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Interest Rate Sensitivity of Savings Accounts

Author

Listed:
  • Jiøí Witzany

    (Prague University of Business and Economics, Faculty of Finance and Accounting)

  • Martin Diviš

    (Prague University of Business and Economics, Faculty of Finance and Accounting)

Abstract

Interest rate risk measurement and management of non-maturity deposit balances presents a challenge for practitioners and academic researchers as well. The paper provides a review of several methodological approaches focusing on the area of savings accounts rate sensitivity modeling and estimation. The pro-posed interest rate sensitivity models are tested on a Czech banking sector dataset providing mixed results regarding the cointegration type models generally recommended in the literature. On the other hand, the analysis shows that simpler regression models may provide more robust results if the cointegration tests between the saving accounts rate and the market rate series fail. According to the empirical results, the sensitivity of the domestic savings rates is slightly higher for companies compared to rates for individuals, but in both cases well below 50%.

Suggested Citation

  • 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.
    • Handle: RePEc:sav:journl:v:70:y:2022:i:4:p:349-367
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    References listed on IDEAS

    as
    1. Havranek, Tomas & Irsova, Zuzana & Lesanovska, Jitka, 2016. "Bank efficiency and interest rate pass-through: Evidence from Czech loan products," Economic Modelling, Elsevier, vol. 54(C), pages 153-169.
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    3. Gerlach, Jeffrey R. & Mora, Nada & Uysal, Pinar, 2018. "Bank funding costs in a rising interest rate environment," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 164-186.
    4. Martina Hejdová & Hana Džmuráňová & Petr Teplý, 2017. "Interest Rate Sensitivity of Non-maturing Bank Products," Springer Proceedings in Business and Economics, in: David Procházka (ed.), New Trends in Finance and Accounting, chapter 0, pages 149-160, Springer.
    5. 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.
    6. 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.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    interest rate sensitivity; savings accounts; non-maturity deposits; cointegration; pass-through rate;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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