Interest rate pass through and asymmetries in adjustable rate mortgages
AbstractThis study extends the recent work on interest rate pass through from the federal funds rate to mortgage rates. The Enders-Siklos (2001) momentum threshold autoregressive (MTAR) model is used to test for cointegration and asymmetric adjustment in adjustable rate mortgages for newly built and previously owned homes over the federal funds targeting period 1987:2 to 2005:6. Based on the MTAR specification, the respective adjustable rate mortgages and the federal funds rate are cointegrated but with incomplete interest rate pass through. The results also indicate asymmetries in the response of the adjustable rates to changes in the federal funds rate.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 17 (2007)
Issue (Month): 17 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAFE20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Abbas Valadkhani & Sajid Anwar & Amir Arjonandi, 2012. "How to capture the full extent of price stickiness in credit card interest rates?," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia wp12-02, School of Economics, University of Wollongong, NSW, Australia.
- Abbas Valadkhani & Amir Arjomandi & Martin O'Brien, 2013. "Does the interest rate for business loans respond asymmetrically to changes in the cash rate?," Applied Economics Letters, Taylor & Francis Journals, vol. 20(9), pages 869-874, June.
- Becker, Ralf & Osborn, Denise R. & Yildirim, Dilem, 2012.
"A threshold cointegration analysis of interest rate pass-through to UK mortgage rates,"
Elsevier, vol. 29(6), pages 2504-2513.
- Ralf Becker & Denise R Osborn & Dilem Yildirim, 2010. "A threshold cointegration analysis of interest rate pass-through to UK mortgage rates," Centre for Growth and Business Cycle Research Discussion Paper Series 141, Economics, The Univeristy of Manchester.
- Dilem Yildirim, 2012. "Interest Rate Pass-Through to Turkish Lending Rates: A Threshold Cointegration Analysis," ERC Working Papers 1207, ERC - Economic Research Center, Middle East Technical University, revised Sep 2012.
- Valadkhani, Abbas, 2013. "The pricing behaviour of Australian banks and building societies in the residential mortgage market," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 26(C), pages 133-151.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.