On The Dynamics Of Lending And Deposit Interest Rates In Emerging Markets: A Non-Linear Approach

Ana María Iregui; Costas Milas; Jesus Otero

doi:10.2202/1558-3708.1093

Published by De Gruyter November 21, 2002

On The Dynamics Of Lending And Deposit Interest Rates In Emerging Markets: A Non-Linear Approach

Ana María Iregui , Costas Milas and Jesus Otero

From the journal Studies in Nonlinear Dynamics & Econometrics

https://doi.org/10.2202/1558-3708.1093

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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.

Published Online: 2002-11-21

On The Dynamics Of Lending And Deposit Interest Rates In Emerging Markets: A Non-Linear Approach

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