Structural Breaks in Consumer’s Behavior according to their Demand for Credits and Deposits

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F19%3A00110532" target="_blank" >RIV/00216224:14560/19:00110532 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Structural Breaks in Consumer’s Behavior according to their Demand for Credits and Deposits

Original language description

Dealing with strategic maturity transformation and the consequences for balance sheet structures leads to a most relevant question in interest rate risk management and measurement for banks worldwide: Are there any structural breaks in consumer’s behavior to their demand of credits and deposits? According to such structural breaks, the predictability of future balance sheet structure is relevant for the return forecast and the funding plan. Most of the strategic maturity transformation positions are deposits by private consumers or credited to private consumers. Throughout, risk measure methods, financial forecasts and the Asset Liability Management apply the return and risk prediction under constant action of the consumers. Changed maturity preferences cannot take balance sheet structure and interest rate risk measurement into account. This article answers the question if there is a structural break of consumer’s preferences in the maturity of their deposits or the credit term. Therefore, different time series from the Deutsche Bundesbank, concerning the German bank markets, get analyzed with a CUSUM-test. We test if the change of the new business volume has a constant mean or identical coefficients in case of multivariate new business volumes. This research confirms the hypothesis that there are breaks in the change of the new business volume.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

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OECD FORD branch

50206 - Finance

Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2019

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

European Financial Systems 2019 Proceedings of the 16th International Scientific Conference

ISBN

9788021093386

ISSN

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e-ISSN

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Number of pages

8

Pages from-to

595-602

Publisher name

Masaryk University Faculty of Economics and Administration Department of Finance and Institute for Financial Market

Place of publication

Brno

Event location

Brno

Event date

Jun 23, 2019

Type of event by nationality

EUR - Evropská akce

UT code for WoS article

000503222600071