Publication detail

Interest Rate Sensitivity of Non-Maturing Bank Products

Author(s): Mgr. Hana Džmuráňová , Martina Hejdová
prof. PhDr. Petr Teplý Ph.D., Martina Hejdová
Type: Article in collection
Year: 2017
Number: 0
ISSN / ISBN: 2198-7246 / 978-3-319-49558-3
Published in: New Trends in Finance and Accounting - Proceedings of the 17th Annual Conference on Finance and Accounting
Publishing place: Springer International Publishing
Keywords: non-maturing products; interest rate sensitivity; time series analysis; cointegration; finance
JEL codes:
Suggested Citation:
Grants: GAUK 165215: Risk management of demand deposits VŠE IP100040
Abstract: 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.

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance