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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Autores:
Tipo de recurso:
Fecha de publicación:
2019
Institución:
Universidad del Rosario
Repositorio:
Repositorio EdocUR - U. Rosario
Idioma:
eng
OAI Identifier:
oai:repository.urosario.edu.co:10336/22663
Acceso en línea:
https://doi.org/10.1016/j.najef.2019.03.008
https://repository.urosario.edu.co/handle/10336/22663
Palabra clave:
C33
Colombia
Convergence clubs
E43
G21
Interest rates
Maturity
Rights
License
Abierto (Texto Completo)
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repository_id_str
spelling 0360066a-2374-47c1-a721-fe350edc881490d9190c-f3be-4e29-8ba9-2da98480207b792428146002020-05-25T23:57:25Z2020-05-25T23:57:25Z2019Against 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.application/pdfhttps://doi.org/10.1016/j.najef.2019.03.00810629408https://repository.urosario.edu.co/handle/10336/22663engElsevier Inc.7057North American Journal of Economics and FinanceVol. 49North American Journal of Economics and Finance, ISSN:10629408, Vol.49,(2019); pp. 57-70https://www.scopus.com/inward/record.uri?eid=2-s2.0-85063760862&doi=10.1016%2fj.najef.2019.03.008&partnerID=40&md5=af77c62aa371ddd5d15fa92276b81832Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURC33ColombiaConvergence clubsE43G21Interest ratesMaturityInterest rate convergence across maturities: Evidence from bank data in an emerging market economyarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Holmes M.J.Iregui A.M.Otero Cardona, Jesús Gilberto10336/22663oai:repository.urosario.edu.co:10336/226632022-05-02 07:37:16.884598https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv Interest rate convergence across maturities: Evidence from bank data in an emerging market economy
title Interest rate convergence across maturities: Evidence from bank data in an emerging market economy
spellingShingle Interest rate convergence across maturities: Evidence from bank data in an emerging market economy
C33
Colombia
Convergence clubs
E43
G21
Interest rates
Maturity
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
dc.subject.keyword.spa.fl_str_mv C33
Colombia
Convergence clubs
E43
G21
Interest rates
Maturity
topic C33
Colombia
Convergence clubs
E43
G21
Interest rates
Maturity
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.
publishDate 2019
dc.date.created.spa.fl_str_mv 2019
dc.date.accessioned.none.fl_str_mv 2020-05-25T23:57:25Z
dc.date.available.none.fl_str_mv 2020-05-25T23:57:25Z
dc.type.eng.fl_str_mv article
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.spa.spa.fl_str_mv Artículo
dc.identifier.doi.none.fl_str_mv https://doi.org/10.1016/j.najef.2019.03.008
dc.identifier.issn.none.fl_str_mv 10629408
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/22663
url https://doi.org/10.1016/j.najef.2019.03.008
https://repository.urosario.edu.co/handle/10336/22663
identifier_str_mv 10629408
dc.language.iso.spa.fl_str_mv eng
language eng
dc.relation.citationEndPage.none.fl_str_mv 70
dc.relation.citationStartPage.none.fl_str_mv 57
dc.relation.citationTitle.none.fl_str_mv North American Journal of Economics and Finance
dc.relation.citationVolume.none.fl_str_mv Vol. 49
dc.relation.ispartof.spa.fl_str_mv North American Journal of Economics and Finance, ISSN:10629408, Vol.49,(2019); pp. 57-70
dc.relation.uri.spa.fl_str_mv https://www.scopus.com/inward/record.uri?eid=2-s2.0-85063760862&doi=10.1016%2fj.najef.2019.03.008&partnerID=40&md5=af77c62aa371ddd5d15fa92276b81832
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.acceso.spa.fl_str_mv Abierto (Texto Completo)
rights_invalid_str_mv Abierto (Texto Completo)
http://purl.org/coar/access_right/c_abf2
dc.format.mimetype.none.fl_str_mv application/pdf
dc.publisher.spa.fl_str_mv Elsevier Inc.
institution Universidad del Rosario
dc.source.instname.spa.fl_str_mv instname:Universidad del Rosario
dc.source.reponame.spa.fl_str_mv reponame:Repositorio Institucional EdocUR
repository.name.fl_str_mv Repositorio institucional EdocUR
repository.mail.fl_str_mv edocur@urosario.edu.co
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