Modeling client rate and volumes of non-maturing accounts
Series
Working Paper Series
Type
working paper
Date Issued
2010
Author(s)
Abstract
In this paper we develop models for the client rate and the volumes of non-maturing accounts. We test the hypothesis that movements in the client rate are dependent upon the market rates regime. We find that the responsiveness of the client rate is symmetric to changes in the short rate, but asymmetric to changes in the longer market rates. Furthermore, the speed of adjustment of the client rate is faster when there is substantial deviation from the equilibrium relationship linking client rate and market rates. We also show that volumes can be explained by the spread between the client rate and the market rates.
Language
English
HSG Classification
contribution to scientific community
Refereed
No
Publisher
Universität St. Gallen
Subject(s)
Eprints ID
62616
File(s)![Thumbnail Image]()
Name
ModelingNomals.pdf
Size
762.77 KB
Format
Adobe PDF
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