Asymmetric adjustment in the prime lending-deposit rate spread

Research output: Contribution to journalArticle

23 Citations (Scopus)

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 languageEnglish (US)
Pages (from-to)323-329
Number of pages7
JournalReview of Financial Economics
Volume15
Issue number4
DOIs
StatePublished - Nov 22 2006

Fingerprint

Deposit rate
Statistics
Lending
Asymmetric adjustment
Economics
Cointegration
Bank lending
Threshold autoregressive model
Unit root tests
Term structure of interest rates
Momentum

Keywords

  • Asymmetric adjustment
  • Deposit rate
  • Prime lending rate
  • Spread

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

Cite this

Asymmetric adjustment in the prime lending-deposit rate spread. / Thompson, Mark Andrew.

In: Review of Financial Economics, Vol. 15, No. 4, 22.11.2006, p. 323-329.

Research output: Contribution to journalArticle

@article{19e51da5469741a0be4cf53859947623,
title = "Asymmetric adjustment in the prime lending-deposit rate spread",
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.",
keywords = "Asymmetric adjustment, Deposit rate, Prime lending rate, Spread",
author = "Thompson, {Mark Andrew}",
year = "2006",
month = "11",
day = "22",
doi = "10.1016/j.rfe.2005.12.002",
language = "English (US)",
volume = "15",
pages = "323--329",
journal = "Review of Financial Economics",
issn = "1058-3300",
publisher = "Elsevier Inc.",
number = "4",

}

TY - JOUR

T1 - Asymmetric adjustment in the prime lending-deposit rate spread

AU - Thompson, Mark Andrew

PY - 2006/11/22

Y1 - 2006/11/22

N2 - 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.

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.

KW - Asymmetric adjustment

KW - Deposit rate

KW - Prime lending rate

KW - Spread

UR - http://www.scopus.com/inward/record.url?scp=33751119831&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=33751119831&partnerID=8YFLogxK

U2 - 10.1016/j.rfe.2005.12.002

DO - 10.1016/j.rfe.2005.12.002

M3 - Article

AN - SCOPUS:33751119831

VL - 15

SP - 323

EP - 329

JO - Review of Financial Economics

JF - Review of Financial Economics

SN - 1058-3300

IS - 4

ER -