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Journals / BDDK Bankacılık ve Finansal Piyasalar Dergisi / 2022 / Cilt: 16 - Sayı: 1

Behavioral Modelling of Non-Maturing and Time Deposits in Liquidity Risk Management

BDDK Bankacılık ve Finansal Piyasalar Dergisi

Cemal İbiş
Celal Öztürk
Pages
1–23
Publication Date
2022-10-11
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Likewise, it has been proven that time deposits have a higher core ratio than non-maturing deposits and, similarly Turkish currency deposit ratio compared with foreign currency deposit.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this study, deposit volumes have been modelled with macro-economic and financial variables using the Jarrow-Deventer (1998) Model.
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Key Findings & Data:Core deposits and liquidity term structure, similarly the Kalkbrener-Willing (2014) methodology, have been estimated at 99% confidence level for the next five-year period using the Monte Carlo simulation techniques.
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Conclusion & Impact:Likewise, it has been proven that time deposits have a higher core ratio than non-maturing deposits and, similarly Turkish currency deposit ratio compared with foreign currency deposit.
🔬Design:Modeling & Simulation
📍Scope:2014 Verileri
⚙️Variables:Domain Parameters

Abstract

In this study, deposit volumes have been modelled with macro-economic and financial variables using the Jarrow-Deventer (1998) Model. Core deposits and liquidity term structure, similarly the Kalkbrener-Willing (2014) methodology, have been estimated at 99% confidence level for the next five-year period using the Monte Carlo simulation techniques. The study covers monthly data between January 2012 and December 2019. As a result, empirical evidence indicates that the deposit volumes have been statistically explained with United States (US) Dolar/Turkish Lira foreign exchange rate and market interest rate variables. The results also show that the core deposit ratios of retail are higher than corporate’s. Likewise, it has been proven that time deposits have a higher core ratio than non-maturing deposits and, similarly Turkish currency deposit ratio compared with foreign currency deposit.

Özet

Bu çalışmada, Jarrow-Deventer (1998) Modeli yaklaşımı üzerinden mevduat hacimleri makro eko- nomik ve finansal değişkenlerle modellenmiştir. Kalkbrener-Willing (2014) metodolojisine göre Monte Carlo simülasyon yöntemi uygulanarak gelecek beş yıllık dönem için %99 güven düzeyinde çekirdek mevduat tutarları ve davranışsal vade yapıları tahmin edilmiştir. Ocak 2012 – Aralık 2019 dönemi arasındaki aylık veriler kullanılmıştır. Ampirik bulgular, mevduat hacminin Amerikan Doları Türk Lirası (USD/TRY) döviz kuru ve piyasa faiz oranı değişkenleriyle istatistiksel olarak açıklandığını ve gerçek kişi mevduatların ticari kişi mevduatlara oranla çekirdek mevduat oranlarının daha yüksek olduğunu göstermektedir. Benzer şekilde, vadeli mevduatların vadesiz mevduatlara, Türk Parası (TP) mevduat- ların ise Yabancı Para (YP) mevduatlara oranla daha yüksek çekirdek mevduat oranına sahip olduğu bulgularına ulaşılmıştır.

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Cite This Article

İbiş, C., Öztürk, C. (2022). Behavioral Modelling of Non-Maturing and Time Deposits in Liquidity Risk Management. BDDK Bankacılık ve Finansal Piyasalar Dergisi, Cilt: 16 - Sayı: 1, 1–23. https://ajindex.com/articles/463225

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