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

Ana 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.

Pages: 21 pages
Date: 2002-11
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Related works:
Journal Article: 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: https://EconPapers.repec.org/RePEc:bru:bruppp:02-29

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