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Interest Rate Pass-Through and the Asymmetric Relationship between the Cash Rate and the Mortgage Rate

  • ABBAS VALADKHANI
  • SAJID ANWAR

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File URL: http://hdl.handle.net/10.1111/j.1475-4932.2012.00823.x
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Article provided by The Economic Society of Australia in its journal The Economic Record.

Volume (Year): 88 (2012)
Issue (Month): 282 (09)
Pages: 341-350

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Handle: RePEc:bla:ecorec:v:88:y:2012:i:282:p:341-350
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  16. Lim, G C, 2001. "Bank Interest Rate Adjustments: Are They Asymmetric?," The Economic Record, The Economic Society of Australia, vol. 77(237), pages 135-47, June.
  17. Maudos, Joaquin & Fernandez de Guevara, Juan, 2004. "Factors explaining the interest margin in the banking sectors of the European Union," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2259-2281, September.
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  21. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
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  24. Bettendorf, Leon & Geest, Stephanie van der & Kuper, Gerard, 2005. "Do daily retail gasoline prices adjust asymmetrically?," CCSO Working Papers 200503, University of Groningen, CCSO Centre for Economic Research.
  25. Sam Peltzman, 2000. "Prices Rise Faster than They Fall," Journal of Political Economy, University of Chicago Press, vol. 108(3), pages 466-502, June.
  26. Leo de Haan & Elmer Sterken, 2005. "Asymmetric Price Adjustment in the Dutch Mortgage Market," DNB Working Papers 061, Netherlands Central Bank, Research Department.
  27. Liu, Ming-Hua & Margaritis, Dimitris & Tourani-Rad, Alireza, 2011. "Asymmetric information and price competition in small business lending," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2189-2196, September.
  28. Jason Allen & Darcey McVanel, 2009. "Price Movements in the Canadian Residential Mortgage Market," Working Papers 09-13, Bank of Canada.
  29. Allen, Marcus T & Rutherford, Ronald C & Wiley, Marilyn K, 1999. "The Relationships between Mortgage Rates and Capital-Market Rates under Alternative Market Conditions," The Journal of Real Estate Finance and Economics, Springer, vol. 19(3), pages 211-21, November.
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  31. James Payne & George Waters, 2008. "Interest rate pass through and asymmetric adjustment: evidence from the federal funds rate operating target period," Applied Economics, Taylor & Francis Journals, vol. 40(11), pages 1355-1362.
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  34. James Payne, 2007. "Interest rate pass through and asymmetries in adjustable rate mortgages," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1369-1376.
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