In:
The Journal of Finance, Wiley, Vol. 47, No. 3 ( 1992-07), p. 919-941
Abstract:
This paper uses both an ARIMA transfer‐function intervention model and a panel data analysis to examine the effect of the Ohio deposit insurance crisis in 1985 on the pricing of six‐month retail certificates of deposit (CDs) for federally‐insured Ohio banks and savings and loans. Adjusting for pricing reactions due to changes in market rates, we find a significant, unanticipated rise in CD‐rate premiums on the initial event week of the crisis that continued for approximately seven weeks. Consistent with a contingent insurance guarantee hypothesis, rate premiums are found to be risk based.
Type of Medium:
Online Resource
ISSN:
0022-1082
,
1540-6261
DOI:
10.1111/jofi.1992.47.issue-3
DOI:
10.1111/j.1540-6261.1992.tb04000.x
Language:
English
Publisher:
Wiley
Publication Date:
1992
detail.hit.zdb_id:
218191-5
detail.hit.zdb_id:
2010241-0