Determinants of Bank-Level Deposit Volatility: Evidence from the German Banking System

35 Pages Posted: 1 Nov 2016 Last revised: 29 Nov 2016

See all articles by Daniel Streit

Daniel Streit

Ruhr University of Bochum - Department of Finance and Banking

Marc Lange

Ruhr University of Bochum - Department of Finance and Banking

Stephan Paul

Ruhr University of Bochum - Faculty of Economics

Date Written: November 28, 2016

Abstract

This study reviews the existing literature on the determinants of bank-level deposit volatility and is the first to provide empirical evidence for the German banking system by analyzing a large set of confidential micro-data from 2,262 banks over the period from 2003 to 2015. Taking advantage of the system's three-pillar structure, the analysis reveals that the nature of deposit volatility and the relevance of its determinants vary by banking pillar. The identified differences between larger commercial banks and smaller retail institutions (cooperative and savings banks) may largely be due to different degrees of diversification of the customer base and the funding portfolio. This also holds for market-wide liquidity supply, bank equity capitalization and funding risk that are identified as further determinants. Besides mapping avenues for future research, the findings are relevant for bank management since they may help to improve efficiency of risk management routines and strategy evaluation.

Keywords: Deposits, Deposit Volatility, Withdrawal Risk, Funding Liquidity Risk, Basel III Liquidity Regulation, Online Banking

JEL Classification: G01, G21, G18, G28, E21, E44

Suggested Citation

Streit, Daniel and Lange, Marc and Paul, Stephan, Determinants of Bank-Level Deposit Volatility: Evidence from the German Banking System (November 28, 2016). Available at SSRN: https://ssrn.com/abstract=2862034 or http://dx.doi.org/10.2139/ssrn.2862034

Daniel Streit (Contact Author)

Ruhr University of Bochum - Department of Finance and Banking ( email )

Universitätsstraße 150
Bochum, 44801
Germany

Marc Lange

Ruhr University of Bochum - Department of Finance and Banking ( email )

Germany

Stephan Paul

Ruhr University of Bochum - Faculty of Economics ( email )

Ruhr University of Bochum
Faculty of Economics
Bochum, DE 44780
Germany

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