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oai:www.ideals.illinois.edu:2142/19526 2023-07-10 col_2142_5131 col_2142_17364 com_2142_5130 com_2142_17363 com_2142_9216

Pennacchi, George G. Hutchison, David Edgar 2011-05-07T12:10:15Z 2011-05-07T12:10:15Z 10000-01-01 1993 "Retail or consumer deposit pricing has only recently been fully deregulated. Subsequently, there has been little academic work done on the pricing of such deposits or the interest rate risk posed by such deposit balances. In this thesis we address the pricing of retail deposits in a dynamic, general equilibrium framework in order to draw conclusion regarding the important time series relationship between deposit and competitive market interest rates. Subsequently, we use this work as the theoretical basis for the construction of appropriate interest rate risk measurement methodologies in such retail deposit markets. We employ our methodology to measure interest rate risk in instantaneous maturity markets, markets for MMDA and NOW accounts, for example, and in discreet maturity markets such as those for consumer CDs. The novelty in our approach is the recognition that retail deposit rates are not determined in perfectly competitive markets whereas traditional interest rate risk or duration analyses implicitly assume that markets are perfectly competitive. We derive a methodology that measures the value of monopoly (quasi) rent streams, which is the ""going concern"" value of the bank attributable to activities in deposit markets. Our methodology leads to natural measures of the interest rate risk inherent in the bank's economic value that can be attributed to retail deposit market access." Made available in DSpace on 2011-05-07T12:10:15Z (GMT). No. of bitstreams: 2 license.txt: 4922 bytes, checksum: 910b249b4beec47e7ab768910c8f966f (MD5) 9411661.pdf: 2905225 bytes, checksum: 5250907ac032105528af91788746b4d8 (MD5) Previous issue date: 1993 Item marked as restricted to the 'UIUC Users [automated]' Group (id=2) by Howard Ding (hding2@illinois.edu) on 2011-05-07T14:37:38Z Item is restricted indefinitely. Restriction data tranferred 2014-07-01T11:15:29-05:00 Original Data Group with Access UIUC Users [automated] Release Date: none Reason: ETDs are only available to UIUC Users without author permission ETDs are only available to UIUC Users without author permission U of I Only AAI9411661 (UMI)AAI9411661 http://hdl.handle.net/2142/19526 eng Copyright 1993 Hutchison, David Edgar Economics, Finance Retail deposit pricing and interest rate risk text Finance Finance University of Illinois at Urbana-Champaign Dissertation Ph.D.