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

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  • Ana María Iregui

    ()

  • Costas Milas

    ()

  • Jesus Otero

    ()

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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File URL: http://www.brunel.ac.uk/329/efwps/02-29.pdf
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Bibliographic Info

Paper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Public Policy Discussion Papers with number 02-29.

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Length: 21 pages
Date of creation: Nov 2002
Date of revision:
Handle: RePEc:bru:bruppp:02-29

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Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK

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  1. Liliana Rojas-Suárez & Steven R. Weisbrod, 1996. "Building Stability in Latin American Financial Markets," IDB Publications 5921, Inter-American Development Bank.
  2. repec:fth:inadeb:320 is not listed on IDEAS
  3. 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.
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Cited by:
  1. Wang, Kuan-Min & Lee, Yuan-Ming, 2009. "Market volatility and retail interest rate pass-through," Economic Modelling, Elsevier, vol. 26(6), pages 1270-1282, November.
  2. Kuan-Min Wang, 2010. "Expected and Unexpected Impulses of Monetary Policy on the Interest Pass-Through Mechanism in Asian Countries," Annals of Economics and Finance, Society for AEF, vol. 11(1), pages 95-137, May.

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