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Asymmetric Adjustment of The Sectorial Lending - Deposit Rate Spread in Fiji

Chand, Shamal S. and Singh, Baljeet (2021) Asymmetric Adjustment of The Sectorial Lending - Deposit Rate Spread in Fiji. Bulletin of Monetary Economics and Banking, 24 . pp. 89-106. ISSN 1410-8046

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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.

Item Type: Journal Article
Subjects: H Social Sciences > HG Finance
Divisions: School of Accounting, Finance and Economics (SAFE)
Depositing User: Ms Shalni Sanjana
Date Deposited: 16 Aug 2021 14:00
Last Modified: 16 Aug 2021 14:00
URI: http://repository.usp.ac.fj/id/eprint/12902
UNSPECIFIED

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