Bank deposit rate clustering: Theory and empirical evidence

• 成果类型: Article
• 署名作者: Kahn, C; Pennacchi, G; Sopranzetti, B
• 署名单位: University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Rutgers University System; Rutgers University New Brunswick
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00185
• 发表日期: 1999
• 页码: 2185-2214
• 关键词: ODD-8TH QUOTES; MARKET; prices; RIGIDITY; sticky

摘要

Like security prices, retail deposit interest rates cluster around integers and even fractions. However, explanations for security price clustering are incompatible with deposit rate clustering. A theory based on the limited recall of retail depositors is proposed. It predicts that banks tend to set rates at integers and that rates are sticky at these levels. The propensity for integer rates increases with the level of wholesale interest rates and deposit market concentration. When banks set noninteger rates, rates are more likely to be just above, rather than just below, integers. The paper finds substantial empirical support for the theory's implications.