On The Dynamics Of Lending And Deposit Interest Rates In Emerging Markets: A Non-Linear Approach
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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Volume (Year): 6 (2002)
Issue (Month): 3 (November)
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