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Are prime rate changes asymmetric?

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  • Michael J. Dueker

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Article provided by Federal Reserve Bank of St. Louis in its journal Review.

Volume (Year): (2000)
Issue (Month): Sep ()
Pages: 33-40

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Handle: RePEc:fip:fedlrv:y:2000:i:sep:p:33-40:n:v.82no.5

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Related research

Keywords: Prime rate ; Interest rates ; Bank loans;

References

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  1. David Neumark & Steven A. Sharpe, 1989. "Market structure and the nature of price rigidity: evidence from the market for consumer deposits," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 52, Board of Governors of the Federal Reserve System (U.S.).
  2. Dueker, Michael, 1999. "Conditional Heteroscedasticity in Qualitative Response Models of Time Series: A Gibbs-Sampling Approach to the Bank Prime Rate," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 17(4), pages 466-72, October.
  3. Klemperer, Paul, 1995. "Competition When Consumers Have Switching Costs: An Overview with Applications to Industrial Organization, Macroeconomics, and International Trade," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 62(4), pages 515-39, October.
  4. Cover, James Peery, 1992. "Asymmetric Effects of Positive and Negative Money-Supply Shocks," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 107(4), pages 1261-82, November.
  5. Judith A. Chevalier & David S. Scharfstein, 1994. "Capital Market Imperfections and Countercyclical Markups: Theory and Evidence," NBER Working Papers 4614, National Bureau of Economic Research, Inc.
  6. Richard J. Gilbert & Paul Klemperer, 2000. "An Equilibrium Theory of Rationing," RAND Journal of Economics, The RAND Corporation, vol. 31(1), pages 1-21, Spring.
  7. Diebold, Francis X & Sharpe, Steven A, 1990. "Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 8(3), pages 281-91, July.
  8. Hutchison, David E, 1995. "Retail Bank Deposit Pricing: An Intertemporal Asset Pricing Approach," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 27(1), pages 217-31, February.
  9. Eichengreen, Barry & Watson, Mark W & Grossman, Richard S, 1985. "Bank Rate Policy under the Interwar Gold Standard: A Dynamic Probit Model," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 95(379), pages 725-45, September.
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Citations

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Cited by:
  1. Kai Carstensen, 2006. "Estimating the ECB Policy Reaction Function," German Economic Review, Verein für Socialpolitik, Verein für Socialpolitik, vol. 7, pages 1-34, 02.
  2. James M. O'Brien, 2000. "Estimating the value and interest rate risk of interest-bearing transactions deposits," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2000-53, Board of Governors of the Federal Reserve System (U.S.).
  3. William T. Gavin & Benjamin D. Keen & Michael R. Pakko, 2007. "Inflation risk and optimal monetary policy," Working Papers, Federal Reserve Bank of St. Louis 2006-035, Federal Reserve Bank of St. Louis.
  4. Osama D. Sweidan, 2008. "Does Policy Interest Rate Have Asymmetric Adjustment: Case Of Jordan," Applied Econometrics and International Development, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 8(2), pages 151-158.
  5. Kobayashi, Teruyoshi, 2009. "Announcements and the effectiveness of monetary policy: A view from the US prime rate," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(12), pages 2253-2266, December.
  6. Tae-Hwan Kim & Paul Mizen & Alan Thanaset, 2006. "Forecasting changes in UK interest rates," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 06/06, University of Nottingham, Granger Centre for Time Series Econometrics.
  7. Gordon H. Sellon, Jr., 2002. "The changing U.S. financial system : some implications for the monetary transmission mechanism," Economic Review, Federal Reserve Bank of Kansas City, issue Q I, pages 5-35.
  8. Jianzhou Zhu & Manfen Chen & Wanli Li, 2009. "Recent changes in the prime rate behavior," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 33(2), pages 177-192, August.
  9. Su, Chi Wei & Chang, Hsu Ling, 2010. "Asymmetric Adjustment in the Lending-Deposit Rate Spread: Evidence from Eastern European Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 165-175, July.

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