Brunel University Research Archive(BURA) preserves and enables easy and open access to all
types of digital content. It showcases Brunel's research outputs.
Research contained within BURA is open access, although some publications may be subject
to publisher imposed embargoes. All awarded PhD theses are also archived on BURA.
Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/913| Title: | On the dynamics of lending and deposit interest rates in emerging markets: A non-linear approach |
| Authors: | Iregui, AM Milas, C Otero, J |
| Keywords: | Interest rates; Spreads; Emerging markets; Non-linear models; Regimes |
| Issue Date: | 2002 |
| Publisher: | Brunel University |
| Citation: | Economics and Finance Working papers, Brunel University, 02-29 |
| 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. |
| URI: | http://bura.brunel.ac.uk/handle/2438/913 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.