ASYMMETRIC ADJUSTMENT OF THE SECTORIAL LENDINGDEPOSIT RATE SPREAD IN FIJI

  • Shamal Shivneel Chand The University of the South Pacific, Fiji
  • Baljeet Singh The University of the South Pacific
Keywords: Asymmetric adjustment;, Lending-deposit spread;, Threshold autoregressive models;, Banking industry.

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.

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Published
2021-03-08
How to Cite
Chand, S., & Singh, B. (2021). ASYMMETRIC ADJUSTMENT OF THE SECTORIAL LENDINGDEPOSIT RATE SPREAD IN FIJI. Buletin Ekonomi Moneter Dan Perbankan, 24, 89-106. https://doi.org/10.21098/bemp.v24i0.1468