A Statistical Model for the Foresighted Monitoring of Market Shares

Rolf Kunstek

The IUP Journal of Bank Management, 2011, vol. X, issue 1, 7-30

Abstract: The purpose of this paper is to present the method of foresighted monitoring. This method is based on a multivariate state space model. Three time series were used as the input data for the chosen model. The data comprise the development of the monthly market shares of the end-of-month volume of non-bank deposits for the three largest German bank groups. The analysis shows that the development of their market shares is closely interdependent. Therefore, forecasts of the development of their market shares are very accurate and reliable. Using the method of foresighted monitoring, a competitor is able to anticipate market share development and detect unexpected changes in time.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjbm:v:10:y:2011:i:1:p:7-30

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