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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 |
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