{"title":"An Empirical Assessment of Collusion in the Negotiable Certificates of Deposit Market in Korea: A Discriminant Analysis","authors":"Jiyoung Lee, Jung Jae Kim, Jinook Jeong","doi":"10.1111/asej.12267","DOIUrl":null,"url":null,"abstract":"<p>This paper econometrically evaluates if collusion actually occurred in the negotiable certificates of deposit (CD) market during the period of Korea Fair Trade Commission's (KFTC) investigation. We propose a general mixture regression model to discriminate the collusion period from the competitive period. We apply our method to Korean CD market data from 1 January 2009 to 23 May 2019 and forecast the probability of collusion for each day. We find that only a small portion—163 days out of 2579 days—of the whole sample is discriminated as a possible collusion. We also find that the banks did not issue the CD on almost all dates discriminated as colluded in our empirical results. Our findings imply a strong possibility that the stickiness of the CD rates was induced by the depressed CD market conditions rather than collusion.</p>","PeriodicalId":45838,"journal":{"name":"Asian Economic Journal","volume":null,"pages":null},"PeriodicalIF":1.0000,"publicationDate":"2022-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asian Economic Journal","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/asej.12267","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 1
Abstract
This paper econometrically evaluates if collusion actually occurred in the negotiable certificates of deposit (CD) market during the period of Korea Fair Trade Commission's (KFTC) investigation. We propose a general mixture regression model to discriminate the collusion period from the competitive period. We apply our method to Korean CD market data from 1 January 2009 to 23 May 2019 and forecast the probability of collusion for each day. We find that only a small portion—163 days out of 2579 days—of the whole sample is discriminated as a possible collusion. We also find that the banks did not issue the CD on almost all dates discriminated as colluded in our empirical results. Our findings imply a strong possibility that the stickiness of the CD rates was induced by the depressed CD market conditions rather than collusion.
期刊介绍：
The Asian Economic Journal provides detailed coverage of a wide range of topics in economics relating to East Asia, including investigation of current research, international comparisons and country studies. It is a forum for debate amongst theorists, practitioners and researchers and publishes high-quality theoretical, empirical and policy orientated contributions. The Asian Economic Journal facilitates the exchange of information among researchers on a world-wide basis and offers a unique opportunity for economists to keep abreast of research on economics pertaining to East Asia.
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