Stage-I Shariah compliant Macaulay’s duration model testing

Purpose The purpose of this study is to develop, test and examine econometric methodology for Sharīʿah-compliant duration models Islamic banks. Design/methodology/approach research evaluates all existing from Sharīʿah’s perspective develops a four-stage framework testing models. consists multiple regression, Johansen co-integration, error correction model, vector model (VECM) threshold (TVECM). Findings Regressions analysis suggests that returns on earning assets interbank offered rates are significant factors calculating the assets, whereas paid return bearing liabilities average deposits liabilities. VECM short run converges into long TVECM management also plays role can bring about change 15% in respective durations. Practical implications will improve risk Sharīʿah efficiency, which ultimately market capitalization stability banks run. Originality/value provides insight how various factors, namely, return, benchmark managerial skills bank managers impact durations It explains future course action testing.