I was at a colloquium with the Bank of Canada and the presenter was showing some impulse response functions (IRFs) of rate change effects. Intuitively people tend to borrow more when rates decrease but can't exactly change their behavior when central banks increase rates. That's exactly what was shown in these IRFs.
I'm attempting to in part replicate what they were doing. How do I model asymmetric effects? Is this a Bayesian time series effect(currently learning)? What sort of models do I need to use? I haven't the faintest clue where to start with this, any direction on this would be helpful!!!