Journal of Finance Vol. 47 No. 3 1992
The 1985 Ohio Thrift Crisis, the Fslic's Solvency, and Rate Contagion for Retail Cds.
Abstract
This paper uses both an ARIMA transfer-function intervention model and a panel data analysis to examine the effect of the Ohio deposit insurance crisis in 1985 on the pricing of six-month retail certificates of deposit (CDs) for federally-insured Ohio banks and savings and loans. Adjusting for pricing reactions due to changes in market rates, the authors find a significant, unanticipated rise in CD-rate premiums on the initial event week of the crisis that continued for approximately seven weeks. Consistent with a contingent insurance guarantee hypothesis, rate premiums are found to be risk based.
- Volume
- 47
- Issue
- 3
- Pages
- 919-41
- Sources
- bibtex:phds-export.bib