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

Ana María Iregui, Costas Milas, Jesus Otero

Resultado de la investigación: Contribución a una revistaArtículorevisión exhaustiva

8 Citas (Scopus)

Resumen

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.

Idioma originalInglés estadounidense
Número de artículo4
PublicaciónStudies in Nonlinear Dynamics and Econometrics
Volumen6
N.º3
DOI
EstadoPublicada - 2002

All Science Journal Classification (ASJC) codes

  • Análisis
  • Ciencias sociales (miscelánea)
  • Economía y econometría

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