Impact of policy rate fluctuations on investment accounts volume in Moroccan participative banks

Effet des fluctuations du taux directeur sur le volume des dépôts d'investissement des banques participatives Marocaines

Mezine Anass and Pr Abdelhak
Additional contact information
Mezine Anass: FSJES AIN SEBAA, Hassan II University –Casablanca
Pr Abdelhak: FSJES AIN SEBAA, Hassan II University –Casablanca

Post-Print from HAL

Abstract: Deposit interest rates are recognized as one of the determining factors for the volume of savings in the economy. Although, there are cases with contradictory results, it is widely accepted that the rate of remuneration on deposits has a positive relationship with their volume. In other words, bank depositors are typically motivated by maximizing their profits. Even though, the business model of participative banks excludes interest rate, several studies have confirmed that these institutions experience fund outflows in response to market credit interest rate fluctuations. In this paper, we examine the interaction links between the investment deposits' volume in participative banks, the volume of term deposits in conventional banks, and the interest rate's policy. Our study employs a time-series analysis of monthly banks data from January 2020 to June 2024. The methodology adopted is based on an approach ranging from verifiying the statistical properties of the series of variables studied, to analysis of the existence of cointegration and causal relationships between the variables. To achieve this, the Johansen cointegration test, the Granger causality test, and impulse response function (IRF) analysis were used within a vector error correction model (VECM) framework. The results obtained reveal the opportunistic behavior of investment account holders in participative banks who immediately transfer their funds to higher-yielding conventional term deposits following a variation in market rates. Under commercial pressure, the participative banks are compelled to gradually adjust their investment deposits remuneration rates to maintain their attractiveness. Our findings also illustrate the existence of structural interactions between the conventional and participative banking systems, where the strategic decisions of one segment gradually influence the other. Our study confirms the exposure of participative banks to rate of return risks, particularly those related to depositor behavior. However, these institutions struggle with a shortage of risk management instruments. Consequently, they are obliged to develop innovative risk management strategies tailored to their specific characteristics. The recommendations provided in this paper focus notably on developing hedging instruments that comply with participative finance principles, the implementation of a reserve policy based on profit equalization reserves (PER) and investment risk reserves (IRR), and the improvement of internal risk management approaches to better anticipate and manage periods of vulnerability.

Keywords: Participative banks; Rate of return risk; Granger causality; Cointegration; Winsorizing; VECM; Banques participatives; Risque de taux de rendement; Causalité Granger; Cointégration; Winsorisation (search for similar items in EconPapers)
Date: 2025-03-25
Note: View the original document on HAL open archive server: https://hal.science/hal-05005487v1
References: Add references at CitEc
Citations:

Published in Journal of Economics, Finance and Management (JEFM), A paraître, 4 (2), pp.219-240. ⟨10.5281/zenodo.15083497⟩

Downloads: (external link)
https://hal.science/hal-05005487v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05005487

DOI: 10.5281/zenodo.15083497

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().