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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- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
- Michiel van Leuvensteijn & Wolter Hassink, 2003.
"Price-setting and price dispersion in the Dutch mortgage market,"
CPB Discussion Paper
21, CPB Netherlands Bureau for Economic Policy Analysis.
- Wolter H.J. Hassink & Michiel van Leuvensteijn, 2003. "Price-setting and Price Dispersion in the Dutch Mortgage Market," Working Papers 03-07, Utrecht School of Economics.
- Maria Arbatskaya & Michael R. Baye, 2004.
"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.
- Arbatskaya, Maria & Baye, Michael R., 2004. "Are prices 'sticky' online? Market structure effects and asymmetric responses to cost shocks in online mortgage markets," International Journal of Industrial Organization, Elsevier, vol. 22(10), pages 1443-1462, December.
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