Bank Imputed Interest Rates: Unbiased Estimates of Offered Rates?

30 Pages Posted: 27 Jun 2007

See all articles by Evren Ors

Evren Ors

HEC Paris - Finance Department

Tara Rice

Bank for International Settlements (BIS)

Date Written: January 2007

Abstract

We examine whether "imputed" interest rates obtained from bank financial statements are unbiased estimates of "offered" interest rates that the same banks report in surveys. We find evidence of a statistically significant amount of bias. However, the statistical bias that we document does not appear to be economically significant. When used as dependent variables in regression analysis, imputed rates and offered rates lead to the same policy conclusions. Our work has important methodological implications for empirical research that examines the product market competition among depository institutions.

Keywords: Deposit rates, imputed prices, product market, transaction prices

JEL Classification: G21, L11

Suggested Citation

Ors, Evren and Rice, Tara, Bank Imputed Interest Rates: Unbiased Estimates of Offered Rates? (January 2007). CEPR Discussion Paper No. 6036, Available at SSRN: https://ssrn.com/abstract=996885

Evren Ors (Contact Author)

HEC Paris - Finance Department ( email )

1 rue de la Liberation
Jouy-en-Josas Cedex, 78351
France
+33 1 3967 7123 (Phone)
+33 1 3967 7085 (Fax)

HOME PAGE: http://https://people.hec.edu/ors/

Tara Rice

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

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