Impact of Deposit-Rate Ceiling Changes on Bank Stock Returns

Haluk Unal

Journal of Money, Credit and Banking, 1989, vol. 21, issue 2, 206-20

Abstract: This paper reexamines the impact of four major changes in deposit-rate ceilings that occurred during the 1970-80 decade on bank systematic and unsystematic risk. The reexamination clarifies why it is dangerous to conduct event studies naively. Stephen M. Goldfeld and Richard E. Quandt's switching-regressions method is proposed as a procedure that forces the researcher to take a more disciplined approach to determining event dates. Contrary to previous studies, switch dates identified by Goldfeld and Quandt's switching-regressions method cannot be associated with ceiling-change announcements because of other information flows, so that inferences cannot be drawn about the specific effects of the regulatory adjustments. Copyright 1989 by Ohio State University Press.

Date: 1989
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Persistent link: https://EconPapers.repec.org/RePEc:mcb:jmoncb:v:21:y:1989:i:2:p:206-20

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