Bank Imputed Interest Rates: Unbiased Estimates of Offered Rates?

Evren Örs and Tara Rice

No 6036, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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 (search for similar items in EconPapers)
JEL-codes: G21 L11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-cfn and nep-mon
Date: Written
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