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Modeling the Whole Firm: The Effect of Multiple Inputs and Financial Intermediation on Bank Deposit Rates 整个企业的建模:多重投入和金融中介对银行存款利率的影响
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2003-06-03 DOI: 10.2139/ssrn.515863
Elizabeth K. Kiser
{"title":"Modeling the Whole Firm: The Effect of Multiple Inputs and Financial Intermediation on Bank Deposit Rates","authors":"Elizabeth K. Kiser","doi":"10.2139/ssrn.515863","DOIUrl":"https://doi.org/10.2139/ssrn.515863","url":null,"abstract":"Empirical studies of price competition typically analyze the direct effects of market structure, cost, and local demand on prices; this approach has been applied widely to studies of bank deposit rates. However, the theory of the banking firm suggests that substitutability between sources of deposits and conditions in the bank loan market should also affect the pricing of retail deposits. This paper develops a theoretical model to incorporate these effects, and tests the predictions empirically using institution-level deposit rate data from Bank Rate Monitor. The results suggest that the cost of large-scale deposits affects how banks price retail deposits, and that conditions in lending markets feed back into retail deposit rates.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132649075","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 35
Wealth Effects and the Consumption of Leisure: Retirement Decisions During the Stock Market Boom of the 1990s 财富效应与休闲消费:20世纪90年代股市繁荣时期的退休决策
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2003-05-01 DOI: 10.2139/ssrn.419721
J. Coronado, M. Perozek
{"title":"Wealth Effects and the Consumption of Leisure: Retirement Decisions During the Stock Market Boom of the 1990s","authors":"J. Coronado, M. Perozek","doi":"10.2139/ssrn.419721","DOIUrl":"https://doi.org/10.2139/ssrn.419721","url":null,"abstract":"It is well accepted that households increase consumption of goods and services in response to an unexpected increase in wealth. Consensus estimates of this wealth effect are in the range of 3 to 5 cents of additional consumption spending in the long run for each additional dollar of wealth. Economic theory also suggests that consumption of leisure, like consumption of goods and services, should increase with positive shocks to wealth. In this paper, we ask whether the run-up in equity prices during the 1990s led older workers to retire earlier than they had previously planned. We identify the effect by exploiting unique data on retirement expectations from the Health and Retirement Survey. Our econometric results suggest that respondents who held corporate equity immediately prior to the bull market of the 1990s retired, on average, 7 months earlier than other respondents.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129518919","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 135
Nationwide Branching and its Impact on Market Structure, Quality and Bank Performance 全国分支机构及其对市场结构、质量和银行业绩的影响
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2003-04-01 DOI: 10.2139/ssrn.436802
A. Dick
{"title":"Nationwide Branching and its Impact on Market Structure, Quality and Bank Performance","authors":"A. Dick","doi":"10.2139/ssrn.436802","DOIUrl":"https://doi.org/10.2139/ssrn.436802","url":null,"abstract":"Based on a sample for 1993-1999, this paper examines the effects of nationwide branching, following the Riegle-Neal Act, on various aspects of banking markets and bank service and performance. While concentration at the regional level has increased dramatically, deregulation has left almost intact the market structure of urban markets, which have between two to three dominant firms--controlling over half of a market's deposits--in 1999 just as they did in 1993. A significant portion of the observed increase in bank quality can be traced to the implementation of nationwide branching. By allowing banks to open branches in any state, the new regime has permitted consumers to enjoy greater networks, free of fees, throughout large geographic regions. Consistent with an increase in service quality, costs and service fees increase. Credit risk increases as greater geographic diversification might provide a hedge against greater risk-return choices. Coherent with these findings and an increase in lending competition and profit efficiency, spreads fall and profits are unaffected.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"9 Suppl 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124272058","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 161
Counterparty Credit Risk in Interest Rate Swaps During Times of Market Stress 市场压力下利率掉期的交易对手信用风险
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2003-03-01 DOI: 10.2139/ssrn.394200
Antulio N. Bomfim
{"title":"Counterparty Credit Risk in Interest Rate Swaps During Times of Market Stress","authors":"Antulio N. Bomfim","doi":"10.2139/ssrn.394200","DOIUrl":"https://doi.org/10.2139/ssrn.394200","url":null,"abstract":"This paper examines whether empirical and theoretical results suggesting a relatively small role for counterparty credit risk in the determination of interest rate swap rates hold during periods of stress in the financial markets, such as the chain of events that followed the Russian default crisis of 1998. The analysis sheds light on the robustness of netting and credit enhancement mechanisms, which are common in interest rate swaps, to widespread turmoil in the financial markets.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124122603","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 28
Monetary Policy and the Yield Curve 货币政策与收益率曲线
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2003-02-13 DOI: 10.2139/ssrn.410763
Antulio N. Bomfim
{"title":"Monetary Policy and the Yield Curve","authors":"Antulio N. Bomfim","doi":"10.2139/ssrn.410763","DOIUrl":"https://doi.org/10.2139/ssrn.410763","url":null,"abstract":"This paper examines the empirical properties of a two-factor affine model of the term structure of interest rates, estimated with LIBOR and interest rate swap data from 1989 through 2001. Despite its relative simplicity, the model fits the interest rate data remarkably well, both across time and maturity, and identifies changes in the current and expected stance of monetary policy as primary movers of the yield curve.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123707278","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 27
