แบบจำลองเพื่อพรรณนาพฤติกรรมเงินฝากที่ไม่ระบุอายุการฝาก : กรณีศึกษาเงินฝากออมทรัพย์พิเศษของธนาคารพาณิชย์ไทย

Abstract

Special saving deposits are popular fund raising products of medium and small Thai commercial banks. While the deposits are non-maturing, banks must estimate their durations so that liquidity and market risks can be managed properly. This study applies a replicating portfolio model to estimate those durations and finds that the estimation is successful. It also finds that the deposit interest rates are lower than the returns offered by the replicating treasury-bond portfolios. The negative return difference is a puzzle, which the study finds the evidence that the puzzle can be explained by the larger convenience returns over the smaller credit risk premiums.