Which Component of Deposit Drives Systemic Risk Volatility

Yunying Huang and Kenichiro Soyano
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Yunying Huang: College of Economics, Jinan University, Guangzhou, China
Kenichiro Soyano: Department of Law and Public Policy, Takaoka University of Law, Toyama-ken, Japan

Economic Analysis Letters, 2022, vol. 1, issue 1, 1-7

Abstract: Bank deposit is closely related to systemic risks. In addition, considering that resident deposits in China have significant seasonal characteristics, this paper focuses on which component of deposits drives the systemic risk volatility, that is, it can supplement the existing forecast information. We use X-13ARIMA-SEATS to decompose deposit into three subsequences. The research findings show that the forecast effect of subsequence models is better than that of benchmark series. Most importantly, the model with trend component has the best forecast performance.

Keywords: Deposit; Systemic Risk; X-13ARIMA-SEATS (search for similar items in EconPapers)
Date: 2022
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