Funding liquidity risk and asset risk of Indonesian Islamic rural banks

Figures & data

Table 2. Descriptive statistics

	Mean	Minimum	Maximum	Std. Dev.
Z-score	1.0307	−4.5945	5.4421	1.4151
LLP	2.6830	0.0000	64.6943	4.3690
Frisk	0.3487	0.0000	0.9360	0.1873
Lerner	0.1226	−11.8466	8.1675	0.8745
Asset (billion IDR)	49.4200	0.570	1220.0000	89.5900
Fin	0.7405	0.0167	23.3926	0.4142
Equity	0.1849	0.0206	1.3671	0.1673
CIR	66.6401	15.5177	1947.6560	55.5463
DPLS	0.6690	0.0000	1.0000	0.4706
GGRDP	5.2530	−13.8800	34.0800	1.8733

Table 3. Correlation matrix

	Z-score	LLP	Frisk	Lerner	Lasset	Fin	Equity	DPLS	GGRDP
Z-score	1.000
LLP	−0.285	1.000
Frisk	−0.011	−0.019	1.000
Lerner	0.161	−0.193	0.000	1.000
LAsset	0.404	−0.235	0.192	0.020	1.000
Fin	−0.017	0.059	−0.010	0.018	−0.014	1.000
Equity	−0.320	0.320	−0.283	−0.090	−0.531	0.048	1.000
DPLS	0.080	−0.041	0.240	−0.006	0.238	−0.032	−0.236	1.000
GGRDP	0.094	−0.014	0.076	0.044	0.145	−0.001	−0.115	0.131	1.000

Table 4. Islamic bank’s asset risk: baseline regression

Variable	Z-score	LLP	Z-score	LLP
	(1)	(2)	(3)	(4)
Cons	−2.9852***	12.4713***	−3.1563***	15.4661***
	(0.8850)	(2.7609)	(0.8883)	(2.7130)
Frisk	−0.3836**	6.0977***	−0.9505***	16.0238***
	(0.2137)	(0.6667)	(0.3439)	(1.0502)
Frisk*dpls	-	-	0.9140**	−16.0023***
	-	-	(0.4344)	(1.3268)
Lerner	0.0688***	−0.3239***	0.0685***	−0.3176***
	(0.0211)	(0.0658)	(0.0211)	(0.0645)
Lasset	0.2560***	−0.8260***	0.2636***	−0.9593***
	(0.0506)	(0.1577)	(0.0507)	(0.1547)
Fin	−0.0367	0.2339**	−0.0389	0.2724**
	(0.0424)	(0.1323)	(0.0424)	(0.1296)
Equity	−0.1845	0.1909	−0.1116	−1.0863*
	(0.2373)	(0.7401)	(0.2396)	(0.7319)
CIR	−0.0049***	0.0313***	−0.0050***	0.0327***
	(0.0004)	(0.0016)	(0.0004)	(0.0011)
GGRDP	0.0322***	−0.0183	0.0323***	−0.0202
	(0.0103)	(0.0322)	(0.0103)	(0.0315)
$R^2$	0.2549	0.2245	0.2278	0.1028
F Statistic	16.64	15.46	16.69	17.18
Bruesch Pagan	5518.35	4854.61	5520.46	3872.31
Hausman	75.42	51.83	17.24	118.11

Note: *, **, and *** are significant at 10%, 5%, and 1%, respectively. The standard error is presented in parentheses.

Table 5. Islamic bank’s asset risk: the Islamic bank’s size

Variable	Large		Small
	Z-score	LLR	Z-score	LLR
	(1)	(2)	(3)	(4)
Constant	2.0117*	−10.1851***	−5.3977***	30.8010***
	(1.1771)	(2.3635)	(1.1728)	(5.1851)
Frisk	−1.0882***	1.3191**	−0.1515	9.4690***
	(0.2878)	(0.5913)	(0.2397)	(1.0760)
Lerner	−0.0010	0.1707***	0.0860***	−0.5476***
	(0.0325)	(0.0546)	(0.0267)	(0.1106)
Lasset	0.0780*	0.5325***	0.3763***	−1.9334***
	(0.0592)	(0.1199)	(0.0703)	(0.3132)
Fin	−0.0133	−1.3512***	−0.0361	0.1804
	(0.2940)	(0.5125)	(0.0424)	(0.1765)
Equity	−0.1636	13.3184***	−0.1112	−2.4464**
	(0.5767)	(1.1520)	(0.2386)	(1.0526)
CIR	−0.0297**	0.0259***	−0.0040***	0.0294***
	(0.0017)	(0.0029)	(0.0004)	(0.0016)
GGRDP	0.0168*	−0.0014	0.0595**	−0.0858
	(0.0107)	(0.0179)	(0.0250)	(0.1095)
$R^2$	0.2682	0.1056	0.2230	0.223
F test	13.29	15.95	18.26	16.37
Bruesch Pagan test	2148.38	2557.76	2903.01	2244.00
Hausman	6.26	19.87	202.40	37.00

Note: *, **, and *** are significant at 10%, 5%, and 1%, respectively. The standard error is presented in parentheses.

Table 6. Islamic bank’s asset risk: Islamic bank’s location

Variable	Java		Off Java
	Z-score	LLR	Z-score	LLR
	(1)	(2)	(3)	(4)
Constant	−2.3775**	−3.6311	−5.1171***	46.5939***
	(0.9456)	(2.6782)	(1.6776)	(5.8525)
Frisk	−0.6523***	0.5655	−0.4332*	16.4092***
	(0.2429)	(0.6852)	(0.3348)	(1.1681)
Lerner	0.0651**	−0.0555	0.0438*	−0.5494***
	(0.0301)	(0.0834)	(0.0287)	(0.1001)
Lasset	0.2203***	0.0255	0.3746***	−2.8188***
	(0.0483)	(0.1369)	(0.0981)	(0.3424)
Fin	0.5947**	2.7060***	−0.0675*	0.2551*
	(0.2383)	(0.6629)	(0.0449)	(0.1568)
Equity	−0.1230	6.7863***	0.1261	−10.8925***
	(0.2979)	(0.8338)	(0.3526)	(1.2303)
CIR	−0.0142***	0.0313***	−0.0027***	0.0290***
	(0.0008)	(0.0022)	(0.0004)	(0.0015)
GGRDP	0.0681**	0.0376	0.0281**	−0.0635**
	(0.0403)	(0.1115)	(0.0107)	(0.0374)
$R^2$	0.3189	0.1350	0.2488	0.1201
F test	15.75	17.53	17.70	20.70
Bruesch Pagan test	3350.85	3966.88	2009.95	1226.34
Hausman test	18.69	11.63	77.13	166.40

Note: *, **, and *** are significant at 10%, 5% and 1%, respectively. The standard error is presented in parentheses.