The Behavior of Conventional and Islamic Bank Deposit Returns in Malaysia and Turkey

 
Author/Editor: Cevik, Serhan ; Charap, Joshua
 
Publication Date: July 01, 2011
 
Electronic Access: Free Full text (PDF file size is 1,011KB).
Use the free Adobe Acrobat Reader to view this PDF file

 
Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
 
Summary: This paper examines the empirical behavior of conventional bank deposit rates and the rate of return on retail Islamic profit-and-loss sharing (PLS) investment accounts in Malaysia and Turkey, using monthly data from January 1997 to August 2010. The analysis shows that conventional bank deposit rates and PLS returns exhibit long-run cointegration and the time-varying volatility of conventional bank deposit rates and PLS returns is correlated and is statistically significant. The pairwise and multivariate causality tests show that conventional bank deposit rates Granger cause returns on PLS accounts. These findings have policy implications in terms of price stability and financial stability.
 
Series: Working Paper No. 11/156
Subject(s): Banking | Cross country analysis | Interest rates | Islamic banking | Malaysia | Profit margins | Turkey

Author's Keyword(s): Interest rates | Islamic banks | causality | time-varying volatility correlation
 
English
Publication Date: July 01, 2011
Format: Paper
Stock No: WPIEA2011156 Pages: 23
Price:
US$18.00 (Academic Rate:
US$18.00 )
 
 
Please address any questions about this title to publications@imf.org