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№ 2/2020

Forecasting methods and models

VASIURENKO Oleg ¹, BEREZHNYTSKA Uliana Bohdanivna²

¹Private Higher Education Institution "Kyiv Institute of Business and Technology"
²Ivano-Frankivsk National Technical University of Oil and Gas

WAVELET COHERENCE AS A TOOL FOR RETROSPECTIVE ANALYSIS OF BANK ACTIVITIES

Ekon. prognozuvannâ 2020; 2:43-60

https://doi.org/10.15407/eip2020.02.043

ABSTRACT ▼

The article considers the possibility and expediency of using the apparatus of the theory of wavelets to conduct analysis of banking activities. The authors determine separate stages of the complex application of various tools on the theory of wavelets to analyze the activities of banks based on retrospective data. Among these stages are: decomposition of the initial data by their approximating coefficients and coefficients of detail, and the use of wavelet coherence.
Indicated the importance of conducting a retrospective analysis to reveal hidden relationships in the data structure that determine certain aspects of banking. The advantages of using the tools of the theory of wavelets from the point of view of analyzing the activities of banks based on their statistical data are highlighted. Among these advantages the authors highlight the possibility of studying the relationships between data over time and determining the depth of such relationships. It is noted that this can be done in one research window.
Particular attention is focused on the analysis of the reciprocity between the volume of funds in deposit accounts and the volume of loans granted, as one of the key parameters for conducting banking activities. The reciprocity between the volumes of funds in deposit accounts and the volumes of loans granted is revealed in accordance with the volumes of administrative expenses and equity of banks. It is noted that retrospective analysis allows us to identify the consequences of the onset of unwanted events and prevent them in the future.
To carry out a corresponding analysis, the content of constructing a description of spatial wavelet coherence is disclosed. Such a description makes it possible to take into account a larger number of parameters than classical approaches for calculating wavelet coherence. This expands the boundaries of the relevant analysis, allows you to explore various mutual influences between individual banks in terms of their individual indicators for banking activities. Such an analysis allows to determine not only the reciprocity between individual indicators of banking activity, but also the depth of influence between individual banks, taking into account such indicators of their activity. Concrete examples are given that prove the feasibility and likelihood of applying the proposed approaches to the analysis of banking activities.

Keywords:wavelet coherence, banking, time series, deposits, loans, administrative expenses, equity

JEL: С33, С55, С65, G21

Article in Ukrainian (pp. 43 - 60)

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№ 2/2020

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