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Interest Rate Asymmetries in Long-Term Loan and Deposit Markets

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  • Barry Scholnick

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  • Barry Scholnick, 1999. "Interest Rate Asymmetries in Long-Term Loan and Deposit Markets," Journal of Financial Services Research, Springer;Western Finance Association, vol. 16(1), pages 5-26, September.
    • Handle: RePEc:kap:jfsres:v:16:y:1999:i:1:p:5-26
    DOI: 10.1023/A:1008107030893
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    References listed on IDEAS

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    1. Scholnick, Barry, 1996. "Asymmetric adjustment of commercial bank interest rates: evidence from Malaysia and Singapore," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 485-496, June.
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    3. Richard Rosen, 2002. "What Goes Up Must Come Down? Asymmetries and Persistence in Bank Deposit Rates," Journal of Financial Services Research, Springer;Western Finance Association, vol. 21(3), pages 173-193, June.
    4. Berger, Allen N & Udell, Gregory F, 1992. "Some Evidence on the Empirical Significance of Credit Rationing," Journal of Political Economy, University of Chicago Press, vol. 100(5), pages 1047-1077, October.
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    9. 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 217-231, February.
    10. 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 938-945, September.
    11. Sherrill Shaffer, 1994. "Bank competition in concentrated markets," Business Review, Federal Reserve Bank of Philadelphia, issue Mar, pages 3-16.
    12. Heffernan, Shelagh A, 1997. "Modelling British Interest Rate Adjustment: An Error Correction Approach," Economica, London School of Economics and Political Science, vol. 64(254), pages 211-231, May.
    13. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-1088, October.
    14. 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.
    15. Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June.
    16. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    17. Anderson, H.M. & Granger, C.W.G. & Hall, A.D., 1990. "Treasury Bi;; Yield Curves And Cointegration," Papers 215, Australian National University - Department of Economics.
    18. 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.).
    19. Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
    20. Engsted, Tom & Tanggaard, Carsten, 1994. "Cointegration and the US term structure," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 167-181, January.
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    Cited by:

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    2. Kuan-Min Wang, 2010. "Expected and Unexpected Impulses of Monetary Policy on the Interest Pass-Through Mechanism in Asian Countries," Annals of Economics and Finance, Society for AEF, vol. 11(1), pages 95-137, May.
    3. repec:zbw:bofrdp:2009_027 is not listed on IDEAS
    4. John K. Ashton, 2007. "Synchronisation and Staggering of Deposit Account Interest Rate Changes," Working Papers 07-14, Centre for Competition Policy, University of East Anglia.
    5. taiebnia , Ali & rahmani , Teymur & Mohammadali , Hanieh, 2019. "Profit Rate Stickiness and Bank Specific Characteristics: Empirical Study of Panel Hidden Cointegration," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 14(1), pages 1-25, January.
    6. Holton, Sarah & Rodriguez d’Acri, Costanza, 2018. "Interest rate pass-through since the euro area crisis," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 277-291.
    7. Vajanne, Laura, 2009. "Inferring market power from retail deposit interest rates in the euro area," Research Discussion Papers 27/2009, Bank of Finland.
    8. Kleimeier, Stefanie & Sander, Harald, 2006. "Expected versus unexpected monetary policy impulses and interest rate pass-through in euro-zone retail banking markets," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 1839-1870, July.
    9. Pisun Xu & Jian Yang, 2011. "U.S. Monetary Policy Surprises and International Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 43(4), pages 459-490, November.
    10. Rocha, Manuel Duarte, 2012. "Interest rate pass-through in Portugal: Interactions, asymmetries and heterogeneities," Journal of Policy Modeling, Elsevier, vol. 34(1), pages 64-80.
    11. Hens, Thorsten & Jean-Jacques Herings, P. & Predtetchinskii, Arkadi, 2006. "Limits to arbitrage when market participation is restricted," Journal of Mathematical Economics, Elsevier, vol. 42(4-5), pages 556-564, August.
    12. Kristofer Månsson & Ghazi Shukur & Pär Sjölander, 2013. "Asymmetric quantile analysis of the Swedish mortgage price discovery process," Applied Economics, Taylor & Francis Journals, vol. 45(21), pages 3088-3101, July.
    13. Vajanne, Laura, 2009. "Inferring market power from retail deposit interest rates in the euro area," Bank of Finland Research Discussion Papers 27/2009, Bank of Finland.
    14. Charles M. Kahn & George Pennacchi & Ben Sopranzetti, 2000. "Bank consolidation and consumer loan interest rates," Proceedings 690, Federal Reserve Bank of Chicago.
    15. Sjölander, Pär, 2013. "A ridge bootstrap method for analyzing APT effects on the mortgage loan market," Economic Modelling, Elsevier, vol. 30(C), pages 844-855.
    16. Popiel Michal Ksawery, 2017. "Interest rate pass-through: a nonlinear vector error-correction approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-20, December.
    17. Sander, H. & Kleimeier, S., 2004. "Expected versus unexpected monetary policy impulses and interest rate pass-through in eurozone retail banking," Research Memorandum 001, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    18. Dong-Yop Oh & Hyejin Lee & Karl David Boulware, 2016. "Conventional monetary policy and the degree of interest rate pass through in the long run: a non-normal approach," Wesleyan Economics Working Papers 2016-002, Wesleyan University, Department of Economics.
    19. Don Bredin & Trevor Fitzpatrick & Gerard O Reilly, 2002. "Retail Interest Rate Pass-Through - The Irish Experience," The Economic and Social Review, Economic and Social Studies, vol. 33(2), pages 223-246.
    20. 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.
    21. Raquel Lago-González & Vicente Salas-Fumás, 2005. "Market power and bank interest rate adjustments," Working Papers 0539, Banco de España.
    22. Anna Sznajderska, 2012. "On the empirical evidence of asymmetry effects in the interest rate pass-through in Poland," NBP Working Papers 114, Narodowy Bank Polski.

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