On The Dynamics Of Lending And Deposit Interest Rates In Emerging Markets: A Non-Linear Approach

Ana María Iregui, Costas Milas and Jesus Otero ()
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Ana María Iregui: Estudios Económicos Banco de la República

Studies in Nonlinear Dynamics & Econometrics, 2002, vol. 6, issue 3

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.

Keywords: Interest rates; spreads; emerging markets; non-linear models; regimes (search for similar items in EconPapers)
JEL-codes: C32 C52 E43 (search for similar items in EconPapers)
Date: 2002

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Related works:
Working Paper: On the dynamics of lending and deposit interest rates in emerging markets:a non-linear approach (2002)
Working Paper: On the dynamics of lending and deposit interest rates in emerging markets:a non-linear approach (2002)
Working Paper: On the dynamics of lending and deposit interest rates in emerging markets: a non-linear approach (2001)
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Persistent link: http://EconPapers.repec.org/RePEc:bpj:sndecm:v:6:y:2002:i:3:n:4

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