Thresholds for Prime Rate Changes and Tests for Symmetry (ICPSR 1231)
Version Date: Dec 6, 2000 View help for published
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Michael J. Dueker, Federal Reserve Bank of St. Louis
https://doi.org/10.3886/ICPSR01231.v1
Version V1
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The popular assertion -- that banks raise loan rates more readily than they lower them in opposite circumstances -- returns to the forefront during every period of declining market interest rates. Perhaps this assertion captures attention because since the 1980s, the ubiquity of credit card balances means that consumer loan rates affect more people than ever. In this article, the author presents specific tests for asymmetric behavior in bank loan rates. The results suggest that the bank prime lending rate, in particular, is slower to decrease than increase. The findings also suggest that one has to put the asymmetry in perspective. The prime rate does not remain far above where it would be in the absence of asymmetry. In addition, the asymmetry probably is the market's response to the rise in default and late payment probabilities that occurs during cyclical downturns in the economy.
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(1) The file submitted, 0009md.zip, contains the program and data files. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigators if further information is desired.
Original Release Date View help for Original Release Date
2000-12-06
Version History View help for Version History
- Dueker, Michael J. Thresholds for Prime Rate Changes and Tests for Symmetry. ICPSR01231-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2000-12-06. http://doi.org/10.3886/ICPSR01231.v1
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These data are flagged as replication datasets and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.
The public-use data files in this collection are available for access by the general public. Access does not require affiliation with an ICPSR member institution.