The Duration of Bank Retail Interest Rates

DC ElementWertSprache
dc.contributor.authorCraig, B.R.
dc.contributor.authorDinger, V.
dc.date.accessioned2021-12-23T16:33:01Z-
dc.date.available2021-12-23T16:33:01Z-
dc.date.issued2014
dc.identifier.issn13571516
dc.identifier.urihttps://osnascholar.ub.uni-osnabrueck.de/handle/unios/17624-
dc.description.abstractWe examine the rigidity of retail deposit and loan rates by applying duration analysis on uniquely rich data. We find that the retail rate dynamics are state-dependent. An important determinant of the duration of retail interest rates are the dynamics of the wholesale (market and monetary policy) interest rates. We also show that the reaction to positive and negative wholesale interest rate changes is strongly asymmetric. Moreover, retail rate durations are significantly modified by bank and market characteristics, such as the size of the bank, its market share in a given local market, and its geographical scope. © 2014 © 2014 International Journal of the Economics of Business.
dc.description.sponsorshipDeutsche ForschungsgemeinschaftDeutsche Forschungsgemeinschaft,DFG,DI 1426/2-1; We thank Antonio Antunes, Diana Bonfim, Tim Dunne, Eduardo Engel, Roy Gardner, James Thomson, Jürgen von Hagen, and participants of the University of Bonn Macro-Workshop, Banco de Portugal Research Seminar, and the 2010 European Economic Association meetings for useful comments on earlier versions, and Monica Crabtree-Reusser for editorial assistance. Dinger gratefully acknowledges financial support by the Deutsche Forschungsgemeinschaft (Research Grant DI 1426/2-1). This research reflects the views of the authors and not necessarily the views of the Deutsche Bundesbank, the Federal Reserve Bank of Cleveland, or the Board of Governors of the Federal Reserve System.
dc.language.isoen
dc.publisherRoutledge
dc.relation.ispartofInternational Journal of the Economics of Business
dc.subjectDuration Analysis
dc.subjectHazard Rate
dc.subjectInterest Rate Pass-Through
dc.subjectInterest Rate Rigidity
dc.titleThe Duration of Bank Retail Interest Rates
dc.typejournal article
dc.identifier.doi10.1080/13571516.2014.909173
dc.identifier.scopus2-s2.0-84901591266
dc.identifier.urlhttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84901591266&doi=10.1080%2f13571516.2014.909173&partnerID=40&md5=160ec28e3d9db80aaf2a337bfa5eb546
dc.description.volume21
dc.description.issue2
dc.description.startpage191
dc.description.endpage207
dcterms.isPartOf.abbreviationInt. J. Econ. Bus.
crisitem.author.deptFB 09 - Wirtschaftswissenschaften-
crisitem.author.deptidfb09-
crisitem.author.orcid0000-0001-8481-6047-
crisitem.author.parentorgUniversität Osnabrück-
crisitem.author.netidDiVa267-
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