An Asymmetry Generator for Error-Coorection Mechanisms, With Application to Bank Mortgage-Rate Dynamics
误差修正机制的非对称生成器及其在银行抵押贷款利率动态中的应用
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…