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Forecasting the migration of deposit volume towards term deposits for Nationale-Nederlanden Bank

Voogt, P.S. (2024) Forecasting the migration of deposit volume towards term deposits for Nationale-Nederlanden Bank.

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Abstract:In this research, we develop a model framework that can predict the migration of deposit volume from savings accounts towards term deposits. The research makes use of a dataset provided by Nationale-Nederlanden Bank (NN Bank), which consists of monthly customer account data. A model framework was developed that consisted of different interest rate and deposit volume models. The models were trained and tested on the dataset of the NN Bank and historical interest rates. During this process, we encountered issues with the non-stationarity of our time series due to the sudden increase in interest rates in 2023. In the research, we divided the different maturities of term deposits into three distinct maturity groups: the 1-year, 2-year, and 3+ year. We researched whether the spread between the savings rate and the term deposit rate, or the level of the term deposit rate itself, gave customers more incentive to open a term deposit. The model developed to predict the migration was unable to make accurate predictions on our test set due to the limited observations of term deposits opened in our dataset before 2023. Due to the data issues, it is not possible to draw a reliable conclusion from this research. Despite this, our findings indicate that a reduction in the spread between the two rates is associated with a decline in the number of term deposits opened. When the term deposit rate is used as an input for our model, we observe a more consistent outflow.
Item Type:Essay (Master)
Zanders, Utrecht, Netherlands
Nationale-Nederlanden Bank, Den Haag, Netherlands
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:83 economics
Programme:Industrial Engineering and Management MSc (60029)
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