Payne, James; Waters, George - In: Applied Economics 40 (2008) 11, pp. 1355-1362
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...