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Endogenous thresholds and tests for asymmetry in US prime rate movements

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  • Tkacz, Greg

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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 73 (2001)
Issue (Month): 2 (November)
Pages: 207-211

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Handle: RePEc:eee:ecolet:v:73:y:2001:i:2:p:207-211

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  1. Choi, Woon Gyu, 1999. "Asymmetric Monetary Effects on Interest Rates across Monetary Policy Stances," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 31(3), pages 386-416, August.
  2. Donald P. Morgan, 1993. "Asymmetric effects of monetary policy," Economic Review, Federal Reserve Bank of Kansas City, issue Q II, pages 21-33.
  3. Georgios Karras & Houston Stokes, 1999. "On the asymmetric effects of money-supply shocks: international evidence from a panel of OECD countries," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 31(2), pages 227-235.
  4. Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
  5. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 943, Cowles Foundation for Research in Economics, Yale University.
  6. Ben S. Bernanke & Alan S. Blinder, 1989. "The federal funds rate and the channels of monetary transmission," Working Papers 89-10, Federal Reserve Bank of Philadelphia.
  7. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
  8. Karras, Georgios, 1996. "Are the Output Effects of Monetary Policy Asymmetric? Evidence from a Sample of European Countries," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(2), pages 267-78, May.
  9. Rhee, Wooheon & Rich, Robert W., 1995. "Inflation and the asymmetric effects of money on output fluctuations," Journal of Macroeconomics, Elsevier, Elsevier, vol. 17(4), pages 683-702.
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Cited by:
  1. Thompson, Mark A., 2006. "Asymmetric adjustment in the prime lending-deposit rate spread," Review of Financial Economics, Elsevier, Elsevier, vol. 15(4), pages 323-329.
  2. Paraschiv, Florentina, 2012. "Adjustment Policy of Deposit Rates in the Case of Swiss non-Maturing Savings Accounts," Working Papers on Finance 1219, University of St. Gallen, School of Finance.
  3. Johann Burgstaller, 2005. "Interest rate pass-through estimates from vector autoregressive models," Economics working papers, Department of Economics, Johannes Kepler University Linz, Austria 2005-10, Department of Economics, Johannes Kepler University Linz, Austria.

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