期刊名称：Discussion Paper Series / Economics Department, University of Swansea
出版年度：2006
卷号：1
出版社：University of Swansea
摘要：Potential asymmetries in the relationship between the U.S. mortgage rate and the Federal Funds rate
are explored. In contrast to previous studies which have failed to detect evidence of asymmetric adjustment,
the present analysis is based upon examination of the differential between the series. Using
a recently proposed GLS-based MTAR unit root test, overwhelming evidence of asymmetric behaviour
in the interest rate differential is detected. Further analysis using asymmetric error correction
models shows (i ) the Federal Funds rate to be weakly exogenous with respect to the mortgage rate,
(ii ) short-run mutual dependence to exist between the series in the form of bidirectional Granger
causality, and (iii ) the mortgage rate to exhibit asymmetrical behaviour with differing speeds of
adjustment detected in response to changes in the interest rate differential. The asymmetry detected
is in the form of adjustment occurring more rapidly when the change in the mortgage-Federal Funds
rate falls below a derived threshold. The implications of this newly detected asymmetry for monetary
policy transmission are noted.
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