Bank Deposit Interest Rate Pass-through and Geographical Segmentation in Japanese Banking Markets: A panel cointegration approach (Japanese)
AbstractThis paper estimates the pass-through between market interest rates and deposit interest rates in Japan, in order to investigate whether the bank deposit markets are geographically segmented. The unique feature of this paper is to make use of monthly deposit interest rates posted by 106 regional banks from March 1999 to March 2010. Following theoretical results from a simple banking activity model with Cournot competition, I estimate the long run pass-through of each regional bank by utilizing the panel cointegration method. The empirical results of this paper show a significant negative correlation between regional market concentration and pass-through, which implies the existence of geographical market segmentation.
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Bibliographic InfoPaper provided by Research Institute of Economy, Trade and Industry (RIETI) in its series Discussion Papers (Japanese) with number 12023.
Length: 27 pages
Date of creation: Jul 2012
Date of revision:
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Postal: 11th floor, Annex, Ministry of Economy, Trade and Industry (METI) 1-3-1, Kasumigaseki Chiyoda-ku, Tokyo, 100-8901
Web page: http://www.rieti.go.jp/
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-29 (All new papers)
- NEP-BAN-2012-07-29 (Banking)
- NEP-COM-2012-07-29 (Industrial Competition)
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