Interest Rate Risk of Savings Accounts

12 Pages Posted: 4 Jun 2021

See all articles by Jiri Witzany

Jiri Witzany

University of Economics in Prague

Martin Diviš

University of Economics, Prague

Date Written: June 3, 2021

Abstract

Interest rate risk measurement and management of non-maturity deposit balances presents a challenge for practitioners and academic researchers as well. The paper provides a review of several methodological approaches focusing on the area of savings accounts rate sensitivity modeling and estimation. The proposed models are tested on a Czech banking sector dataset providing mixed results regarding the cointegration type models generally recommended in the literature. On the other hand, the analysis shows that simpler regression models may provide more robust results if the cointegration tests between the saving accounts rate and the market rate series fail.

Keywords: Interest rate risk, savings accounts, non-maturity deposits, cointegration, pass through rate

JEL Classification: C32, E43, E58, G21

Suggested Citation

Witzany, Jiri and Diviš, Martin, Interest Rate Risk of Savings Accounts (June 3, 2021). Available at SSRN: https://ssrn.com/abstract=3859429 or http://dx.doi.org/10.2139/ssrn.3859429

Jiri Witzany (Contact Author)

University of Economics in Prague ( email )

Winston Churchilla Sq. 4
Prague 3, 130 67
Czech Republic

Martin Diviš

University of Economics, Prague ( email )

nam. W.Churchilla 4
Prague 3, 130 67
Czech Republic

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