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 revista › Artículo de Investigación › 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

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10.2202/1558-3708.1093

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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.",

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

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