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The impact of the early withdrawal option on time deposit pricing

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  • Gilkeson, James H.
  • Porter, Gary E.
  • Smith, Stanley D.
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    File URL: http://www.sciencedirect.com/science/article/B6W5X-40CRPWX-7/2/e3848d8668b4683932ddba9e070666dc
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    Bibliographic Info

    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 40 (2000)
    Issue (Month): 1 ()
    Pages: 107-120

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    Handle: RePEc:eee:quaeco:v:40:y:2000:i:1:p:107-120

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    Web page: http://www.elsevier.com/locate/inca/620167

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    References

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    1. David Neumark & Steven A. Sharpe, 1989. "Market structure and the nature of price rigidity: evidence from the market for consumer deposits," Finance and Economics Discussion Series 52, Board of Governors of the Federal Reserve System (U.S.).
    2. Cook, Douglas O. & Spellman, Lewis J., 1991. "Federal financial guarantees and the occasional market pricing of default risk: Evidence from insured deposits," Journal of Banking & Finance, Elsevier, vol. 15(6), pages 1113-1130, December.
    3. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
    4. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    5. Cooperman, Elizabeth S & Lee, Winson B & Lesage, James P, 1991. "Geographical Integration and the Retail CD-Pricing Decisions of Large Depository Institutions," The Review of Economics and Statistics, MIT Press, vol. 73(3), pages 546-52, August.
    6. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    7. Longstaff, Francis A., 1990. "The valuation of options on yields," Journal of Financial Economics, Elsevier, vol. 26(1), pages 97-121, July.
    8. Turnbull, Stuart M & Milne, Frank, 1991. "A Simple Approach to Interest-Rate Option Pricing," Review of Financial Studies, Society for Financial Studies, vol. 4(1), pages 87-120.
    9. Flannery, Mark J, 1982. "Retail Bank Deposits as Quasi-Fixed Factors of Production," American Economic Review, American Economic Association, vol. 72(3), pages 527-36, June.
    10. Ho, Thomas S Y & Lee, Sang Bin, 1990. "Interest Rate Futures Options and Interest Rate Options," The Financial Review, Eastern Finance Association, vol. 25(3), pages 345-70, August.
    11. Heffernan, Shelagh A, 1992. "A Computation of Interest Equivalences for Nonprice Characteristics of Bank Products," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 24(2), pages 162-72, May.
    12. Hutchison, David E. & Pennacchi, George G., 1996. "Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(03), pages 399-417, September.
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    Cited by:
    1. Totzek, Alexander, 2008. "The Bank, the Bank-Run, and the Central Bank: The Impact of Early Deposit Withdrawals in a New Keynesian Framework," Economics Working Papers 2008,20, Christian-Albrechts-University of Kiel, Department of Economics.
    2. Stanhouse, Bryan & Ingram, Matthew, 2007. "A computational approach to the optimal structure of bank input prices," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 439-453, February.
    3. Totzek, Alexander, 2009. "Banks and early deposit withdrawals in a new Keynesian framework," Economics Working Papers 2009,08, Christian-Albrechts-University of Kiel, Department of Economics.

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