Post-Deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics
通过多元时间序列分析，研究放松管制后批发利率（联邦基金利率、国库券利率）与零售存款利率（存单、货币市场存款账户等）之间的动态关系，揭示零售利率对批发利率冲击的调整模式。
Abstract The relationship between wholesale and retail interest rates since deregulation is of substantial interest to economists and policymakers, because the predictability of the monetary aggregates and their relationship to bank reserves depend on adjustment patterns in the wholesale and retail money markets. We provide evidence on the nature of wholesale–retail interest rate relationships by examining the dynamic interactions among two wholesale interest rates (federal funds and six-month treasury bills) and three retail deposit rates (six-month consumer certificates of deposit, money market deposit accounts, and super NOW's). We perform a multivariate time series analysis, with particular attention paid to causal patterns and the shapes of impulse- response functions. A number of stylized facts, related to size of adjustment, speed of adjustment, and pattern of adjustment, are established for the response of retail rates to unanticipated shocks in wholesale rates. KEY WORDS: CausalityCointegrationDynamic model specificationMoney marketUnit rootVector autoregression