Determinants of Depositors’ Behaviour: Heterogeneous Panel Estimates

Leyla Mammadova, Aytan Mammadova (), Fuad Mammadov () and Leyla Yusifzada
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Aytan Mammadova: Central Bank of Azerbaijan Republic

No 1603, Working Papers from Central Bank of Azerbaijan Republic

Abstract: This paper empirically evaluates determinants of depositors’ behaviour in Azerbaijan. The response of depositors to macroeconomic, alternative investment and bank specific shocks is analyzed by implementing recently developed panel time series methods that are robust to regional heterogeneity and inter-dependencies. We consider that macroeconomic and alternative investment factors are initially exogenous to the banking system and hit all banks simultaneously. Using a monthly panel dataset of Azerbaijan from January 2009 to June 2015, the paper provides new evidence regarding the importance of relationship between deposits and macroeconomic factors, specifically currency risk. The paper highlights the role of currency risk as a determinant of depositors’ behaviour and concludes that its role overshadow the importance of alternative investment and bank specific factors in Azerbaijan. Despite of wide variation in response of depositors to macroeconomic, alternative investment and bank specific shocks, overall, depositors seem more responsive to risks than previous literature have recognized.

Keywords: depositors’ behaviour; macroeconomic risks; official reserves; house price; deposit interest rate (search for similar items in EconPapers)
JEL-codes: C33 G21 G28 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2016-05-11
New Economics Papers: this item is included in nep-cwa
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Working Paper: Determinants of depositors’ behaviour: Heterogeneous panel estimates (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:aze:wpaper:1603

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