ASYMMETRIES IN THE PERUVIAN LENDING-DEPOSIT RATE SPREAD
This study examines the asymmetric behavior of the lending-deposit rate spread in the Peruvian banking system over the period of 1991:9 to 2005:9. The threshold autoregressive(TAR) model did not reveal any asymmetry. However, the momentum threshold autoregressive(MTAR) model revealed asymmetric adju...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
People & Global Business Association (P&GBA)
2008-09-01
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| Series: | Global Business and Finance Review |
| Subjects: | |
| Online Access: | http://www.gbfrjournal.org/pds/journal/thesis/20150622180457-O956Q.pdf |
| Summary: | This study examines the asymmetric behavior of the lending-deposit rate spread in the Peruvian banking system over the period of 1991:9 to 2005:9. The threshold autoregressive(TAR) model did not reveal any asymmetry. However, the momentum threshold autoregressive(MTAR) model revealed asymmetric adjustments in the lending-deposit rate spread in the Peruvian banking industry. This result paralles those findings reported by Thompson(2006) for the U.S the speed of adjustment is slower when the lending-deposit rate spread is widening than it is when the spread is narrowing. Also, the partial F-statistics corresponding to causality from the estimated asymmetric error correction model reveal that both the Peruvian lending rate and deposit rate affect movement in each other’s rate. These findings paralleled those reported by Thompson(2006) on the U.S prime rate and the 1-month CD rate. |
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| ISSN: | 1088-6931 2384-1648 |