the econometric analysis by using an ARCH and GARCH method resulting variants model ARCH-M (1,1), as the best model in this study, showed that the ratio of liquidity risk in islamic banking in the form of STM ratio, FDR ratio and return of PUAS has a significant influence on the development of PUAS. Liquidity risk management policy in the terms of excess liquidity, shortage liquidity, short term liquidity management and return of PUAS regarded as affecting the development of Sharia interbank money market.;This study aims to determine the effect of liquidity risk management and return of
PUAS againts of sharia interbank money market developments. This study used a
descriptive analysis that describes a relationship between the volume of PUAS
transaction with liquidity risk ratio in islamic banking by using Short Term
Mismatch (STM) ratio, Financing to Deposit Ratio (FDR) and return of PUAS.
Furthermore, its used an econometric analysis of the ARCH and GARCH method
that aims to determine the effect that caused by management of liquidity risk and
return of PUAS againts of sharia interbank money market developments.
The result of the econometric analysis by using an ARCH and GARCH
method resulting variants model ARCH-M (1,1), as the best model in this study,
showed that the ratio of liquidity risk in islamic banking in the form of STM ratio,
FDR ratio and return of PUAS has a significant influence on the development of
PUAS. Liquidity risk management policy in the terms of excess liquidity, shortage
liquidity, short term liquidity management and return of PUAS regarded as
affecting the development of Sharia interbank money market., This study aims to determine the effect of liquidity risk management and return of
PUAS againts of sharia interbank money market developments. This study used a
descriptive analysis that describes a relationship between the volume of PUAS
transaction with liquidity risk ratio in islamic banking by using Short Term
Mismatch (STM) ratio, Financing to Deposit Ratio (FDR) and return of PUAS.
Furthermore, its used an econometric analysis of the ARCH and GARCH method
that aims to determine the effect that caused by management of liquidity risk and
return of PUAS againts of sharia interbank money market developments.
The result of the econometric analysis by using an ARCH and GARCH
method resulting variants model ARCH-M (1,1), as the best model in this study,
showed that the ratio of liquidity risk in islamic banking in the form of STM ratio,
FDR ratio and return of PUAS has a significant influence on the development of
PUAS. Liquidity risk management policy in the terms of excess liquidity, shortage
liquidity, short term liquidity management and return of PUAS regarded as
affecting the development of Sharia interbank money market.]
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