An Asymmetry Generator for Error-Coorection Mechanisms, With Application to Bank Mortgage-Rate Dynamics
提出一个非对称性生成器，将多种非对称调整机制纳入统一框架，并用线性统计方法检验非对称假设，应用于新西兰抵押贷款利率数据。
Empirical evidence supports asymmetries in the adjustment of prices, interest rates, and other economic variables. The asymmetry hypothesis, however, is often procedurally difficult to set up and test. This article shows that a wide variety of such mechanisms can be nested within an asymmetry generator, which represents the interactions between the disequilibrium term of an error-correction mechanism and an ancillary driver process. The asymmetry hypothesis can then be tested in a straightforward extension of linear statistical methods. The methods are applied to 10 years of monthly New Zealand mortgage-rate data.