Costs of Adjustment, Portfolio Separation, and the Dynamic Behavior of Bank Loans and Deposits
构建了一个银行企业模型，检验资产组合分离假设是否成立。模型假设调整成本同时存在于银行资产负债表的两侧，预测贷款和存款受联邦基金利率、存款利率和贷款利率的过去、当前和预期未来值影响。实证发现资产组合分离假设与银行实际行为不一致，但扩展模型得到有限支持。
This paper develops a model of the banking firm and tests for the presence of 'portfolio separation.' The theoretical model generalizes existing intertemporal adjustment-costs models by assuming that these costs coexist simultaneously on both sides of the bank's balance sheet. Our analysis predicts that bank loan demand and deposit supply respond to past, current and expected fixture values of the federal funds rate, deposit rate, and loan rate. We estimate the model and find that the restrictions imposed by the portfolio separation assumption are inconsistent with the estimated behavior of the banking firms in our sample. We also find some limited empirical support for our extended model of the adjustment cost process. Copyright 1995 by Ohio State University Press.