Bank deposit interest rate pass-through and geographical segmentation in Japanese banking markets

Taisuke Uchino

Japan and the World Economy, 2014, vol. 30, issue C, 37-51

Abstract: This paper estimates the pass-through from market interest rates to deposit interest rates to investigate whether the Japanese bank deposit markets are geographically segmented. A unique feature of this paper is the use of monthly deposit interest rates posted by 106 regional banks from March 1999 to March 2010. Following the theoretical results from a simple banking activity model with Cournot competition, I estimate the long run pass-through of each regional bank utilizing the panel cointegration method. The empirical results of this paper show a significant negative correlation between regional market concentration and pass-through, which implies the existence of geographical market segmentation.

Keywords: Interest rate pass-through; Geographical segmentation; Panel cointegration (search for similar items in EconPapers)
JEL-codes: E43 G21 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:japwor:v:30:y:2014:i:c:p:37-51

DOI: 10.1016/j.japwor.2014.02.003

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