The Welfare Effects of Incentive Schemes 激励计划的福利效应
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2002-12-01 DOI: 10.2139/ssrn.386941
Adam Copeland, Cyril Monnet
{"title":"The Welfare Effects of Incentive Schemes","authors":"Adam Copeland, Cyril Monnet","doi":"10.2139/ssrn.386941","DOIUrl":"https://doi.org/10.2139/ssrn.386941","url":null,"abstract":"This paper computes the change in welfare associated with the introduction of incentives. Specifically, we calculate by how much the welfare gains of increased output due to incentives outweigh workers' disutility from increased effort. We accomplish this by studying the use of incentives by a firm in the check-clearing industry. Using this firm's production records, we model and estimate the worker's dynamic effort decision problem. We find that the firm's incentive scheme has a large effect on productivity, raising it by 14% over the sample period. Using our parameter estimates, we show that the cost of increased effort due to incentives is equal to the dollar value of a 9% rise in productivity. Welfare is measured as the output produced minus the cost of effort, hence the net increase in welfare due to the introduction of the firm's bonus plan is 5%. Under a first-best scheme, we find that the net increase in welfare is 6%.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"336 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122536920","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 43
Demand Estimation and Consumer Welfare in the Banking Industry 银行业的需求估计与消费者福利
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2002-11-06 DOI: 10.2139/ssrn.369401
A. Dick
{"title":"Demand Estimation and Consumer Welfare in the Banking Industry","authors":"A. Dick","doi":"10.2139/ssrn.369401","DOIUrl":"https://doi.org/10.2139/ssrn.369401","url":null,"abstract":"This paper estimates a structural demand model for commercial bank deposit services in order to measure the effects on consumers given dramatic changes in bank services throughout US branching deregulation in the 1990s. Following the discrete choice literature, consumer decisions are based on prices and bank characteristics. Consumers are found to respond to deposit rates, and to a lesser extent, to account fees, in choosing a depository institution. Moreover, consumers respond favorably to the branch staffing and geographic density, as well as to the bank's age, size, and geographic diversification. Consumers in most markets experience a slight increase in welfare throughout the period.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114078709","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 189
Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility 利用积分波动的条件矩估计随机波动扩散
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2001-11-01 DOI: 10.2139/ssrn.293684
T. Bollerslev, Hao Zhou
{"title":"Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility","authors":"T. Bollerslev, Hao Zhou","doi":"10.2139/ssrn.293684","DOIUrl":"https://doi.org/10.2139/ssrn.293684","url":null,"abstract":"We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions of the first two conditional moments for the latent integrated volatility, the realization of which is effectively approximated by the sum of the squared high-frequency increments of the process. Our simulation evidence indicates that the resulting GMM estimator is highly reliable and accurate. Our empirical implementation based on high-frequency five-minute foreign exchange returns suggests the presence of multiple latent stochastic volatility factors and possible jumps.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125809718","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 320
Measuring Equilibrium Real Interest Rates: What Can We Learn from Yields on Indexed Bonds? 衡量均衡实际利率:我们能从指数债券收益率中学到什么?
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2001-07-30 DOI: 10.2139/ssrn.293888
Antulio N. Bomfim
{"title":"Measuring Equilibrium Real Interest Rates: What Can We Learn from Yields on Indexed Bonds?","authors":"Antulio N. Bomfim","doi":"10.2139/ssrn.293888","DOIUrl":"https://doi.org/10.2139/ssrn.293888","url":null,"abstract":"What does the level of real interest rates tell us about where the economy, or our portfolio, is headed? The answer depends on one9s estimate of the “equilibrium” value of real interest rates, a measure that is not directly observable in the marketplace. This article provides a brief overview of some approaches to defining and measuring equilibrium real rates, and introduces a novel method based on yields on the U.S. Treasury9s inflation-indexed securities (TIIS). A simple framework for analyzing TIIS yields illustrates how to use them to gauge the stance of monetary policy and overall economic prospects.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133083995","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 50
The Effects of Dynamic Changes in Bank Competition on the Supply of Small Business Credit 银行竞争动态变化对小企业信贷供给的影响
Board of Governors: Finance & Economics Discussion Series (Topic) Pub Date : 2001-04-01 DOI: 10.2139/ssrn.282513
Allen N. Berger, L. Goldberg, L. White
{"title":"The Effects of Dynamic Changes in Bank Competition on the Supply of Small Business Credit","authors":"Allen N. Berger, L. Goldberg, L. White","doi":"10.2139/ssrn.282513","DOIUrl":"https://doi.org/10.2139/ssrn.282513","url":null,"abstract":"We study the effects of structural changes in banking markets on the supply of credit to small businesses. Specifically, we examine whether bank mergers and acquisitions (M&As) and entry have \"external\" effects on small business loans by other banks in the same local markets. The results suggest modest positive external effects from these dynamic changes in competition, except that large banks may reduce small business lending in reaction to entry. We confirm bank size and age as important determinants of this lending, and show that the measured age effect does not appear to be driven by local market M&A activity.","PeriodicalId":278071,"journal":{"name":"Board of Governors: Finance & Economics Discussion Series (Topic)","volume":"364 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2001-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133939949","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 149
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