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Intermediation Spreads in an Emerging Economy Under Different Macroeconomic Regimes: Argentina, 1994-2013

Author

Listed:
  • Horacio Aguirre

    (Central Bank of Argentina)

  • Tamara Burdisso

    (Central Bank of Argentina)

  • Federico Grillo

    (Central Bank of Argentina)

  • Emiliano Giupponi

    (Central Bank of Argentina)

Abstract

We study the interest rate spread of the Argentine financial system during the last eighteen years. We analyze Granger causality of selected variables, and estimate econometric models that relate spread to macroeconomic and microeconomic factors. Results indicate that output growth and monetization reduce spread during the whole period, while country risk and prices are significant only by subperiods, suggesting changes in macroeconomic context. Banking system variables also have significant impacts, including: taxes, administrative expenses, non-performing loans, the use of own resources and liquidity.

Suggested Citation

  • Horacio Aguirre & Tamara Burdisso & Federico Grillo & Emiliano Giupponi, 2015. "Intermediation Spreads in an Emerging Economy Under Different Macroeconomic Regimes: Argentina, 1994-2013," BCRA Working Paper Series 201564, Central Bank of Argentina, Economic Research Department.
    • Handle: RePEc:bcr:wpaper:201564
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    More about this item

    Keywords

    Argentina; emerging economies; financial stability; financial system; interest rate spreads;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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