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Bank Imputed Interest Rates: Unbiased Estimates of Offered Rates?

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Author Info
Örs, Evren
Rice, Tara
Abstract

We examine whether “imputed” interest rates obtained from bank financial statements are unbiased estimates of “offered” interest rates that the same banks report in surveys. We find evidence of a statistically significant amount of bias. However, the statistical bias that we document does not appear to be economically significant. When used as dependent variables in regression analysis, imputed rates and offered rates lead to the same policy conclusions. Our work has important methodological implications for empirical research that examines the product market competition among depository institutions.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 6036.

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Date of creation: Jan 2007
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Handle: RePEc:cpr:ceprdp:6036

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Related research
Keywords: deposit rates imputed prices product market transaction prices

Find related papers by JEL classification:
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages
L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms

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    Other versions:
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    Other versions:
  13. Paul S. Calem & Leonard I. Nakamura, 1998. "Branch Banking And The Geography Of Bank Pricing," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 600-610, November. [Downloadable!] (restricted)
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