Impak Kecekapan Kos terhadap Risiko Kecairan dalam Institusi Perbankan di Malaysia

Muniroh Khalib, Aisyah Abdul-Rahman, Hawati Janor

Abstract


ABSTRAK

Kajian ini menganalisis hubungan kecekapan bank dengan risiko kecairan ke atas 16 bank Islam dan 27 bank konvensional di Malaysia bagi tempoh 1994-2014. Kecekapan bank dinilai berdasarkan kecekapan kos, manakala risiko kecairan menggunakan garis panduan Basel III iaitu Nisbah Perlindungan Kecairan (Liquidity Coverage Ratio-LCR) yang bersifat jangka pendek (30 hari) dan Nisbah Pendanaan Stabil Bersih (Net Stable Funding Ratio-NSFR) yang bersifat jangka panjang (setahun). Analisis ini meliputi dua fasa pengujian: 1) skor kecekapan kos dianggarkan menggunakan Analisis Sempadan Stokastik (Stochastic Frontier Analysis-SFA). 2) Hubungan antara kecekapan kos tersebut dan risiko kecairan diuji menggunakan kaedah regresi panel statik. Keputusan kajian menunjukkan bahawa kecekapan kos kedua-dua sistem perbankan tidak mempunyai hubungan signifikan dengan LCR, manakala berhubungan signifikan yang negatif dengan NSFR bagi perbankan Islam dan konvensional. Ini bermaksud semakin tinggi ketidakcekapan kos semakin rendah kecairan, lalu semakin tinggi risiko kecairan dalam jangka panjang. Oleh itu, pengurangan kos dapat mengurangkan risiko kecairan bank bagi jangka panjang. Implikasinya, kecekapan kos bank perlu diambil kira oleh penggubal dasar Negara dan pihak pengurusan bank dalam merangka pengurusan risiko kecairan bagi memastikan kelestarian sistem perbankan di Malaysia.

Kata kunci: Risiko kecairan; kecekapan kos; nisbah pelindungan kecairan; nisbah pendanaan stabil bersih

ABSTRACT

This study analyzes the relationship between bank efficiency and liquidity risks of 16 Islamic banks and 27 conventional banks in Malaysia for the period covering year 1994-2014. Bank efficiency is based on cost efficiency, while liquidity risk is measured based on the guidelines of Basel III using Liquidity Coverage Ratio (LCR), which is short term (30 days) and Net Stable Funding Ratio (NSFR), which is long term (one year) in nature. This analysis involves two phases: 1) the cost efficiency scores is estimated using Stochastic Frontier Analysis (SFA) and 2) the relationship between the estimated cost efficiency and liquidity risk is tested using static panel regression method. The results show that cost efficiency of both banking systems have no significant relationship with LCR, but significant negative relationships with NSFR for both Islamic and conventional banks. This means that the higher the cost inefficiency, the lower is the liquidity, and the higher the liquidity risk in long term. In short, cost saving can reduce bank liquidity risk in long-term. Hence, bank cost efficiency must be taken into account by policy-makers in formulating liquidity risk management to ensure sustainability of the banking system in Malaysia.

Keywords: Liquidity risk; cost efficiency; liquidity coverage ratio; net stable funding ratio


Keywords


Risiko Kecairan, Kecekapan Kos, Nisbah Pelindungan Kecairan, Nisbah Pendanaan Stabil Bersih

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