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Co-Integration between Mortgage Markets in the Monetary Union: 1995–2008

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Abstract

This study provides evidence on the level of integration within the European Monetary Union mortgage markets between 1995 and 2008. The relationships between national mortgage markets are analyzed and an assessment is made of the extent to which these co-integrate with one another and with the average. In order to achieve this, mortgage interest rate series are studied using co-integration methodology. The process reveals that there are few relationships of this kind, and those that exist are most prevalent in the period 2000–2005 and, to a lesser extent, at the end of the period analyzed.

Suggested Citation

  • Carmen López Andión & José Manuel Maside Sanfiz & Ma Celia López Penabad, 2010. "Co-Integration between Mortgage Markets in the Monetary Union: 1995–2008," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(1), pages 40-57, February.
  • Handle: RePEc:fau:fauart:v:60:y:2010:i:1:p:40-57
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    More about this item

    Keywords

    mortgage market; European Monetary Union; integration; co-integration; rolling regression;

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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