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The need of reliable techniques to forecast the profit of commercial banks in <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> <br /> the future is inevitable nowadays. A dynamical model, which is one of sophisticate...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/19235 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | The need of reliable techniques to forecast the profit of commercial banks in <br />
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the future is inevitable nowadays. A dynamical model, which is one of sophisticated <br />
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techniques using mathematical equations, can determine the observed state, <br />
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for example bank profits, for all future times based on the current state. It will also <br />
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show small changes in the state of the system create either small or big changes <br />
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in the future depending on the model. In this research, the writer uses a modified <br />
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Monti-Klein profit equation and develop a dynamical system of the form: <br />
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dD <br />
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dt <br />
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= f (D;L; rD; rL; r) <br />
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dL <br />
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dt <br />
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= g(D;L; rD; rL; r) <br />
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Here D and rD are the volume of deposit and its rate, L and rL are the volume <br />
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of loan and its rate, r and is the interbank market rate. In this research, the bank’s <br />
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profit model of Monti-Klein will be modified to look at the dynamics of the volumes <br />
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of loan and deposit in a bank. Note that range of products and services produced <br />
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by the commercial banks charged rates that will generate profits for the bank. One <br />
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system of determining the interest rate is a floating system that is to follow the state <br />
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of the market. The writer analyses the behaviour of the solutions when the rates of <br />
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loan and deposit follow sinus and cosinus functions in various combinations. The <br />
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equilibrium points and their phase portraits are analysed for each case of combinations. <br />
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It concludes that the rates of deposit and interbank market are supposed to be <br />
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the similar functions in order to have a downward-sloping demand for loans with <br />
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respect to the loan rate and an upward-sloping demand for deposits with respect to <br />
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the deposit rate. It also can be concluded that the Jacobian matrix of each case affect <br />
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the comparison of bank’s loan volume to its deposit volume. |
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