Endogenous thresholds and tests for asymmetry in US prime rate movements (Q5958686)
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scientific article; zbMATH DE number 1715727
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| English | Endogenous thresholds and tests for asymmetry in US prime rate movements |
scientific article; zbMATH DE number 1715727 |
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Endogenous thresholds and tests for asymmetry in US prime rate movements (English)
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3 March 2002
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This paper tests the hypothesis that movements in the prime rate are dependent upon the interest rate regime. We find that the responsiveness of prime to changes in the Federal Funds rate is relatively symmetric, but that the speed of adjustment of prime is faster when there is a substantial deviation from the equilibrium relationship linking these rates. These two results would confirm that lending markets are competitive in the US, and that monetary policy actions are readily transmitted to lending rates.
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interest rates
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threshold effects
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0.6908129453659058
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0.6840387582778931
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0.6715586185455322
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0.6653380393981934
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0.6627616882324219
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