Advanced Search
MyIDEAS: Login to save this paper or follow this series

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


Author Info

  • Ana María Iregui


  • Costas Milas


  • Jesús Otero



This paper studies the dynamics of lending and deposit rates in four emerging markets in Latin America: Argentina, Chile, Colombia and Mexico. The dynamics of interest rates exhibit a regime-switching behavior, where the transition from one regime to the other is controlled by the interest rate spread difference. The first regime, which is characterized by negative deviations of the interest rate spread relative to an estimated threshold, occurs during periods of financial liberalization. The second regime, which is characterized by positive deviations of the interest rate spread relative to the estimated threshold, occurs during periods of financial inefficiency and increasing government intervention. By capturing changing policy regimes from government intervention to a more financially liberalized environment and vice versa, the non-linear specification proves superior to the linear one. ********************************************************************** Este trabajo estudia el comportamiento dinámico de las tasas de interés de captación y colocación en cuatro mercados emergentes en Latinoamérica: Argentina, Chile, Colombia y México. La dinámica de las tasas de interés muestra un comportamiento de cambio de régimen, donde la transición de un régimen a otro, es controlada por el diferencial entre las tasas. El primer régimen, caracterizado por desviaciones negativas del diferencial entre las tasas con respecto a un umbral estimado, ocurre durante periodos de liberalización financiera. El segundo, caracterizado por desviaciones positivas, ocurre durante periodos de ineficiencia financiera y creciente intervención. La especificación no lineal resulta mejor que la lineal en la medida en que permite capturar cambios de régimen.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL:
Download Restriction: no

Bibliographic Info

Paper provided by UNIVERSIDAD DEL ROSARIO in its series BORRADORES DE INVESTIGACIÓN with number 003297.

as in new window
Length: 39
Date of creation: 02 Nov 2001
Date of revision:
Handle: RePEc:col:000091:003297

Contact details of provider:

Related research

Keywords: Interest rates; Spreads; Emerging markets; Non-linear models; Regimes;

Other versions of this item:

Find related papers by JEL classification:


References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. repec:fth:inadeb:320 is not listed on IDEAS
  2. Liliana Rojas-Suárez & Steven R. Weisbrod, 1996. "Building Stability in Latin American Financial Markets," Research Department Publications, Inter-American Development Bank, Research Department 4028, Inter-American Development Bank, Research Department.
  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., John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De.
Full references (including those not matched with items on IDEAS)


Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. 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.
  2. Wang, Kuan-Min & Lee, Yuan-Ming, 2009. "Market volatility and retail interest rate pass-through," Economic Modelling, Elsevier, Elsevier, vol. 26(6), pages 1270-1282, November.


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


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:col:000091:003297. 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: (Publicaciones Economía).

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.