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Asymmetric quantile analysis of the Swedish mortgage price discovery process
KTH.
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
Identifiers
URN: urn:nbn:se:kth:diva-146068DOI: 10.1080/00036846.2012.681030ISI: 000306840000009Scopus ID: 2-s2.0-84864023948OAI: oai:DiVA.org:kth-146068DiVA: diva2:723033
Note

QC 20140610

Available from: 2014-06-10 Created: 2014-06-05 Last updated: 2017-12-05Bibliographically approved

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CiteExportLink to record
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  • apa
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