Sticky Mortgage Rates: Some Empirical Evidence
AbstractMortgage rates have long been considered to be 'sticky' rates compared to those on other capital market instruments. Using cross-spectral analysis and a more current mortgage market time series than previously available, the author documents 1) a well-functioning bond market with few lags and tight interval couplings, 2) a secondary mortgage market that appears to be fully integrated within the medium term capital markets, and 3) a primary mortgage market that evidences declining, yet persistently positive, lags behind bond market changes. Several institutional constraints are hypothesized to account for this seemingly inconsistent behavior.
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Bibliographic InfoArticle provided by American Real Estate Society in its journal Journal of Real Estate Research.
Volume (Year): 3 (1988)
Issue (Month): 1 ()
Contact details of provider:
Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Web page: http://www.aresnet.org/
Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
Find related papers by JEL classification:
- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
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- Abbas Valadkhani & Sajid Anwar, 2012. "Interest Rate Pass-Through and the Asymmetric Relationship between the Cash Rate and the Mortgage Rate," The Economic Record, The Economic Society of Australia, vol. 88(282), pages 341-350, 09.
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03-07, Utrecht School of Economics.
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"Are Prices ‘Sticky’ Online? Market Structure Effects and Asymmetric Responses to Cost Shocks in Online Mortgage Markets,"
2004-01, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy.
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