Asymmetric adjustment in the prime lending-deposit rate spread

Mark A. Thompson

doi:10.1016/j.rfe.2005.12.002

Asymmetric adjustment in the prime lending-deposit rate spread

Mark A. Thompson

Research output: Contribution to journal › Article › peer-review

28 Scopus citations

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.

Original language	English (US)
Pages (from-to)	323-329
Number of pages	7
Journal	Review of Financial Economics
Volume	15
Issue number	4
DOIs	https://doi.org/10.1016/j.rfe.2005.12.002
State	Published - 2006
Externally published	Yes

Keywords

Asymmetric adjustment
Deposit rate
Prime lending rate
Spread

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.rfe.2005.12.002

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AB - 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.

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KW - Spread

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Asymmetric adjustment in the prime lending-deposit rate spread

Abstract

Keywords

ASJC Scopus subject areas

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