Metadaten







Promotionsordnung


PromO07

Kumulative Dissertation


nein

Titel


Modeling client rate and volumes of non-maturing savings accounts

Titel (englisch)



Autor/Autorin


Paraschiv, Florentina

2. Autor/Autorin



Geburtsdatum


20.01.1982

Geburtsort


Bucharest, Romania

Matrikelnummer


07614753

Schlagwörter (GND)


Schweiz; Sparkonto; Zinsänderung; Angebotselastizität; Fehlerkorrekturmodell; Threshold accepting; Tobit-Modell; Sparverhalten

DDC (Dewey Decimal Classification)


Wirtschaft - 330

Freie Stichwörter (deutsch)


Bankkonto; Zinsrisiko; Zinsänderungsrisiko; Zinsanpassungsverhalten der Banken

Freie Stichwörter (englisch)


Non-maturing accounts; client rate; volumes; asymmetry; rigidity

Kurzfassung



Kurzfassung (englisch)


Retail Banks usually apply OLS-based approaches for identifying the replication portfolio which helps to manage their non-maturing savings accounts. OLS-based client rate models used for the replication portfolios do not take into account neither the rigidity nor the asymmetry the banks follow when they adjust their client rates according to the observed markets rate dynamics. This is insofar surprising, as the asymmetric client rate adjustment forms the basis for pricing the imbedded withdrawal options of the client rates.
In this work we contribute to the elimination of these inconsistencies: based on Swiss National Bank (SNB) data we investigate models in error correction form, two threshold models complementing each other and a friction model for characterizing the dynamics of the client rate. The model in error correction form provides us with a first insight into the client rate's sensitivity to its deviations from the long run equilibrium level, which has been derived in relation with the market rates. One of the two introduced threshold models quantify the asymmetric client rate adjustments with respect to its deviations from its equilibrium level. This model reveals the bank's strategy of how to adjust the client rate in normal regimes. The second threshold model is able to anticipate extreme movements in case of a crisis situation, like in 2008. The friction model measures the rigidity of the savings client rate. In addition to the client rate models we introduce a volume model in autoregressive form that gives us an insight into the seasonality pattern of volumes dynamics and that allows for forecasting the savings volumes with respect to the markets rates.
Finally, we apply a vector autoregressive approach for analyzing the behavior of the Swiss depositors with respect to the macroeconomic factors Swiss Bond Index, Swiss Performance Index, M1 and Consumer Price Index.

Universität


Universität St.Gallen

Referent/Referentin


Frauendorfer, Karl (Prof. Dr.)

Korreferent/Korreferentin


Söderlind, Paul (Prof. PhD)

Erweitertes Diss. Komitee



Fachgebiet


Economics and Finance (PEF)

Sprache


ENG

Promotionstermin (dd.mm.yyyy)


19.09.2011

Erstellungsjahr (yyyy)


2011

Dokumentart


Dissertation

Format


PDF

Dissertationsnummer


3924

Quelle



PDF-File


dis3924.pdf

Dokumentverknüpfung


Link zu diesem Dokument







letzte Änderung: 09/09/2015 - Allgemeine rechtliche Informationen - Datenschutz [ Nach oben ]