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

Author(s): Martin Svoboda, Annika Rüder, Noel Opala, Gennadij Seel
Subject(s): Behaviorism, Socio-Economic Research
Published by: Masarykova univerzita nakladatelství
Keywords: structural breaks; behavioral finance; credit and deposits; future balance sheet and maturity structure;
Summary/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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