Interest rate convergence across maturities: Evidence from bank data in an emerging market economy

Mark J. Holmes, Ana María Iregui, Jesús Otero

Resultado de la investigación: Contribución a una revistaArtículorevisión exhaustiva

1 Cita (Scopus)

Resumen

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.

Idioma originalInglés estadounidense
Páginas (desde-hasta)57-70
Número de páginas14
PublicaciónNorth American Journal of Economics and Finance
Volumen49
DOI
EstadoPublicada - jul 2019

All Science Journal Classification (ASJC) codes

  • Finanzas
  • Economía y econometría

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