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What Goes Up Must Come Down? Asymmetries and Persistence in Bank Deposit Rates

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  • Richard Rosen

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Bibliographic Info

Article provided by Springer in its journal Journal of Financial Services Research.

Volume (Year): 21 (2002)
Issue (Month): 3 (June)
Pages: 173-193

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Handle: RePEc:kap:jfsres:v:21:y:2002:i:3:p:173-193

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Web page: http://www.springerlink.com/link.asp?id=102934

Related research

Keywords: Banks; interest rates; bank deposits.;

References

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  1. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
  2. James M. O'Brien, 2000. "Estimating the value and interest rate risk of interest-bearing transactions deposits," Finance and Economics Discussion Series 2000-53, Board of Governors of the Federal Reserve System (U.S.).
  3. Rotemberg, Julio J & Saloner, Garth, 1987. "The Relative Rigidity of Monopoly Pricing," American Economic Review, American Economic Association, vol. 77(5), pages 917-26, December.
  4. 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.).
  5. Christopher Green, 1998. "Banks as Interest Rate Managers," Journal of Financial Services Research, Springer, vol. 14(3), pages 189-208, December.
  6. Hutchison, David E, 1995. "Retail Bank Deposit Pricing: An Intertemporal Asset Pricing Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(1), pages 217-31, February.
  7. Francis X. Diebold & Steven A. Sharpe, 1988. "Post-deregulation deposit rate pricing: the multivariate dynamics," Finance and Economics Discussion Series 8, Board of Governors of the Federal Reserve System (U.S.).
  8. Steven A. Sharpe, 1992. "Consumer switching costs, market structure and prices: the theory and its application in the bank deposit market," Finance and Economics Discussion Series 183, Board of Governors of the Federal Reserve System (U.S.).
  9. Hannan, Timothy H & Berger, Allen N, 1991. "The Rigidity of Prices: Evidence from the Banking Industry," American Economic Review, American Economic Association, vol. 81(4), pages 938-45, September.
  10. Ausubel, Lawrence M, 1991. "The Failure of Competition in the Credit Card Market," American Economic Review, American Economic Association, vol. 81(1), pages 50-81, March.
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Citations

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Cited by:
  1. Paraschiv, Florentina, 2012. "Adjustment Policy of Deposit Rates in the Case of Swiss non-Maturing Savings Accounts," Working Papers on Finance 1219, University of St. Gallen, School of Finance.
  2. De Graeve, Ferre & De Jonghe, Olivier & Vennet, Rudi Vander, 2007. "Competition, transmission and bank pricing policies: Evidence from Belgian loan and deposit markets," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 259-278, January.
  3. Charles Kahn & George Pennacchi & Ben Sopranzetti, 1996. "Bank deposit rate clustering: theory and empirical evidence," Working Paper 9604, Federal Reserve Bank of Cleveland.
  4. Örs, Evren & Rice, Tara, 2007. "Bank Imputed Interest Rates: Unbiased Estimates of Offered Rates?," CEPR Discussion Papers 6036, C.E.P.R. Discussion Papers.
  5. Johann Burgstaller, 2005. "Interest rate pass-through estimates from vector autoregressive models," Economics working papers 2005-10, Department of Economics, Johannes Kepler University Linz, Austria.
  6. Barry Scholnick, 1999. "Interest Rate Asymmetries in Long-Term Loan and Deposit Markets," Journal of Financial Services Research, Springer, vol. 16(1), pages 5-26, September.
  7. Raquel Lago-González & Vicente Salas-Fumás, 2005. "Market power and bank interest rate adjustments," Banco de Espa�a Working Papers 0539, Banco de Espa�a.
  8. Richard J. Rosen, 2003. "Banking market conditions and deposit interest rates," Working Paper Series WP-03-19, Federal Reserve Bank of Chicago.
  9. Richard Sheehan, 2013. "Valuing Core Deposits," Journal of Financial Services Research, Springer, vol. 43(2), pages 197-220, April.
  10. Zulkhibri, Muhamed, 2012. "Policy rate pass-through and the adjustment of retail interest rates: Empirical evidence from Malaysian financial institutions," Journal of Asian Economics, Elsevier, vol. 23(4), pages 409-422.
  11. John Ashton & Andros Gregoriou & Jerome V. Healy, 2013. "The relative influence of price and choice factors on retail deposit quantities," Working Papers 13006, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  12. Gambacorta, Leonardo, 2008. "How do banks set interest rates?," European Economic Review, Elsevier, vol. 52(5), pages 792-819, July.
  13. Evren Örs & Tara Rice, 2006. "Bank imputed interest rates: unbiased estimates of offered rates?," Working Paper Series WP-06-26, Federal Reserve Bank of Chicago.

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