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

Facultad de Economía

Producción científica: Contribución a una revista › Artículo › revisión exhaustiva

9 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 original	Inglés estadounidense
Número de artículo	4
Publicación	Studies in Nonlinear Dynamics and Econometrics
Volumen	6
N.º	3
DOI	https://doi.org/10.2202/1558-3708.1093
Estado	Publicada - 2002

Áreas temáticas de ASJC Scopus

Análisis
Ciencias sociales (miscelánea)
Economía y econometría

Acceder al documento

10.2202/1558-3708.1093

Otros archivos y enlaces

Citar esto

@article{54a144162f8a4a65b1c491347e8bcc2f,

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

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.",

author = "Iregui, {Ana Mar{\'i}a} and Costas Milas and Jesus Otero",

year = "2002",

doi = "10.2202/1558-3708.1093",

language = "English (US)",

volume = "6",

journal = "Studies in Nonlinear Dynamics and Econometrics",

issn = "1558-3708",

publisher = "Berkeley Electronic Press",

number = "3",

}

TY - JOUR

T1 - On the dynamics of lending and deposit interest rates in emerging markets

T2 - A non-linear approach

AU - Iregui, Ana María

AU - Milas, Costas

AU - Otero, Jesus

PY - 2002

Y1 - 2002

N2 - 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.

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.

UR - http://www.scopus.com/inward/record.url?scp=14844346529&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=14844346529&partnerID=8YFLogxK

U2 - 10.2202/1558-3708.1093

DO - 10.2202/1558-3708.1093

M3 - Article

AN - SCOPUS:14844346529

SN - 1558-3708

VL - 6

JO - Studies in Nonlinear Dynamics and Econometrics

JF - Studies in Nonlinear Dynamics and Econometrics

IS - 3

M1 - 4

ER -

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

Resumen

Áreas temáticas de ASJC Scopus

Acceder al documento

Otros archivos y enlaces

Huella

Citar esto