Behavioral Modelling of Non-Maturing and Time Deposits in Liquidity Risk Management

Celal Ozturk and Cemal Ibis

Journal of BRSA Banking and Financial Markets, 2022, vol. 16, issue 1, 1-26

Abstract: In this study, deposit volumes have been modelled with macro-economic and financial variables using the Jarrow-Deventer (1998) Model. Core deposits and liquidity term structure, similarly the Kalkbrener-Willing (2014) methodology, have been estimated at 99% confidence level for the next five-year period using the Monte Carlo simulation techniques. The study covers monthly data between January 2012 and December 2019. As a result, empirical evidence indicates that the deposit volumes have been statistically explained with United States (US) Dolar/Turkish Lira foreign exchange rate and market interest rate variables. The results also show that the core deposit ratios of retail are higher than corporate’s. Likewise, it has been proven that time deposits have a higher core ratio than non-maturing deposits and, similarly Turkish currency deposit ratio compared with foreign currency deposit.

Keywords: Liquidity risk; core deposit; behavioral modelling (search for similar items in EconPapers)
JEL-codes: C53 G21 G32 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:bdd:journl:v:16:y:2022:i:1:p:1-26

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