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

Holmes Mark J.; Maria Iregui Ana; Otero Jesus

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

机译：各个期限的利率趋同：新兴市场经济中银行数据的证据

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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.

机译：在金融自由化改革的背景下，我们评估了哥伦比亚零售存款和贷款市场的市场整合和竞争程度。我们采用了一个数据集，该数据集包含了一系列银行中不同金融产品的银行级利率数据。我们通过估计俱乐部组建的驱动力来利用并进一步发展Phillips和Sul融合俱乐部方法。我们发现存款市场已经一体化，但没有贷款，因为投资组合的风险和贷款期限可以解释为什么没有完全一体化的市场。此外，贷款市场趋同程度对货币政策的变化也有不对称的反应。

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来源
《The North American journal of economics and finance》 |2019年第7期|57-70|共14页
作者
Holmes Mark J.; Maria Iregui Ana; Otero Jesus;
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作者单位

Univ Waikato, Waikato Management Sch, Hamilton, New Zealand;

Unidad Invest, Banco De La Republica, Colombia;

Univ Rosario, Fac Econ, Rosario, Santa Fe, Argentina;

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正文语种 eng
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关键词
Convergence clubs; Interest rates; Maturity; Colombia;

机译：收敛俱乐部;利率;成熟;哥伦比亚;

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1. Interest rate convergence across maturities: Evidence from bank data in an emerging market economy [J] . Holmes Mark J., Maria Iregui Ana, Otero Jesus The North American journal of economics and finance . 2019,第Jula期

机译：在新兴市场经济中的银行数据的利率融合：来自银行数据的证据
2. Global banks and internal capital markets: Evidence from bank-level panel data in emerging economies [J] . Bang Nam Jeon, Ji Wu Journal of Multinational Financial Management . 2014,第deca期

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3. Does interest rate and its volatility affect banking sector development? Empirical evidence from emerging market economies [J] . Tuna Gulcay, Almahadin Hamed Ahmad Research in International Business and Finance . 2021,第Deca期

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

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