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.
|Date of creation:||Nov 2002|
|Date of revision:|
|Contact details of provider:|| Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK|
References listed on IDEAS
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- Armando Montenegro, 1983.
"La crisis del sector financiero colombiano,"
Ensayos sobre Política Económica,
Banco de la Republica de Colombia, vol. 2(4), pages 51-89, Diciembre.
- 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.
- Liliana Rojas-Suárez & Steven R. Weisbrod, 1996.
"Building Stability in Latin American Financial Markets,"
Research Department Publications
4028, Inter-American Development Bank, Research Department.
- Liliana Rojas-Suárez & Steven R. Weisbrod, 1996. "Building Stability in Latin American Financial Markets," IDB Publications (Working Papers) 5921, Inter-American Development Bank.
- repec:idb:wpaper:320 is not listed on IDEAS
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