The Duration of Bank Retail Interest Rates
<title>Abstract</title><italic>We 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.</italic>
Year of publication: |
2014
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Authors: | Craig, Ben R. ; Dinger, Valeriya |
Published in: |
International Journal of the Economics of Business. - Taylor & Francis Journals, ISSN 1357-1516. - Vol. 21.2014, 2, p. 191-207
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Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
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