The role of the behavioral factor in the formation of deposit cash flow volatility

Abstract

Subject. The article investigates the volatility of deposit cash flow. The presented study reveals the relationship between the actions of actors with different types of behavior and the volatility of deposit cash flow. Objectives. The aim is to develop an approach to identify volatility caused by behavioral reactions of economic actors. Methods. The study employs a methodological approach to the analysis of the volatility of cash flows, which involves fractal and regression analyses, the construction of Shewhart charts. The latter enabled to determine turbulent values of the deposit cash flow. Results. The volatility of deposit cash flows depends on institutional and behavioral factors. Based on fractal analysis, we determined preservation of structural conditions for deposit cash flow for 32 months. Simultaneous panic actions of actors lead to the formation of a turbulent deposit cash flow, creating shocks for the banking system. It is empirically estimated that an increase in the key rate by 1% leads to an increase in the probability of a turbulent cash flow by 1.9%. Any improvement in the news background reduces the probability of turbulent deposit cash flow. The greatest impact on the likelihood of a turbulent cash flow has a news background with a lag of two months. Conclusions. Regulation of the volatility of cash flows is advisable in a situation of panic actions on the part of economic actors. The Bank of Russia, through applying the data of the Bank of Russia Payment System, can contribute to the implementation of the policy of regulating the volatility of cash flows caused by behavioral reactions of economic actors.