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Estimating the interest rate sensitivity of liquid retail deposit values

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Author Info
James O'Brien
Athanasios Orphanides
David Small

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Abstract

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Publisher Info
Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series Finance and Economics Discussion Series with number 94-15.

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Date of creation: 1994
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Handle: RePEc:fip:fedgfe:94-15

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Web page: http://www.federalreserve.gov/
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Related research
Keywords: Bank deposits ; Interest rates;

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Cited by:
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  1. 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.). [Downloadable!]
  2. Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006. "A multi-factor model for the valuation and risk managment of demand deposits," Research series 200605-2, National Bank of Belgium. [Downloadable!]
  3. Marie-Paule Laurent, 2004. "Non-Maturity Deposits with a Fidelity Premium," Working Papers CEB 04-016.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
Statistics
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This page was last updated on 2009-12-15.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.