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Long Run Cointegration between the Kuala Lumpur Interbank Offer Rate and the Islamic Overnight Interbank Market Rate

Junaina Muhammad|Carl B. McGowan, Jr
사람과세계경영학회 (People&Global Business Association)|2012.12|Global Business and Finance Review|제17권 제2호|pp. 161-174

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참고문헌

키워드

financial institutionsLong run cointegrationInterbank offer rateOvernight interbank market rate

초록

This paper analyzes the short-term and long-term relationship between the Kuala Lumpur interbank offer rate and the Islamic interbank offer rate. In 1994, an Islamic interbank money market system was introduced in Malaysia to meet the liquidity needs for Islamic financial institutions. The empirical results indicate that there is a long-run cointegration relationship between the two markets and that both markets operate independently in the short term.

Abstract

This paper analyzes the short-term and long-term relationship between the Kuala Lumpur interbank offer rate and the Islamic interbank offer rate. In 1994, an Islamic interbank money market system was introduced in Malaysia to meet the liquidity needs for Islamic financial institutions. The empirical results indicate that there is a long-run cointegration relationship between the two markets and that both markets operate independently in the short term.

참고문헌 (21)

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