The response of the conventional mortgage rate to the federal funds rate: symmetric or asymmetric adjustment?

James Payne

Applied Financial Economics Letters, 2006, vol. 2, issue 5, 279-284

Abstract: The momentum threshold autoregressive (MTAR) model of Enders and Siklos (2001) is utilized to examine the response of the 30-year conventional mortgage rate to changes in the federal funds rate in the USA over the period 1971:4 to 2005:10. The results indicate incomplete interest rate pass-through; however, the long-run adjustment process appears to be symmetric rather than asymmetric.

Date: 2006
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/17446540600647037 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:raflxx:v:2:y:2006:i:5:p:279-284

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rafl20

DOI: 10.1080/17446540600647037

Access Statistics for this article

Applied Financial Economics Letters is currently edited by Anita Phillips

More articles in Applied Financial Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().