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Which Component of Deposit Drives Systemic Risk Volatility

Author

Listed:
  • Yunying Huang

    (College of Economics, Jinan University, Guangzhou, China)

  • Kenichiro Soyano

    (Department of Law and Public Policy, Takaoka University of Law, Toyama-ken, Japan)

Abstract

Bank deposit is closely related to systemic risks. In addition, considering that resident deposits in China have significant seasonal characteristics, this paper focuses on which component of deposits drives the systemic risk volatility, that is, it can supplement the existing forecast information. We use X-13ARIMA-SEATS to decompose deposit into three subsequences. The research findings show that the forecast effect of subsequence models is better than that of benchmark series. Most importantly, the model with trend component has the best forecast performance.

Suggested Citation

  • Yunying Huang & Kenichiro Soyano, 2022. "Which Component of Deposit Drives Systemic Risk Volatility," Economic Analysis Letters, Anser Press, vol. 1(1), pages 1-7, September.
    • Handle: RePEc:bba:j00004:v:1:y:2022:i:1:p:1-7:d:63
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    References listed on IDEAS

    as
    1. Adrian, Tobias & Boyarchenko, Nina, 2018. "Liquidity policies and systemic risk," Journal of Financial Intermediation, Elsevier, vol. 35(PB), pages 45-60.
    2. Chen, Wang & Zhang, Zhiwen & Hamori, Shigeyuki & Kinkyo, Takuji, 2021. "Not all bank systemic risks are alike: Deposit insurance and bank risk revisited," International Review of Financial Analysis, Elsevier, vol. 77(C).
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