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1 Ekonomický časopis (Journal of Economics)

1 2022

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INTEREST RATE SENSITIVITY OF SAVINGS ACCOUNTS

100%

Witzany J. , Diviš M.

nr 4

349 – 367

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 modelling and estimation. The proposed interest rate sensitivity models are tested on a Czech banking sector dataset providing mixed results regarding the co-integration 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 co-integration tests between the saving accounts rate and the market rate series fail. According to the empirical results, the sensitivity of the domestic savings rates is slightly higher for companies compared to rates for individuals, but in both cases well below 50%.