The response of the conventional mortgage rate to the federal funds rate: symmetric or asymmetric adjustment?
作者： James E. Payne
DOI: 10.1080/17446540600647037
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摘要: The momentum threshold autoregressive (MTAR) model of Enders and Siklos (2001) is utilized to examine the response 30-year conventional mortgage rate changes in federal funds USA over period 1971:4 2005:10. results indicate incomplete interest pass-through; however, long-run adjustment process appears be symmetric rather than asymmetric.
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