Hostname: page-component-586b7cd67f-tf8b9 Total loading time: 0 Render date: 2024-11-23T22:53:25.404Z Has data issue: false hasContentIssue false
  • English
  • Français

Multivariate Time Series Analysis of Bank Financial Behavior

Published online by Cambridge University Press:  06 April 2009

Robert H. Cramer  and
Robert B. Miller
Get access Rights & Permissions [Opens in a new window]

Extract

The bank financial management process involves assets, liabilities, and factors external to the bank and thus is multivariate. Because variables such as deposits, loans, or interest rates are often related with a time lag to another variable such as investments, the process is also dynamic. Although the research work of Aigner [1], Aigner and Bryan [2], Anderson and Burger [3], Bryan [6], Bryan and Carleton [7], Fraser and Rose [10], Hester and Pierce [13], and Melnik [14] has dealt with the multivariate aspect of the process, the consideration of dynamic properties in empirical work has been limited.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 13 , Issue 5 , December 1978 , pp. 1003 - 1017
Copyright
Copyright © School of Business Administration, University of Washington 1978

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Aigner, D. J. “On Estimation of an Econometric Model of Short-Run Bank Behavior.” Journal of Econometrics, Vol. 1 (1973), pp. 201–228.CrossRefGoogle Scholar
[2]Aigner, D. G., and Bryan, W. R.. “A Model of Short-Run Bank Behavior.” Quarterly Journal of Economics (02 1971), pp. 97–118.CrossRefGoogle Scholar
[3]Anderson, L. C., and Burger, A. E.. “Asset Management and Commercial Bank Portfolio Behavior: Theory and Practice.” Journal of Finance (05 1969), pp. 207–222.CrossRefGoogle Scholar
[4]Benston, G. J., and Smith, C. W. Jr, “A Transaction Cost Approach to the Theory of Financial Intermediation.” The Journal of Finance (05 1976), pp. 215–231.CrossRefGoogle Scholar
[5]Box, G. E. P., and Jenkins, G. M., Time Series Analysis: Forecasting and Control. Holden-Day (1970).Google Scholar
[6]Bryan, W. R. “Bank Adjustment to Monetary Policy: Alternative Estimates of the Lag.” American Economic Review (09 1957), pp. 855–864.Google Scholar
[7]Bryan, W. R., and Carleton, W. T.. “Short-Run Adjustments of an Individual Bank.” Econometrica (04 1967), pp. 321–347.CrossRefGoogle Scholar
[8]Cramer, R. H., and Miller, R. B.. “Development of a Deposit Forecasting Procedure for Use in Bank Financial Management.” Journal of Bank Research (Summer 1973), pp. 122–138.Google Scholar
[9]Cramer, R. H., and Miller, R. B.. “Dynamic Modeling of Multivariate Time Series for Use in Bank Analysis.” Journal of Money, Credit, and Banking (02 1976), pp. 85–96.CrossRefGoogle Scholar
[10]Fraser, D. R., and Rose, P. S.. “Short-Run Bank Portfolio Behavior: An Examination of Selected Liquid Assets.” Journal of Finance (05 1973), pp. 531–537.Google Scholar
[11]Haugh, L. D. The Identification of Time Series Interrelationships with Special Reference to Dynamic Regression Models. Unpublished Ph.D. dissertation, University of Wisconsin-Madison (1972).Google Scholar
[12]Haugh, L. D. “Checking the Independence of Two Covariance-Stationary, Normal Time Series: A Univariate Residual Cross Correlation Approach.” Journal of the American Statistical Association (06 1976), pp. 378–385.CrossRefGoogle Scholar
[13]Hester, D. D., and Pierce, J. L.. Bank Management and Portfolio Behavior. Yale University Press (1975).Google Scholar
[14]Melnick, A. “Short Run Determinants of Commercial Bank Investment Portfolios: An Empirical Analysis.” The Journal of Finance (06 1970), pp. 639–649.CrossRefGoogle Scholar