The objective of this article is to investigate the existence of any asymmetric
effects in the US consumer credit. In doing so, we utilize the asymmetric cointegration
methods proposed by Breitung (2001, 2002) and Enders and Siklos
(2001). Existing studies on credit demand asymmetries are scant and we aim
to partly fill this gap by investigating the existence of asymmetric effects on
credit demand. Furthermore, we tend to explore two additional dimensions in
this literature. First, whether the asymmetries (if any) are persistent over time
in the credit demand model. Second, whether the Great recession contributed
to any asymmetric impacts on the credit demand. The testing of non-linear
relationships has gained an increasing attention in the time series literature
and it is generally believed that some economic variables may be highly nonlinear;
see Fan et al. (2004) and Paradiso et al. (2014). Generally speaking,
the sources of non-linearity may be due to market frictions, heterogeneous