Change search
ReferencesLink to record
Permanent link

Direct link
Asymmetric quantile analysis of the Swedish mortgage price discovery process
2013 (English)In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 45, no 21, 3088-3101 p.Article in journal (Refereed) Published
Abstract [en]

Based on Swedish banking data we discover robust and significantly positive Asymmetric Price Transmission (APT) effects over all analysed regression quantiles of our mortgage interest rates, with even larger positive APT for the higher percentiles. The analysis was enabled through unique access to a Swedish bank's (SEB) own records of their true borrowing costs. Our central contribution is that there is a higher propensity for the bank to rapidly increase its mortgage interest rates for customers following an increase in its borrowing costs, compared with the propensity for the bank to decrease its customers' mortgage rates subsequent to a corresponding borrowing cost decrease.

Place, publisher, year, edition, pages
2013. Vol. 45, no 21, 3088-3101 p.
Keyword [en]
asymmetric price transmission effects, least absolute deviation, quantile regression
National Category
Economics and Business
URN: urn:nbn:se:kth:diva-146068DOI: 10.1080/00036846.2012.681030ISI: 000306840000009ScopusID: 2-s2.0-84864023948OAI: diva2:723033

QC 20140610

Available from: 2014-06-10 Created: 2014-06-05 Last updated: 2014-06-10Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full textScopus
By organisation
In the same journal
Applied Economics
Economics and Business

Search outside of DiVA

GoogleGoogle Scholar
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Altmetric score

Total: 23 hits
ReferencesLink to record
Permanent link

Direct link