Advanced Search
MyIDEAS: Login

Nonlinearities in the Adjustments of Commercial Banks’ Retail Rates to Interbank Rates: The Case of Mauritius

Contents:

Author Info

  • Jankee Kheswar Chandan

Abstract

This paper investigates the rigidity in commercial banks’ interest rates in the case of Mauritius using a nonlinear framework. The long-run cointegrating relationships between each of the banks’ retail rates (i.e., deposit and lending rates) and interbank rates are examined using threshold models designed to study nonlinear adjustments. From the Momentum Autoregressive model, the author finds that discrepancies between the lending rate and the interbank rate from their long-run equilibrium level are eliminated rapidly when there are negative shocks to the margin while others are allowed to persist. This indicates that discrepancies exhibit more momentum when they are declining than when they are increasing. In other words, whether interbank rate is increasing or decreasing, lending rates are adjusted more rapidly for decreases in the margin but they are allowed to persist for increases in the margin.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Article provided by IUP Publications in its journal The IUP Journal of Financial Economics.

Volume (Year): III (2005)
Issue (Month): 3 (September)
Pages: 37-53

as in new window
Handle: RePEc:icf:icfjfe:v:03:y:2005:i:3:p:37-53

Contact details of provider:

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:icf:icfjfe:v:03:y:2005:i:3:p:37-53. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (G R K Murty).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.