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Interest Rate Asymmetries in Long-Term Loan and Deposit Markets

  • Barry Scholnick
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    File URL: http://hdl.handle.net/10.1023/A:1008107030893
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    Article provided by Springer & Western Finance Association in its journal Journal of Financial Services Research.

    Volume (Year): 16 (1999)
    Issue (Month): 1 (September)
    Pages: 5-26

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    Handle: RePEc:kap:jfsres:v:16:y:1999:i:1:p:5-26
    DOI: 10.1023/A:1008107030893
    Contact details of provider: Web page: http://www.springer.com

    Web page: http://westernfinance.org/

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    Order Information: Web: http://www.springer.com/journal/10693

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    1. 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.
    2. Tae-Hwy Lee & Faik Koray, 1994. "Uncertainty in Sales and Inventory Behaviour in the U.S. Trade Sectors," Canadian Journal of Economics, Canadian Economics Association, vol. 27(1), pages 129-42, February.
    3. 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 1062-88, October.
    4. Shaffer, Sherrill, 1993. "A Test of Competition in Canadian Banking," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(1), pages 49-61, February.
    5. 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 938-45, September.
    6. 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.
    7. 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 1047-77, October.
    8. 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.
    9. Engsted, Tom & Tanggaard, Carsten, 1994. "Cointegration and the US term structure," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 167-181, January.
    10. Mester, Loretta J. & Saunders, Anthony, 1995. "When does the prime rate change?," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 743-764, August.
    11. Sherrill Shaffer, 1994. "Bank competition in concentrated markets," Business Review, Federal Reserve Bank of Philadelphia, issue Mar, pages 3-16.
    12. 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.
    13. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
    14. 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 217-31, February.
    15. 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.
    16. 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 211-31, May.
    17. 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.).
    18. David Neumark & Steven A. Sharpe, 1989. "Market structure and the nature of price rigidity: evidence from the market for consumer deposits," Finance and Economics Discussion Series 52, Board of Governors of the Federal Reserve System (U.S.).
    19. 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.
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