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Interest Rate Risk of Savings Accounts

Author

Listed:
  • Jiri Witzany

    (Faculty of Finance and Accounting, Prague University of Business and Economics, Czech Republic,)

  • Martin Divis

    (Faculty of Finance and Accounting, Prague University of Business and Economics, Czech Republic)

Abstract

Interest rate risk measurement and management of non-maturity deposit balances presents a challenge for practitioners and academic researchers as well. The paper provides a review of several methodological approaches focusing on the area of savings accounts rate sensitivity modeling and estimation. The proposed models are tested on a Czech banking sector dataset providing mixed results regarding the cointegration type models generally recommended in the literature. On the other hand, the analysis shows that simpler regression models may provide more robust results if the cointegration tests between the saving accounts rate and the market rate series fail.

Suggested Citation

  • Jiri Witzany & Martin Divis, 2021. "Interest Rate Risk of Savings Accounts," Working Papers IES 2021/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2021.
    • Handle: RePEc:fau:wpaper:wp2021_21
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    File URL: https://ies.fsv.cuni.cz/en/veda-vyzkum/working-papers/6443
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    Citations

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    Cited by:

    1. Milan Fičura & Jiří Witzany, 2021. "Determinants of NMD Pass-Through Rates in Eurozone Countries," FFA Working Papers 4.004, Prague University of Economics and Business, revised 11 Mar 2022.

    More about this item

    Keywords

    Interest rate risk; savings accounts; non-maturity deposits; cointegration; pass through rate;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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