University of St.Gallen
research platform alexandria
search publications
browse publications
by person
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
 
by year

Modeling client rate and volumes of non-maturing accounts

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.
   
type working paper (English)
   
keywords
   
project Management of Non-Maturing Deposits by Multistage Stochastic Programming
date of appearance 2010
issuer institution ior/cf
series title Working Paper Series
publisher Universität St. Gallen
review not reviewed
   
citation Paraschiv, F., & Schürle, M., ior/cf (Eds.), (2010). Modeling client rate and volumes of non-maturing accounts. Working Paper Series: Universität St. Gallen.