TY - JOUR
T1 - Interest rate convergence across maturities
T2 - Evidence from bank data in an emerging market economy
AU - Holmes, Mark J.
AU - Iregui, Ana María
AU - Otero, Jesús
PY - 2019/7
Y1 - 2019/7
N2 - Against a background of financial liberalisation reforms, we assess the extent of market integration and competition in Colombian retail deposits and loans markets. We employ a dataset comprising bank-level interest rate data for different financial products across a range of banks. We utilise and further develop the Phillips and Sul convergence club approach by estimating the drivers of club formation. We find integration of the deposits market, but not loans where portfolio riskiness and loan maturity explain why there is not a fully integrated market. Also, the degree of loan market convergence responds asymmetrically to changes in monetary policy.
AB - Against a background of financial liberalisation reforms, we assess the extent of market integration and competition in Colombian retail deposits and loans markets. We employ a dataset comprising bank-level interest rate data for different financial products across a range of banks. We utilise and further develop the Phillips and Sul convergence club approach by estimating the drivers of club formation. We find integration of the deposits market, but not loans where portfolio riskiness and loan maturity explain why there is not a fully integrated market. Also, the degree of loan market convergence responds asymmetrically to changes in monetary policy.
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U2 - 10.1016/j.najef.2019.03.008
DO - 10.1016/j.najef.2019.03.008
M3 - Article
AN - SCOPUS:85063760862
SN - 1062-9408
VL - 49
SP - 57
EP - 70
JO - North American Journal of Economics and Finance
JF - North American Journal of Economics and Finance
ER -
