ASYMMETRIC ADJUSTMENT OF THE SECTORIAL LENDING-DEPOSIT RATE SPREAD IN FIJI

Shamal Shivneel Chand () and Baljeet Singh ()
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Shamal Shivneel Chand: The University of the South Pacific
Baljeet Singh: The University of the South Pacific

Bulletin of Monetary Economics and Banking, 2021, vol. 24, issue Special Issue, 89-106

Abstract: This study investigates the asymmetric adjustment of the sectorial lending-deposit rate spread in Fiji’s banking industry using monthly data from January 2000 to February 2020. The study uses the threshold autoregressive and the momentum threshold autoregressive models to test for cointegration and to detect asymmetries. The analysis provides evidence of an asymmetric adjustment process in the sectorial lending-deposit rate spread among Fijian commercial banks. This finding has important policy implications and provides better understanding of the asymmetric behaviour in Fiji’s banking industry.

Keywords: Asymmetric adjustment; Lending-deposit spread; Threshold autoregressive models; Banking industry (search for similar items in EconPapers)
JEL-codes: C2 D8 G2 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:24:y:2021:i:spg:p:89-106

DOI: 10.21098/bemp.v24i0.1468

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