Forecasting of the Bank for Agriculture and Agricultural Cooperatives Deposits

Abstract

This Article aimed to study 1) the relationship of factors affecting the amount of deposits of the Bank for Agriculture and Agricultural Cooperatives (BAAC) and 2) the forecasting of the amount of deposits of BAAC. This study used the Cointegration Test and Vector Error Correction Model (VECM) for analysis. Three factors have been selected which are Gross Domestic Product (GDP), Inflation Rate (INF) and Farm Price Index (FPI). The data period is between the third quarter of 2006 to the fourth quarter of 2021 (62 quarters). The result of the study found that: GDP and FPI have one pattern relationship with the amount of deposits of BAAC as Asymmetric Cointegration and 2) the speed of adjustment (from short-term to long-term) of GDP and FPI is equal to 0.1152 per quarter with 0.01 statistically significant. The forecasting result, by considering the errors between the forecasted values from VECM and the actual values, showed that the errors from In-Sample and Out-Sample Forecasting are closed to zero. This means that VECM, developed by this study, is appropriate to forecast the amount of deposits of BAAC because its forecasted values are very closed to the actual values.