Title: The determinant factors of asset and liability management and the bank performance: empirical study on foreign exchange commercial banks in Indonesia from 2008 to 2013

Authors: Herlanto Anggono

Addresses: School of Business and Management, Institut Teknologi Bandung (ITB), Jl. Ganesha No. 10, Bandung, Jawa Barat 40132, Indonesia

Abstract: This study examines the determinants factors of asset and liability management (ALM) model and investigates the impact to bank performance, using bank-specific internal financial characteristic of Indonesian banking in the years 2008-2013. Three determinant factors in ALM model have the highest elasticity which are less risky liquid assets ratio (LRLATA), non-performing loan ratio (NPLR) and tier one core capital (TIR1TA) ratio. LRLATA ratio influences to liquidity coverage ratio (LCR) and loan to deposit ratio (LDR) significantly. NPLR ratio also has significant influence to LDR and TIR1TA ratio influences significantly to capital adequacy ratio (CAR). In the second model, net interest margin ratio (NIMTEA) is positive significant to bank performance - return on equity (ROE) because NIMTEA has the highest elasticity.

Keywords: SUR method; asset and liability management; ALM; liquidity; core capital; intermediary function; market discipline; bank performance; Indonesia.

DOI: 10.1504/IJBG.2017.087298

International Journal of Business and Globalisation, 2017 Vol.19 No.4, pp.512 - 527

Received: 19 Nov 2015
Accepted: 31 May 2016

Published online: 11 Oct 2017 *

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