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Asymmetric Adjustment Of The Sectorial Lending-Deposit Rate Spread In Fiji

Author

Listed:
  • Shamal Shivneel Chand

    (The University of the South Pacific)

  • Baljeet Singh

    (The University of the South Pacific)

Abstract

This study investigates the asymmetric adjustment of the sectorial lending-deposit rate spread in Fiji’s banking industry using monthly data from January 2000 to February 2020. The study uses the threshold autoregressive and the momentum threshold autoregressive models to test for cointegration and to detect asymmetries. The analysis provides evidence of an asymmetric adjustment process in the sectorial lending-deposit rate spread among Fijian commercial banks. This finding has important policy implications and provides better understanding of the asymmetric behaviour in Fiji’s banking industry.

Suggested Citation

  • Shamal Shivneel Chand & Baljeet Singh, 2021. "Asymmetric Adjustment Of The Sectorial Lending-Deposit Rate Spread In Fiji," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 24(Special I), pages 89-106, January.
    • Handle: RePEc:idn:journl:v:24:y:2021:i:spg:p:89-106
    DOI: https://doi.org/10.21098/bemp.v24i0.1468
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    More about this item

    Keywords

    Asymmetric adjustment; Lending-deposit spread; Threshold autoregressive models; Banking industry;
    All these keywords.

    JEL classification:

    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • G2 - Financial Economics - - Financial Institutions and Services
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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