Modelling New Zealand mortgage interest rates?
AbstractDeterminants of New Zealand mortgage interest rates are examined, including how changes in the OCR are transmitted through the wholesale cost of funds to mortgage rates. Mortgage rates are modelled as a mark-up over banks' marginal funding cost. The results suggest that banks frequently diverge from a simple marginal cost-pricing model. Marginal cost pricing of mortgages appears to hold only in the long run. Floating mortgage rates and short-term fixed rates are closest to showing a full pass-through of changes in marginal costs.
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Bibliographic InfoPaper provided by Reserve Bank of New Zealand in its series Reserve Bank of New Zealand Analytical Notes series with number AN2012/10.
Length: 14 p.
Date of creation: Nov 2012
Date of revision:
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