On the dynamics of lending and deposit interest rates in emerging markets: A non-linear approach

Ana María Iregui, Costas Milas, Jesus Otero

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

This paper studies the dynamics of lending and deposit rates in two emerging markets in Latin America: Colombia and Mexico. The dynamics of lending (deposit) interest rates are driven by the exogenous interbank interest rate and deviations from the long-run lending-interbank (deposit-interbank) interest rate relationship. Allowing for different interest rate behavior during periods characterized by large and small values of the spread, the non-linear specification proves superior to the linear one.

Original languageEnglish (US)
Article number4
JournalStudies in Nonlinear Dynamics and Econometrics
Volume6
Issue number3
DOIs
StatePublished - 2002

All Science Journal Classification (ASJC) codes

  • Analysis
  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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