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Bank imputed interest rates: unbiased estimates of offered rates?

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Author Info
Evren Örs
Tara Rice
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 Federal Reserve Bank of Chicago in its series Working Paper Series with number WP-06-26.

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Date of creation: 2006
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Handle: RePEc:fip:fedhwp:wp-06-26

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Keywords: Interest rates;

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  6. Berger, Allen N & Hannan, Timothy H, 1992. "The Price-Concentration Relationship in Banking: A Reply," The Review of Economics and Statistics, MIT Press, vol. 74(2), pages 376-79, May. [Downloadable!] (restricted)
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  15. Richard Rosen, 2002. "What Goes Up Must Come Down? Asymmetries and Persistence in Bank Deposit Rates," Journal of Financial Services Research, Springer, vol. 21(3), pages 173-193, June. [Downloadable!] (restricted)
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