Co-Integration between Mortgage Markets in the Monetary Union: 1995–2008
AbstractThis study provides evidence on the level of integration within the European Monetary Union mortgage markets between 1995 and 2008. The relationships between national mortgage markets are analyzed and an assessment is made of the extent to which these co-integrate with one another and with the average. In order to achieve this, mortgage interest rate series are studied using co-integration methodology. The process reveals that there are few relationships of this kind, and those that exist are most prevalent in the period 2000–2005 and, to a lesser extent, at the end of the period analyzed.
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Bibliographic InfoArticle provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.
Volume (Year): 60 (2010)
Issue (Month): 1 (February)
mortgage market; European Monetary Union; integration; co-integration; rolling regression;
Find related papers by JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
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