Structural Breaks in Consumer’s Behavior according to their
Demand for Credits and Deposits

D 2019

Structural Breaks in Consumer’s Behavior according to their Demand for Credits and Deposits

SVOBODA, Martin, Annika RÜDER, Noel OPALA a Gennadij SEEL

Základní údaje

Originální název

Structural Breaks in Consumer’s Behavior according to their Demand for Credits and Deposits

Autoři

SVOBODA, Martin (203 Česká republika, garant, domácí), Annika RÜDER (276 Německo, domácí), Noel OPALA (276 Německo, domácí) a Gennadij SEEL (276 Německo, domácí)

Vydání

Brno, European Financial Systems 2019 Proceedings of the 16th International Scientific Conference, od s. 595-602, 8 s. 2019

Nakladatel

Masaryk University Faculty of Economics and Administration Department of Finance and Institute for Financial Market

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50206 Finance

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

tištěná verze "print"

Kód RIV

RIV/00216224:14560/19:00110532

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-210-9338-6

UT WoS

000503222600071

Klíčová slova anglicky

structural breaks; behavioral finance; credit and deposits; future balance sheet and maturity structure

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 11. 5. 2020 14:00, Mgr. Pavel Sedláček

Anotace

V originále

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.

Citovat

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. 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.

@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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