Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits
提出一个通用或有债权框架，用于度量银行在零售存款市场中赚取的租金，并给出不完全竞争市场下利率风险的自然度量。基于NOW账户和MMDA的月度调查数据，估计了200多家银行的零售存款租金价值和存款久期。
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, we employ a general contingent claims framework to value rents earned by banks in demandable retail deposit markets. Our analysis provides a natural and economically meaningful measure of interest rate risk for these imperfectly competitive markets. Using monthly survey data on NOW accounts and MMDAs, we estimate the value of retail deposit rents and deposit durations for more than 200 commercial banks.