Interest Rate Sensitivity of Non-maturing Bank Products

Martina Hejdová (), Hana Džmuráňová () and Petr Teply
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Martina Hejdová: University of Economics in Prague
Hana Džmuráňová: Charles University in Prague

Chapter Chapter 14 in New Trends in Finance and Accounting, 2017, pp 149-160 from Springer

Abstract: Abstract This paper focuses on interest rate sensitivity of volumes of non-maturing bank products in the Czech Republic. First, we theoretically discuss economic reasons why non-contractual liabilities are expected to be interest rate sensitive, while non-maturing assets are not. Second, we test our hypotheses on time series of dynamics of volumes and client rates of non-maturing products in the Czech Republic in the 1993–2015 period. We conclude that non-maturing liabilities exhibit interest rate sensitivity of volumes, while non-maturing assets are largely insensitive.

Keywords: Non-maturing products; Interest rate sensitivity; Time series analysis; Cointegration; Finance (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-319-49559-0_14

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DOI: 10.1007/978-3-319-49559-0_14

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