Portfolio Theory, Transaction Costs, and the Demand for Time Deposits
Households do not rebalance their deposit portfolios in response to 200-300 basis point changes in relative yields. Is it because the deposits are poor substitutes or because transaction costs make it nonoptimal to rebalance? This study uses efficient frontier techniques from portfolio theory and a transaction-cost model to address these questions. The major findings are that the transaction-cost model explains deposit shares but the portfolio model does not and the gains from rebalancing are minuscule because banks made large changes in relative yields on poor substitutes while maintaining fairly constant spreads on close substitutes. Copyright 1995 by Ohio State University Press.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 27 (1995)
Issue (Month): 4 (November)
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879|
When requesting a correction, please mention this item's handle: RePEc:mcb:jmoncb:v:27:y:1995:i:4:p:1015-32. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.