Modeling client rate and volumes of non-maturing accounts

Item Type Monograph (Working Paper)
Abstract In this paper we develop models for the client rate and the volumes of non-maturing accounts. We test the hypothesis that movements in the client rate are dependent upon the market rates regime. We find that the responsiveness of the client rate is symmetric to changes in the short rate, but asymmetric to changes in the longer market rates. Furthermore, the speed of adjustment of the client rate is faster when there is substantial deviation from the equilibrium relationship linking client rate and market rates. We also show that volumes can be explained by the spread between the client rate and the market rates.
Authors Paraschiv, Florentina & Schürle, Michael
Projects Frauendorfer, Karl; Schürle, Michael & Haarbrücker, Gido (1993) Management of Non-Maturing Deposits by Multistage Stochastic Programming [applied research project]
Language English
Subjects business studies
HSG Classification contribution to scientific community
Refereed No
Date 2010
Publisher Universität St. Gallen
Series Name Working Paper Series
Depositing User Dr. Michael Hermann Schürle
Date Deposited 27 May 2010 18:11
Last Modified 30 Nov 2022 01:22
URI: https://www.alexandria.unisg.ch/publications/62616

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Paraschiv, Florentina & Schürle, Michael: Modeling client rate and volumes of non-maturing accounts. Working Paper Series, 2010,

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https://www.alexandria.unisg.ch/id/eprint/62616
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