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Measuring the interest rate risk of Belgian regulated savings deposits

Author

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  • Konstantijn Maes

    (National Bank of Belgium)

  • Thierry Timmermans

    (National Bank of Belgium)

Abstract

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Suggested Citation

  • Konstantijn Maes & Thierry Timmermans, 2005. "Measuring the interest rate risk of Belgian regulated savings deposits," Financial Stability Review, National Bank of Belgium, vol. 3(1), pages 137-151, June.
    • Handle: RePEc:nbb:fsrart:v:3:y:2005:i:1:p:137-151
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    File URL: http://www.nbb.be/doc/oc/repec/fsrart/fsr_2005_en_137_151.pdf
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    References listed on IDEAS

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    1. Charles Kahn & George Pennacchi & Ben Sopranzetti, 1999. "Bank Deposit Rate Clustering: Theory and Empirical Evidence," Journal of Finance, American Finance Association, vol. 54(6), pages 2185-2214, December.
    2. Richard Sheehan, 2013. "Valuing Core Deposits," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(2), pages 197-220, April.
    3. David Neumark & Steven A. Sharpe, 1992. "Market Structure and the Nature of Price Rigidity: Evidence from the Market for Consumer Deposits," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 107(2), pages 657-680.
    4. Frauendorfer, Karl & Schurle, Michael, 2003. "Management of non-maturing deposits by multistage stochastic programming," European Journal of Operational Research, Elsevier, vol. 151(3), pages 602-616, December.
    5. Hannan, Timothy H & Berger, Allen N, 1991. "The Rigidity of Prices: Evidence from the Banking Industry," American Economic Review, American Economic Association, vol. 81(4), pages 938-945, September.
    6. Kalkbrener, Michael & Willing, Jan, 2004. "Risk management of non-maturing liabilities," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1547-1568, July.
    7. Hutchison, David E. & Pennacchi, George G., 1996. "Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(3), pages 399-417, September.
    8. Jarrow, Robert A. & van Deventer, Donald R., 1998. "The arbitrage-free valuation and hedging of demand deposits and credit card loans," Journal of Banking & Finance, Elsevier, vol. 22(3), pages 249-272, March.
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    Citations

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    Cited by:

    1. Jiøí Witzany & Martin Diviš, 2022. "Interest Rate Sensitivity of Savings Accounts," Journal of Economics / Ekonomicky casopis, Institute of Economic Research, Slovak Academy of Sciences, vol. 70(4), pages 349-367, April.
    2. Hana Džmuráňová & Petr Teplý, . "Why Are Savings Accounts Perceived as Risky Bank Products?," Prague Economic Papers, University of Economics, Prague, vol. 0, pages 1-17.
    3. Hana Džmuráňová & Petr Teplý, 2016. "Why Are Savings Accounts Perceived as Risky Bank Products?," Prague Economic Papers, Prague University of Economics and Business, vol. 2016(5), pages 617-633.
    4. Milan Fičura & Jiří Witzany, 2023. "Determinants of Non-maturing Deposit Pass-through Rates in Eurozone Countries," Politická ekonomie, Prague University of Economics and Business, vol. 2023(3), pages 291-318.
    5. Sopp, Heiko, 2018. "Interest rate pass-through to the rates of core deposits: A new perspective," Discussion Papers 25/2018, Deutsche Bundesbank.
    6. Busch, Ramona & Memmel, Christoph, 2021. "Why are interest rates on bank deposits so low?," Discussion Papers 46/2021, Deutsche Bundesbank.
    7. Jorien Freriks & Jan Kakes, 2021. "Bank interest rate margins in a negative interest rate environment," Working Papers 721, DNB.
    8. Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006. "A multi-factor model for the valuation and risk managment of demand deposits," Working Paper Research 83, National Bank of Belgium.
    9. Milan Fičura & Jiří Witzany, . "Determinants of Non-maturing Deposit Pass-through Rates in Eurozone Countries," Politická ekonomie, Prague University of Economics and Business, vol. 0.
    10. Milan Fičura & Jiří Witzany, 2021. "Determinants of NMD Pass-Through Rates in Eurozone Countries," FFA Working Papers 4.004, Prague University of Economics and Business, revised 11 Mar 2022.

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