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Working Paper
When does the prime rate change?
Journal Article
The prime rate and the cost of funds: is the prime too high?
Working Paper
Asymmetry in the prime rate and firms' preference for internal finance
This article tests for asymmetry in thebehavior of bank lending rates by testing the hypothesis that the prime rate responds more fully and quickly to increase than decreases in market interest rates. The econometric methodology used is better suited to the discreteness and rigidity of the prime rate than that of previous studies. Our results suggest that banks adjust the prime rate asymmetrically in response to change in the discount rate, the commercial paper rate, and the spread between the prime and commercial paper rates. Asymmetry in bank lending rates is implied by several explanations ...
Journal Article
The changing role of the prime rate
Journal Article
Is the prime rate too high?
Journal Article
The persistence of the prime rate
Journal Article
Costs, competition and the prime
Journal Article
Commercial paper, commercial banks
Journal Article
Are prime rate changes asymmetric?
Working Paper
Conditional heteroskedasticity in qualitative response models of time series: a Gibbs sampling approach to the bank prime rate
Previous time series applications of qualitative response models have ignored features of the data, such as conditional heteroskedasticity, that are routinely addressed in time-series econometrics of financial data. This article addresses this issue by adding Markov-switching heteroskedasticity to a dynamic ordered probit model of discrete changes in the bank prime lending rate and estimation via the Gibbs sampler. The dynamic ordered probit model of Eichengreen, Watson and Grossman (1995) allows for serial autocorrelation in probit analysis of a time series, and the present article ...