Please use this identifier to cite or link to this item:
|Title:||On the dynamics of lending and deposit interest rates in emerging markets: A non-linear approach|
|Keywords:||Interest rates; Spreads; Emerging markets; Non-linear models; Regimes|
|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.|
|Appears in Collections:||Dept of Economics and Finance Research Papers|
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.