Regionalwlevel deposit volatility of a banking system

The financial crisis of 2007 determined the importance of effective liquidity risk management system. A large number of scientific researches in this direction are connected with the identification and analysis of risk factors that explain fluctuations in deposits volume at the micro-level, i.e. at the bank level. The deposit (withdrawal) risks are usually considered as the most important components of liquidity risk. The objective assessment of the stochastic component of deposit volatility is important for the economy, since it has a direct impact on long-term interest rates, cost of borrowed capital, terms of lending and investment. At the same time, the earlier studies did not consider systematically regional differences in explaining the variations in deposit fluctuations. The purpose of this article is to improve the scientific and methodological approaches to assess regional financial risks. We offer to use a semi-dispersion as a measure of deposit (withdrawal) risk and EM-algorithm for clustering country regions by the level of deposit volatility. The research results confirmed the regional differences in the deposit volatility, which, in many cases, are related to uneven provision Russian regions with banking services. The approach can be used for monitoring of financial and economic development of the regions of the Russian Federation.

banks, liquidity, deposit volatility, deposit (withdrawal) risk, EM-algorithm, cluster analysis, regional economy

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