Asymmetric adjustment in the prime lending-deposit rate spread

Research output: Contribution to journalArticle

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

Keywords

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

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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