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

Ana Maria Iregui (), Costas Milas and Jesus Otero ()

Public Policy Discussion Papers from Economics and Finance Section, School of Social Sciences, Brunel University

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.

Date: Written
View list of references

Downloads: (external link)
http://www.brunel.ac.uk/329/efwps/02-29.pdf (application/pdf)

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 (2001)
Journal Article: On The Dynamics Of Lending And Deposit Interest Rates In Emerging Markets: A Non-Linear Approach (2002)
Journal Article: On The Dynamics Of Lending And Deposit Interest Rates In Emerging Markets: A Non-Linear Approach (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bru:bruppp:02-29

Access Statistics for this paper

More papers in Public Policy Discussion Papers from Economics and Finance Section, School of Social Sciences, Brunel University
Address: Brunel University, Uxbridge, Middlesex UB8 3PH, UK
Series data maintained by John.Hunter ().