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Bank-Specific Daily Interest Rate Adjustment in the Dutch Mortgage Market

  • Leo Haan

    ()

  • Elmer Sterken

    ()

We analyze the mortgage interest rate setting behavior of the four largest banks in the Dutch mortgage market using advertised interest rates at a daily frequency from October 1997 to July 2003. We find that the pass-through of funding cost changes into mortgage interest rates on 5 and 10 year loans differs among these banks. Further, there is evidence of asymmetric price adjustment, in the sense that funding cost increases are more quickly passed on than decreases.

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File URL: http://hdl.handle.net/10.1007/s10693-010-0095-2
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Article provided by Springer in its journal Journal of Financial Services Research.

Volume (Year): 39 (2011)
Issue (Month): 3 (June)
Pages: 145-159

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Handle: RePEc:kap:jfsres:v:39:y:2011:i:3:p:145-159
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