Detail publikace

Interest Rate Sensitivity of Non-Maturing Bank Products

Autor: Mgr. Hana Džmuráňová , Martina Hejdová
prof. PhDr. Petr Teplý Ph.D., Martina Hejdová
Typ: Články ve sborníku
Rok: 2017
Číslo: 0
ISSN / ISBN: 2198-7246 / 978-3-319-49558-3
Publikováno v: New Trends in Finance and Accounting - Proceedings of the 17th Annual Conference on Finance and Accounting
Místo vydání: Springer International Publishing
Klíčová slova: non-maturing products; interest rate sensitivity; time series analysis; cointegration; finance
JEL kódy:
Granty: GAUK 165215: Risk management of demand deposits VŠE IP100040
Abstrakt: In this paper we focus on interest rate sensitivity of volumes of non-maturing bank products in the Czech Republic. We first theoretically discuss economic reasons why non-contractual liabilities are expected to be interest rate sensitive while non-maturing assets do not. We than test our hypotheses on time series of dynamics of volumes and client rates of non-maturing products in the Czech Republic. We conclude that non-maturing liabilities exhibit some interest rate sensitivity of volumes while non-maturing assets are largely insensitive. Finally, we drive implications of our analysis for the Czech banking sector.




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