The Real Value of Postal Savings Certificates
Koichiro Kamada
Monetary and Economic Studies, 1993, vol. 11, issue 2, 59-96
Abstract:
In Japan, there has been growing debate about the competitiveness between "postal savings certificates" (PSCs) offered by the Ministry of Posts and Communications and time deposits offered by private banks. Since PSCs have an "American put-option" characteristic, the "option premium" implied in PSCs should be taken into account explicitly. Since the interest rates have been regulated, we must devise a new option pricing theory based on imperfect arbitrage under such assumptions as depositor's risk neutrality and Markov property in the interest rates movements. Empirical analyses show that the advantage of PSCs over time deposits offered by private banks increases as depositor's holding period becomes longer and the current interest rates become higher.
Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
http://www.imes.boj.or.jp/research/papers/english/me11-2-4.pdf (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:ime:imemes:v:11:y:1993:i:2:p:59-96
Access Statistics for this article
More articles in Monetary and Economic Studies from Institute for Monetary and Economic Studies, Bank of Japan Contact information at EDIRC.
Bibliographic data for series maintained by Kinken ().