Interest rate convergence across maturities: Evidence from bank data in an emerging market economy

"Against a background of financial liberalisation reforms, we assess the extent of market integration and competition in Colombian retail deposits and loans markets. We employ a dataset comprising bank-level interest rate data for different financial products across a range of banks. We utilise...

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Autores Principales: Holmes M.J., Iregui A.M., Otero, Jesus
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: Elsevier Inc. 2019
Materias:
C33
E43
G21
Acceso en línea:https://repository.urosario.edu.co/handle/10336/22663
https://doi.org/10.1016/j.najef.2019.03.008
id ir-10336-22663
recordtype dspace
spelling ir-10336-226632021-09-15T22:09:33Z Interest rate convergence across maturities: Evidence from bank data in an emerging market economy Holmes M.J. Iregui A.M. Otero, Jesus C33 Colombia Convergence clubs E43 G21 Interest rates Maturity "Against a background of financial liberalisation reforms, we assess the extent of market integration and competition in Colombian retail deposits and loans markets. We employ a dataset comprising bank-level interest rate data for different financial products across a range of banks. We utilise and further develop the Phillips and Sul convergence club approach by estimating the drivers of club formation. We find integration of the deposits market, but not loans where portfolio riskiness and loan maturity explain why there is not a fully integrated market. Also, the degree of loan market convergence responds asymmetrically to changes in monetary policy. © 2019 Elsevier Inc." 2019 2020-05-25T23:57:25Z info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion 10629408 https://repository.urosario.edu.co/handle/10336/22663 https://doi.org/10.1016/j.najef.2019.03.008 eng info:eu-repo/semantics/openAccess application/pdf Elsevier Inc. instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR
institution EdocUR - Universidad del Rosario
collection DSpace
language Inglés (English)
topic C33
Colombia
Convergence clubs
E43
G21
Interest rates
Maturity
spellingShingle C33
Colombia
Convergence clubs
E43
G21
Interest rates
Maturity
Holmes M.J.
Iregui A.M.
Otero, Jesus
Interest rate convergence across maturities: Evidence from bank data in an emerging market economy
description "Against a background of financial liberalisation reforms, we assess the extent of market integration and competition in Colombian retail deposits and loans markets. We employ a dataset comprising bank-level interest rate data for different financial products across a range of banks. We utilise and further develop the Phillips and Sul convergence club approach by estimating the drivers of club formation. We find integration of the deposits market, but not loans where portfolio riskiness and loan maturity explain why there is not a fully integrated market. Also, the degree of loan market convergence responds asymmetrically to changes in monetary policy. © 2019 Elsevier Inc."
format Artículo (Article)
author Holmes M.J.
Iregui A.M.
Otero, Jesus
author_facet Holmes M.J.
Iregui A.M.
Otero, Jesus
author_sort Holmes M.J.
title Interest rate convergence across maturities: Evidence from bank data in an emerging market economy
title_short Interest rate convergence across maturities: Evidence from bank data in an emerging market economy
title_full Interest rate convergence across maturities: Evidence from bank data in an emerging market economy
title_fullStr Interest rate convergence across maturities: Evidence from bank data in an emerging market economy
title_full_unstemmed Interest rate convergence across maturities: Evidence from bank data in an emerging market economy
title_sort interest rate convergence across maturities: evidence from bank data in an emerging market economy
publisher Elsevier Inc.
publishDate 2019
url https://repository.urosario.edu.co/handle/10336/22663
https://doi.org/10.1016/j.najef.2019.03.008
_version_ 1712098697884467200
score 11,828437