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

Ana María Iregui; Costas Milas; Jesus Otero

doi:10.2202/1558-3708.1093

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

Ana María Iregui, Costas Milas, Jesus Otero

Faculty of Economics

Research output: Contribution to journal › Research Article › peer-review

9 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 language	English (US)
Article number	4
Journal	Studies in Nonlinear Dynamics and Econometrics
Volume	6
Issue number	3
DOIs	https://doi.org/10.2202/1558-3708.1093
State	Published - 2002

All Science Journal Classification (ASJC) codes

Analysis
Social Sciences (miscellaneous)
Economics and Econometrics

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AB - 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.

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

Abstract

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