The 1985 Ohio Thrift Crisis, the FSLIC's Solvency, and Rate Contagion for Retail CDs
利用ARIMA干预模型和面板数据分析，研究1985年俄亥俄州存款保险危机对联邦保险银行和储蓄机构六个月零售定期存单定价的影响，发现危机初期利率溢价显著上升并持续约七周，且溢价与风险挂钩。
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.