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Inferring bank-to-bank competition from dynamic time series analysis of price correlations

Author

Listed:
  • Ribeiro, Eduardo Pontual

    (Federal University of Rio de Janeiro, Economics Institute, Rio de Janeiro, Brazil;)

  • Castor, Kamaiaji

    (Federal University of Rio de Janeiro, Economics Institute, Rio de Janeiro, Brazil;)

Abstract

Inferring bank to bank rivalry and competition generally requires the estimation of a full demand model, with high data requirements, unavailable to most researchers. We suggest dynamic time series analysis of price correlations to infer about bank to bank competition, taking into account the well-known criticisms to price correlations for delimiting relevant markets. The method is applied for credit markets in Brazil, where bank monthly loan interest rates time series are available. We conclude that there is little rivalry between large banks in most of the credit markets studied.

Suggested Citation

  • Ribeiro, Eduardo Pontual & Castor, Kamaiaji, 2019. "Inferring bank-to-bank competition from dynamic time series analysis of price correlations," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 56, pages 62-73.
  • Handle: RePEc:ris:apltrx:0381
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    bank competition; rivalry; mergers; Brazil;
    All these keywords.

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • D22 - Microeconomics - - Production and Organizations - - - Firm Behavior: Empirical Analysis

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