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首页> 外文期刊>Journal of international development: The journal of the development studies association >Interest Rate Dynamics in Kenya: Commercial Banks' Rates and the 91-Day Treasury Bill Rate
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Interest Rate Dynamics in Kenya: Commercial Banks' Rates and the 91-Day Treasury Bill Rate

机译：肯尼亚的利率动态：商业银行的利率和91天国库券利率

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摘要

This paper analyses the implicit dynamics underlying the interest rate structure in Kenya. For this purpose, we use data on four interest rates of commercial banks (deposits, savings, lending and overdraft) together with the 91-day Treasury Bill rate, for the period July 1991 to August 2010, and apply various techniques based on long-range dependence and, in particular, on fractional integration. The results indicate that all series examined are nonstationary with orders of integration equal to or higher than 1 when using parametric techniques and slightly smaller than 1 when using semiparametric methods. The analysis of various spreads suggests that lending-savings and deposits-savings are also nonstationary I(1) variables; however, the spreads vis-a-vis the Treasury Bill rate may be mean reverting if the errors are autocorrelated. The high level of dependence observed in some of these series could be the result of an incorrect interest rate policy, implying the desirability of a policy aimed at reducing interest rate volatility. Copyright (c) 2014 John Wiley & Sons, Ltd.
机译：本文分析了肯尼亚利率结构的内在动力。为此，我们使用1991年7月至2010年8月商业银行四种利率（存款，储蓄，贷款和透支）的数据以及91天国库券利率的数据，并采用了多种基于长期利率的技术范围依赖性，尤其是分数积分。结果表明，所有检验的序列都是非平稳的，使用参数技术时积分阶数等于或大于1，使用半参数方法时积分阶数小于1。对各种利差的分析表明，贷款储蓄和存款储蓄也是非平稳I（1）变量;但是，如果误差是自相关的，则相对于国库券利率的利差可能意味着均值回复。在这些系列中的某些系列中观察到的高度依赖可能是不正确的利率政策的结果，这暗示了旨在降低利率波动性的政策的可取性。版权所有（c）2014 John Wiley＆Sons，Ltd.

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