Analysis of loan benchmark interest rate in banking loan dynamics: bifurcation and sensitivity analysis | ||
| Journal of Mathematics and Modeling in Finance | ||
| دوره 3، شماره 1، آذر 2023، صفحه 191-202 اصل مقاله (849.62 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22054/jmmf.2023.74976.1098 | ||
| نویسندگان | ||
| Moch. Fandi Ansori* ؛ Nurcahya Yulian Ashar | ||
| Department of Mathematics, Faculty of Science and Mathematics, Universitas Diponegoro | ||
| چکیده | ||
| One of central bank regulations that has direct impact on the banking industry is loan benchmark interest rate. Banks use it as a reference rate to determine their loan interest rate. In this paper, we study the role of loan benchmark interest rate on banking loan dynamics. The model is in the form of a difference equation that follows a gradient adjustment process. We study the loan equilibrium's stability via bifurcation theory. It is found that the benchmark rate must be set between the flip and transcritical values. Some numerical simulations are performed to confirm the analytical result. The stochastic case of the benchmark rate is also studied. In addition, we perform numerical sensitivity analysis of the benchmark rate with the model's other parameters. | ||
| کلیدواژهها | ||
| benchmark interest rate؛ banking loan؛ bifurcation؛ chaos؛ sensitivity analysis | ||
| مراجع | ||
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آمار تعداد مشاهده مقاله: 805 تعداد دریافت فایل اصل مقاله: 494 |
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