Interest Rate Risk of Savings Accounts

Jiří Witzany and Martin Divis
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Martin Divis: Faculty of Finance and Accounting, Prague University of Business and Economics, Czech Republic

No 2021/21, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

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.

Keywords: Interest rate risk; savings accounts; non-maturity deposits; cointegration; pass through rate (search for similar items in EconPapers)
JEL-codes: C32 E43 E58 G21 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2021-06, Revised 2021-06
New Economics Papers: this item is included in nep-ban, nep-mac and nep-rmg
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:fau:wpaper:wp2021_21

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