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

24 Pages Posted: 16 Jul 2011

See all articles by Serhan Cevik

Serhan Cevik

International Monetary Fund (IMF)

Joshua Charap

International Monetary Fund (IMF)

Multiple version iconThere are 2 versions of this paper

Date Written: July 2011

Abstract

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.

Suggested Citation

Cevik, Serhan and Charap, Joshua, The Behavior of Conventional and Islamic Bank Deposit Returns in Malaysia and Turkey (July 2011). IMF Working Paper No. 11/156, Available at SSRN: https://ssrn.com/abstract=1886907

Serhan Cevik (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Joshua Charap

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

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