L'influence des montants émis sur le taux des certificats de dépôts

Fabienne Rosenwald

Annals of Economics and Statistics, 1998, issue 52, 53-76

Abstract: In order to understand the transmission mechanism of different shocks we need to know whether the supply of CDs (certificates of deposits) available to any bank is perfectly elastic at the current rate, i.e. whether a bank can issue as many CDs as it wants without paying any premium. In this paper we use data on the French CDs market in order to study the sensibility of the CD's rate to the amount issued. We use data on the CDs issued by 400 banks during 38 months. The estimation of the elasticity of the CD's rate to the amount issued is then based on Panel data. It has to take into account the endogeneity of the regressor and possible selection biases (some banks do not issue CDs every month). So the model is estimated in first differences by using instrumental variables and GMM (generalized method of moments). The estimation reveals a significant elasticity of the rate to the issued amount, but this elasticity is economically relatively weak.

Date: 1998
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