| Item Type |
Journal paper
|
| Abstract |
Retail banks usually apply simple linear regression models for describing the dynamics of the deposit rates of non-maturing accounts (NMA) like savings deposits. Thus, typical patterns like asymmetry or rigidity that banks follow when adjusting their deposit rates are ignored. This is insofar surprising, as the asymmetric deposit rate adjustment affects the pricing of embedded options for NMA. In this work we contribute to the elimination of these inconsistencies. Based on data for deposit rates from a representative sample of Swiss banks we provide a strong evidence for both asymmetric adjustment and rigidity pattern. Our proposed modeling approaches reveal that the strategies of Swiss banks to adjust deposit rates are regime dependent. In times of market stress, Swiss banks are tight to market rates; however, in normal regimes this is not observed. |
| Authors |
Paraschiv, Florentina |
| Projects |
Aka, Timur; Haeusler, Frank; Paraschiv, Florentina & Schürle, Michael
(2005)
Interest rate risk hedging of a bank balance (Phase 2)
[industry project]
|
| Journal or Publication Title |
Journal of Applied Finance & Banking |
| Language |
English |
| Keywords |
non-maturing accounts, deposit rates, asymmetries, rigidity; |
| Subjects |
economics |
| HSG Classification |
contribution to scientific community |
| Refereed |
Yes |
| Date |
4 April 2013 |
| Publisher |
Scienpress |
| Place of Publication |
London UK |
| Volume |
3 |
| Number |
3 |
| Page Range |
271-323 |
| Number of Pages |
53 |
| ISSN |
1792-6580 |
| ISSN-Digital |
1792-6599 |
| Depositing User |
Prof. Dr. Florentina Paraschiv
|
| Date Deposited |
11 Dec 2012 10:10 |
| Last Modified |
20 Jul 2022 17:14 |
| URI: |
https://www.alexandria.unisg.ch/publications/218622 |
Adjustment Policy of Deposit Rates in the Case of Swiss Non-maturing Savings Accounts
![[img]](http://www.alexandria.unisg.ch/style/images/fileicons/oa_orange.png)
