On the dynamics of lending and deposit interest rates in emerging markets: a non-linear approach
AbstractThis 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.
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Date of creation: 02 Nov 2001
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- Ana MarÃa Iregui & Costas Milas & Jesus Otero, 2002. "On The Dynamics Of Lending And Deposit Interest Rates In Emerging Markets: A Non-Linear Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(3), pages 4.
- Ana María Iregui & Costas Milas & Jesus Otero, 2002. "On the dynamics of lending and deposit interest rates in emerging markets:a non-linear approach," Economics and Finance Discussion Papers 02-29, Economics and Finance Section, School of Social Sciences, Brunel University.
- Ana María Iregui & Costas Milas & Jesus Otero, 2002. "On the dynamics of lending and deposit interest rates in emerging markets:a non-linear approach," Public Policy Discussion Papers 02-29, Economics and Finance Section, School of Social Sciences, Brunel University.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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