Asymmetric adjustment in the prime lending–deposit rate spread

Mark A. Thompson

Review of Financial Economics, 2006, vol. 15, issue 4, 323-329

Abstract: The hypothesis that bank lending rates adjust differently to rising versus declining market rates is empirically examined. This study applies threshold autoregressive and momentum threshold autoregressive models developed by Enders & Granger [Enders, W. & Granger, C. (1998). Unit root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics 16, 304–311] and Enders and Siklos [Enders, W. & Siklos, P. (2001). Cointegration and threshold adjustment. Journal of Business & Economic Statistics 19, 166–176] to the prime lending–deposit rate spread. Within the context of these models, this paper provides evidence of asymmetric adjustment in the spread.

Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1016/j.rfe.2005.12.002

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:wly:revfec:v:15:y:2006:i:4:p:323-329

Access Statistics for this article

More articles in Review of Financial Economics from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().