haku: @author Hutchison, D. / yhteensä: 2
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| Tekijä: | Hutchison, D. Pennacchi, G. |
| Otsikko: | Measuring rents and interest rate risk in imperfect financial markets: the case of retail bank deposits |
| Lehti: | Journal of Financial and Quantitative Analysis
1996 : SEP, VOL. 31:3, p. 399-418 |
| Asiasana: | ECONOMICS RESEARCH INTEREST RATES |
| Kieli: | eng |
| Tiivistelmä: | Traditional measures of interest rate risk assume that prices of financial assets and liabilities are set in perfectly competitive markets. However, evidence suggests that many retail financial markets do not follow the competitive paradigm. In this paper, the authors employ a general contingent claims framework to value rents earned by banks in demandable retail deposit markets. The analysis provides a natural and economically meaningful measure of interest rate risk for these imperfectly competitive markets. |
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