SVOBODA, Martin, Annika RÜDER, Noel OPALA and 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, p. 595-602. ISBN 978-80-210-9338-6.
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Basic information
Original name Structural Breaks in Consumer’s Behavior according to their Demand for Credits and Deposits
Authors SVOBODA, Martin (203 Czech Republic, guarantor, belonging to the institution), Annika RÜDER (276 Germany, belonging to the institution), Noel OPALA (276 Germany, belonging to the institution) and Gennadij SEEL (276 Germany, belonging to the institution).
Edition Brno, European Financial Systems 2019 Proceedings of the 16th International Scientific Conference, p. 595-602, 8 pp. 2019.
Publisher Masaryk University Faculty of Economics and Administration Department of Finance and Institute for Financial Market
Other information
Original language English
Type of outcome Proceedings paper
Field of Study 50206 Finance
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
Publication form printed version "print"
RIV identification code RIV/00216224:14560/19:00110532
Organization unit Faculty of Economics and Administration
ISBN 978-80-210-9338-6
UT WoS 000503222600071
Keywords in English structural breaks; behavioral finance; credit and deposits; future balance sheet and maturity structure
Tags International impact, Reviewed
Changed by Changed by: Mgr. Pavel Sedláček, učo 23217. Changed: 11/5/2020 14:00.
Abstract
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.
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