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 and f...
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ir-10336-226632022-05-02T12:37:16Z 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 |
institution |
EdocUR - Universidad del Rosario |
collection |
DSpace |
language |
Inglés (English) |
topic |
C33 Colombia Convergence clubs E43 G21 Interest rates Maturity |
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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_ |
1740172935246643200 |
score |
12,131701 |