Interest Rate Sensitivity of Savings Accounts

Jiří Witzany and Martin Diviš
Additional contact information
Martin Diviš: Prague University of Business and Economics, Faculty of Finance and Accounting

Journal of Economics / Ekonomicky casopis, 2022, vol. 70, issue 4, 349-367

Abstract: Interest rate risk measurement and management of non-maturity deposit balances presents a challenge for practitioners and academic researchers as well. The paper provides a review of several methodological approaches focusing on the area of savings accounts rate sensitivity modeling and estimation. The pro-posed interest rate sensitivity models are tested on a Czech banking sector dataset providing mixed results regarding the cointegration type models generally recommended in the literature. On the other hand, the analysis shows that simpler regression models may provide more robust results if the cointegration tests between the saving accounts rate and the market rate series fail. According to the empirical results, the sensitivity of the domestic savings rates is slightly higher for companies compared to rates for individuals, but in both cases well below 50%.

Keywords: interest rate sensitivity; savings accounts; non-maturity deposits; cointegration; pass-through rate (search for similar items in EconPapers)
JEL-codes: C32 E43 E58 G21 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.sav.sk/journals/uploads/0905142804%2022%20Witzany.pdf (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:sav:journl:v:70:y:2022:i:4:p:349-367

Access Statistics for this article

Journal of Economics / Ekonomicky casopis is currently edited by Tomas Jeck

More articles in Journal of Economics / Ekonomicky casopis from Institute of Economic Research, Slovak Academy of Sciences Contact information at EDIRC.
Bibliographic data for series maintained by Peter Renac ().