Interest Rate Sensitivity of Non-Maturing Bank Products
| Autor: | Mgr. Hana Džmuráňová , Martina Hejdová prof. PhDr. Petr Teplý Ph.D., Martina Hejdová |
|---|---|
| Typ: | Články ve sborníku |
| Rok: | 2017 |
| Číslo: | 0 |
| ISSN / ISBN: | 2198-7246 / 978-3-319-49558-3 |
| Publikováno v: | New Trends in Finance and Accounting - Proceedings of the 17th Annual Conference on Finance and Accounting |
| Místo vydání: | Springer International Publishing |
| Klíčová slova: | non-maturing products; interest rate sensitivity; time series analysis; cointegration; finance |
| JEL kódy: | |
| Citace: | |
| Granty: | GAUK 165215: Risk management of demand deposits VŠE IP100040 |
| Abstrakt: | In this paper we focus on interest rate sensitivity of volumes of non-maturing bank products in the Czech Republic. We first theoretically discuss economic reasons why non-contractual liabilities are expected to be interest rate sensitive while non-maturing assets do not. We than test our hypotheses on time series of dynamics of volumes and client rates of non-maturing products in the Czech Republic. We conclude that non-maturing liabilities exhibit some interest rate sensitivity of volumes while non-maturing assets are largely insensitive. Finally, we drive implications of our analysis for the Czech banking sector. |
