Forecasting the Amount of Third-Party Funds and Asset of Islamic Commercial Banks Using Vector Autoregressive (VAR) and Vector Autoregressive with Exogenous Variable (VARX)

Handoko, Khalilah Ramadhania (2024) Forecasting the Amount of Third-Party Funds and Asset of Islamic Commercial Banks Using Vector Autoregressive (VAR) and Vector Autoregressive with Exogenous Variable (VARX). Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

The Islamic banking industry in Indonesia is experiencing an increase in the number of customers engaging in transactions, making Islamic banks as their primary choice. One type of the Islamic banks in Indonesia is Islamic Commercial Banks which a financial institution that conduct business activities based on Sharia principles, providing services in payment transactions. Bank’s company growth refers to the change between the decrease or increase in total assets. Factors influencing the growth of a company's assets is collect funds from customers or marked by third-party funds. One of the internal factors that affect third party funds is total assets. The increase in total assets of a bank is determined by the bank's ability to raise funds from third parties. The growth of third-party funds and asset are also influenced by external factors or macroeconomic variables. This study considers forecasting the amount of third-party funds and asset using Vector Autoregressive (VAR) and Vector Autoregressive with Exogenous Variable (VAR-X) with Exchange Rate as an exogenous variable. Based on the data from June 2014 to March 2022, the best method to forecast is VARI(1)-X(1).

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Third-Party Funds, Asset, Exogenous Variable, VAR, VAR-X
Subjects:	A General Works > AC Collections. Series. Collected works A General Works > AC Collections. Series. Collected works
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Statistics > 49201-(S1) Undergraduate Thesis
Depositing User:	Khalilah Ramadhania Handoko
Date Deposited:	27 Aug 2024 04:56
Last Modified:	27 Aug 2024 04:56
URI:	http://repository.its.ac.id/id/eprint/114809

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