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

Ana Iregui, Costas Milas and Jesus Otero

Studies in Nonlinear Dynamics & Econometrics, 2002, vol. 6, issue 3, 21

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: 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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DOI: 10.2202/1558-3708.1093

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