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@inproceedings{1551241,
author = {Svoboda, Martin and Rüder, Annika and Opala, Noel and Seel, Gennadij},
address = {Brno},
booktitle = {European Financial Systems 2019 Proceedings of the 16th International Scientific Conference},
editor = {Josef Nešleha},
keywords = {structural breaks; behavioral finance; credit and deposits; future balance sheet and maturity structure},
howpublished = {tištěná verze "print"},
language = {eng},
location = {Brno},
isbn = {978-80-210-9338-6},
pages = {595-602},
publisher = {Masaryk University Faculty of Economics and Administration Department of Finance and Institute for Financial Market},
title = {Structural Breaks in Consumer’s Behavior according to their Demand for Credits and Deposits},
year = {2019}
}
TY - JOUR
ID - 1551241
AU - Svoboda, Martin - Rüder, Annika - Opala, Noel - Seel, Gennadij
PY - 2019
TI - Structural Breaks in Consumer’s Behavior according to their Demand for Credits and Deposits
PB - Masaryk University Faculty of Economics and Administration Department of Finance and Institute for Financial Market
CY - Brno
SN - 9788021093386
KW - structural breaks
KW - behavioral finance
KW - credit and deposits
KW - future balance sheet and maturity structure
N2 - Dealing with strategic maturity transformation and the consequences for balance sheet structures leads to a most relevant question in interest rate risk management and measurement for banks worldwide: Are there any structural breaks in consumer’s behavior to their demand of credits and deposits? According to such structural breaks, the predictability of future balance sheet structure is relevant for the return forecast and the funding plan. Most of the strategic maturity transformation positions are deposits by private consumers or credited to private consumers. Throughout, risk measure methods, financial forecasts and the Asset Liability Management apply the return and risk prediction under constant action of the consumers. Changed maturity preferences cannot take balance sheet structure and interest rate risk measurement into account. This article answers the question if there is a structural break of consumer’s preferences in the maturity of their deposits or the credit term. Therefore, different time series from the Deutsche Bundesbank, concerning the German bank markets, get analyzed with a CUSUM-test. We test if the change of the new business volume has a constant mean or identical coefficients in case of multivariate new business volumes. This research confirms the hypothesis that there are breaks in the change of the new business volume.
ER -
SVOBODA, Martin, Annika RÜDER, Noel OPALA a Gennadij SEEL. Structural Breaks in Consumer’s Behavior according to their Demand for Credits and Deposits. In Josef Nešleha. \textit{European Financial Systems 2019 Proceedings of the 16th International Scientific Conference}. Brno: Masaryk University Faculty of Economics and Administration Department of Finance and Institute for Financial Market, 2019, s.~595-602. ISBN~978-80-210-9338-6.
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