The response of the conventional mortgage rate to the federal funds rate: symmetric or asymmetric adjustment?

James E. Payne

38 citations0/0 files storedApplied Financial Economics Letters

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Monetary Policy and Economic Impact Banking stability, regulation, efficiency Housing Market and Economics

Abstract

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

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References

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