Price Leadership in the Dutch Mortgage Market
AbstractWe study competitive price setting behavior in the Dutch mortgage market, using daily observations on advertised 5- and 10-year mortgage interest rates for a sample of the four largest Dutch banks. We (1) estimate a VECM model, (2) a discrete choice model and (3) a structural conjectural variation model. The results indicate that one of the banks is a price leader, but that waiting for the leader to set the first step does not exclude competitive pricing by the followers.
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Bibliographic InfoPaper provided by Netherlands Central Bank, Research Department in its series DNB Working Papers with number 102.
Date of creation: Jun 2006
Date of revision:
Mortgage market; Competition; Price leadership; VECM; Probit; Conjectural variation.;
Find related papers by JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- L13 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Oligopoly and Other Imperfect Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-07-09 (All new papers)
- NEP-BAN-2006-07-09 (Banking)
- NEP-COM-2006-07-09 (Industrial Competition)
- NEP-FMK-2006-07-09 (Financial Markets)
- NEP-IND-2006-07-09 (Industrial Organization)
- NEP-MIC-2006-07-09 (Microeconomics)
- NEP-URE-2006-07-09 (Urban & Real Estate Economics)
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