Analisis Variabel Makro Ekonomi terhadap Dana Pihak Ketiga Bank Syariah Indonesia Sebelum dan Masa Covid-19: Pendekatan Error Correction Models (ECM) - Lia Amaliawiati; Farida Nursjanti (Fakultas Ekonomi dan Bisnis Islam, 2023)
ABSTRACT The purpose of this study was to examine the effect of macroeconomic variables on Islamic bank deposits in Indonesia, both in the short and long term, before and during the Covid-19 period. Macroeconomic variables were proxied by the level of yields, inflation, interest rates, and production growth. This study used times series data for the period 2019.1–2022.08 by including a dummy variable. In the first stage, the data stationarity test was carried out using the unit root test and the results showed that the data were only stationary at the first difference. Furthermore, the cointegration test results between variables indicated a cointegration relationship between variables. Thus the model was analyzed using the Error Correction Model (ECM) to see the balance in the short term. The results of the ECM model analysis showed that in the short term, macroeconomic variables had no effect on third party funds of Islamic banks in Indonesia prior to Covid-19 while the macroeconomic variable that had an effect on third party funds during the Covid-19 period was inflation. In the long term, the variable that affected the third party funds of Islamic banks in Indonesia before Covid-19 was the interest rate while during the Covid-19 period it was inflation. Another conclusion shows that there was a difference in the average inflation rate variable for third party funds of Islamic banks in Indonesia before Covid-19 and during the Covid-19 period. Keywords: Sharia Third Party Funds, Macroeconomic Variables, Dummy Variable, Error Correction Model ABSTRAK Penelitian ini bertujuan untuk menguji pengaruh variabel makroekonomi terhadap simpanan deposito Bank Syariah di Indonesia, baik dalam jangka pendek maupun jangka panjang, sebelum dan masa Covid-19. Variabel makroekonomi diproksikan oleh tingkat imbal hasil, inflasi, tingkat bunga, dan pertumbuhan produksi. Penelitian ini menggunakan data times series periode 2019.1–2022.08 dengan memasukkan variabel dummy. Pada tahap pertama dilakukan uji stasioneritas data dengan menggunakan uji akar unit dan hasilnya menunjukkan data hanya stasioner pada first difference. Selanjutnya hasil uji kointegrasi antar variabel menunjukkan adanya hubungan kointegrasi antar variabel. Dengan demikian model dianalisis dengan menggunakan Error Correction Model (ECM) untuk melihat keseimbangan dalam jangka pendek. Hasil analisis model ECM menunjukkan bahwa dalam jangka pendek, variabel makroekonomi tidak berpengaruh terhadap dana pihak ketiga Bank Syariah di Indonesia sebelum Covid-19 sedangkan variabel makroekonomi yang berpengaruh terhadap dana pihak ketiga pada masa Covid-19 adalah inflasi. Dalam jangka panjang, variabel yang berpengaruh terhadap dana pihak ketiga Bank Syariah di Indonesia sebelum Covid-19 adalah tingkat bunga sedangkan pada masa Covid-19 adalah inflasi. Kesimpulan lainnya menunjukkan terdapat perbedaan rata-rata variabel tingkat inflasi dana pihak ketiga bank syariah di Indonesia sebelum Covid-19 dan masa Covid-19. Kata kunci: Dana Pihak Ketiga Syariah, Variabel Makroekonomi, Dummy Variable, Error Correction Model