This study examines the long-run interest rate pass through of the federal funds rate to the prime rate and whether there is asymmetric adjustment in the prime rate using the Enders-Siklos (2001) momentum threshold autoregressive model over the period February 1987 to October 2005. Once...

This paper uses the momentum threshold autoregressive (MTAR) model and the residuals-augmented Dickey–Fuller (RADF) test to examine the possibility of Evans’ (1991) periodically collapsing bubbles in the equity REIT market. The results are mixed. The MTAR model indicates that overall real...

One proxy of price rationing of credit is an aggregation of information on interest rates, while loan officer survey data measures quantity rationing of credit, meaning some borrowers are denied loans. The latter Granger causes real GDP but the former does not. The loan officer survey is a...