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Mortgage Interest Rates, Country Risk and Maturity Matching in Colombia

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  • Arturo José Galindo

    ()

  • Marc Hofstetter

    ()

Abstract

In this paper, we examine the determinants of mortgage loans interest rates in Colombia during the period January 2002 - June 2006. We find that the main macroeconomic determinant is public debt interest rates. At the micro level, we find that credit risk is the main determinant. We demonstrate and analyze the tight relationship between country risk and mortgage debt interest rates. This relationship has been growing over time, as banks have increased their share of long-term liabilities in an effort to reduce the maturity mismatch that characterized their balance sheets prior to the 1998-99 financial crisis. Nevertheless, the reduction in the maturity mismatch has left mortgage rates more exposed to country risk variations.

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File URL: http://economia.uniandes.edu.co/publicaciones/dcede2008-02.pdf
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Bibliographic Info

Paper provided by UNIVERSIDAD DE LOS ANDES-CEDE in its series DOCUMENTOS CEDE with number 004544.

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Length: 32
Date of creation: 14 Jan 2008
Date of revision:
Handle: RePEc:col:000089:004544

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Cited by:
  1. Hernando Vargas & Andrés Gonzalez & Ignacio Lozano, 2012. "Macroeconomic effects of structural fiscal policy changes in Colombia," BIS Papers chapters, in: Bank for International Settlements (ed.), Fiscal policy, public debt and monetary policy in emerging market economies, volume 67, pages 119-160 Bank for International Settlements.
  2. Franz Hamann & Hernando Vargas & Andrés Gónzalez, 2010. "Efectos de la política monetaria sobre las tasas de interés de los créditos hipotecarios en Colombia," REVISTA DESARROLLO Y SOCIEDAD, UNIVERSIDAD DE LOS ANDES-CEDE.

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