Please use this identifier to cite or link to this item: http://buratest.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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