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

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Author Info
Ana María Iregui (Estudios Económicos Banco de la República)
Costas Milas (Brunel University)
Jesus Otero (Universidad del Rosario)

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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.

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Publisher Info
Article provided by Berkeley Electronic Press in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 6 (2002)
Issue (Month): 3 ()
Pages: 1093-1093
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Handle: RePEc:bep:sndecm:6:2002:3:1093-1093

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Related research
Keywords: Interest rates; spreads; emerging markets; non-linear models; regimes;

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  1. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De. [Downloadable!] (restricted)
  2. Jansen, Eilev S & Terasvirta, Timo, 1996. "Testing Parameter Constancy and Super Exogeneity in Econometric Equations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 735-63, November.
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  3. repec:fth:inadeb:320 is not listed on IDEAS
  4. Honohan, Patrick & Shi, Anging, 2001. "Deposit dollarization and the financial sector in emerging economies," Policy Research Working Paper Series 2748, The World Bank. [Downloadable!]
  5. Lim, G C, 2001. "Bank Interest Rate Adjustments: Are They Asymmetric?," The Economic Record, The Economic Society of Australia, vol. 77(237), pages 135-47, June. [Downloadable!] (restricted)
  6. Hannan, Timothy H & Berger, Allen N, 1991. "The Rigidity of Prices: Evidence from the Banking Industry," American Economic Review, American Economic Association, vol. 81(4), pages 938-45, September. [Downloadable!] (restricted)
  7. Rudiger Dornbusch & Stanley Fischer, 1993. "Moderate Inflation," NBER Working Papers 3896, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. Concetta Chiuri, Maria & Ferri, Giovanni & Majnoni, Giovanni, 2002. "The macroeconomic impact of bank capital requirements in emerging economies: Past evidence to assess the future," Journal of Banking & Finance, Elsevier, vol. 26(5), pages 881-904, May. [Downloadable!] (restricted)
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  9. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March. [Downloadable!] (restricted)
  10. Barry Scholnick, 1996. "Retail Interest Rate Rigidity after Financial Liberalization," Canadian Journal of Economics, Canadian Economics Association, vol. 29(s1), pages 433-37, April. [Downloadable!] (restricted)
  11. Scholnick, Barry, 1996. "Asymmetric adjustment of commercial bank interest rates: evidence from Malaysia and Singapore," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 485-496, June. [Downloadable!] (restricted)
  12. Demirguc, Asli & Huizinga, Harry, 1999. "Determinants of Commercial Bank Interest Margins and Profitability: Some International Evidence," World Bank Economic Review, Oxford University Press, vol. 13(2), pages 379-408, May.
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  13. Barajas, Adolfo & Steiner, Roberto & Salazar, Natalia, 2000. "The impact of liberalization and foreign investment in Colombia's financial sector," Journal of Development Economics, Elsevier, vol. 63(1), pages 157-196, October. [Downloadable!] (restricted)
  14. Anderson, Heather M, 1997. "Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 465-84, November.
  15. Liliana Rojas-Suárez & Steven R. Weisbrod, 1996. "Building Stability in Latin American Financial Markets," RES Working Papers 4028, Inter-American Development Bank, Research Department. [Downloadable!]
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