IMPLEMENTATION OF TWO BANK DYNAMICS MODEL WITH ITS EQUILIBRIUM POINT AND SENSITIVITY ANALYSIS

• Main Author: Rafiqa Faradiyah, Andi
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/76323
• Institution: Institut Teknologi Bandung

This study presents a dynamic model that captures the intricate dynamics of deposits and credit interactions between two banks. By formulating a comprehensive interaction scheme, we develop four distinct systems models, each comprising six compartments: deposit, credit, and equity for both Banks. The data used is selected as a representative of a group of banks based on Core Capital (KBMI), namely Bank BCA, Permata, Sinarmas, and BPD Sulawesi Utara, during the period from 2010 to 2022. To ensure parameter estimation, we use the Spiral Optimization Algorithm (SOA), effectively achieving a Mean Absolute Percentage Error (MAPE) below 20%. Upon reaching a steady state, our results demonstrate that in several instances, the values of deposits, credit, and equity for both banks converge to a fixed point, indicating a stable equilibrium. Also cases where a stable equilibrium point does not exist. Additionally, we conduct sensitivity analysis by manipulating parameters of non-performing loans and withdrawal of deposits to gain insights into the model’s behavior and dynamics. This research holds significant importance in understanding the interaction between two banks and can contribute to decision-making in the field of finance.The results show that there is an effect of changes in the values of ? and ? parameters on the model of the two banks and their equilibrium.