Bank Rate Rigidities and Asymmetric Adjustment: Evidence from Selected OECD Countries
Greek Economic Review, Vol. 22, No. 1, Autumn 2003
17 Pages Posted: 8 Sep 2003 Last revised: 22 Feb 2018
Date Written: November 2002
An error correction framework with non-linear adjustment is used to investigate the presence of asymmetries in the adjustment of deposit and lending rates and to changes in interbank rates. There is evidence of asymmetric adjustment for a number of countries, but there are no asymmetries associated with the market power explanation of interest rate rigidity.
Keywords: Interest Rates, Asymmetric Adjustment, Cointegration, Threshold Autoregressive Process
JEL Classification: C20, C22, E43
Suggested Citation: Suggested Citation