| 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 |
Modeling client rate and volumes of non-maturing accounts
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