A factor-augmented model of markup on mortgage loans in Poland
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Bystrov, Victor, 2013. "A factor-augemented model of markup on mortgage loans in Poland," MPRA Paper 49683, University Library of Munich, Germany.
References listed on IDEAS
- Bondt Gabe J. de, 2005.
"Interest Rate Pass-Through: Empirical Results for the Euro Area,"
German Economic Review, De Gruyter, vol. 6(1), pages 37-78, February.
- Gabe J. De Bondt, 2005. "Interest Rate Pass‐Through: Empirical Results for the Euro Area," German Economic Review, Verein für Socialpolitik, vol. 6(1), pages 37-78, February.
- Chmielewski, Tomasz, 2003. "Interest rate pass-through in the Polish banking sector and bank-specific financial disturbances," MPRA Paper 5133, University Library of Munich, Germany, revised 31 Jan 2004.
- Becker, Ralf & Osborn, Denise R. & Yildirim, Dilem, 2012.
"A threshold cointegration analysis of interest rate pass-through to UK mortgage rates,"
Economic Modelling, Elsevier, vol. 29(6), pages 2504-2513.
- Ralf Becker & Denise R Osborn & Dilem Yildirim, 2010. "A threshold cointegration analysis of interest rate pass-through to UK mortgage rates," Centre for Growth and Business Cycle Research Discussion Paper Series 141, Economics, The University of Manchester.
- Anna Staszewska‐Bystrova, 2011. "Bootstrap prediction bands for forecast paths from vector autoregressive models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(8), pages 721-735, December.
- Peter Winker, 1999. "Sluggish adjustment of interest rates and credit rationing: an application of unit root testing and error correction modelling," Applied Economics, Taylor & Francis Journals, vol. 31(3), pages 267-277.
- James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
- Anindya Banerjee & Victor Bystrov & Paul Mizen, 2013.
"How Do Anticipated Changes to Short‐Term Market Rates Influence Banks' Retail Interest Rates? Evidence from the Four Major Euro Area Economies,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(7), pages 1375-1414, October.
- Anindya Banerjee & Victor Bystrov & Paul Mizen, 2013. "How Do Anticipated Changes to Short-Term Market Rates Influence Banks' Retail Interest Rates? Evidence from the Four Major Euro Area Economies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(7), pages 1375-1414, October.
- Banerjee, A. & Bystrov, V. & Mizen, P., 2012. "How do anticipated changes to short-term market rates influence banks' retail interest rates? Evidence from the four major euro area economies," Working papers 361, Banque de France.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?,"
Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Staszewska, Anna, 2007.
"Representing uncertainty about response paths: The use of heuristic optimisation methods,"
Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 121-132, September.
- Anna Staszewska, 2006. "Representing Uncertainty about Response Paths: the Use of Heuristic Optimisation Methods," Computing in Economics and Finance 2006 379, Society for Computational Economics.
- Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996.
"Efficient Tests for an Autoregressive Unit Root,"
Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
- Tom Doan, "undated". "GLSDETREND: RATS procedure to perform local to unity GLS detrending," Statistical Software Components RTS00077, Boston College Department of Economics.
- Tom Doan, "undated". "ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests," Statistical Software Components RTS00066, Boston College Department of Economics.
- Timothy Cogley & Thomas J. Sargent, 2005.
"Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 262-302, April.
- Timothy Cogley & Thomas Sargent, "undated". "Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII US," Working Papers 2133503, Department of Economics, W. P. Carey School of Business, Arizona State University.
- Timothy Cogley & Thomas J. Sargent, 2003. "Drifts and volatilities: monetary policies and outcomes in the post WWII U.S," FRB Atlanta Working Paper 2003-25, Federal Reserve Bank of Atlanta.
- Kok, Christoffer & Werner, Thomas, 2006. "Bank interest rate pass-through in the euro area: a cross country comparison," Working Paper Series 580, European Central Bank.
- Gambacorta, Leonardo, 2008.
"How do banks set interest rates?,"
European Economic Review, Elsevier, vol. 52(5), pages 792-819, July.
- Leonardo Gambacorta, 2004. "How Do Banks Set Interest Rates?," NBER Working Papers 10295, National Bureau of Economic Research, Inc.
- Leonardo Gambacorta, 2005. "How Do Banks Set Interest Rates?," Temi di discussione (Economic working papers) 542, Bank of Italy, Economic Research and International Relations Area.
- Andrews, Donald W K, 1993.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
- Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
- Mario Forni & Lucrezia Reichlin, 1998.
"Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 453-473.
- Mario Forni & Lucrezia Reichlin, 1998. "Let's get real: a factor analytical approach to disaggregated business cycle dynamics," ULB Institutional Repository 2013/10147, ULB -- Universite Libre de Bruxelles.
- Jushan Bai & Serena Ng, 2006. "Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions," Econometrica, Econometric Society, vol. 74(4), pages 1133-1150, July.
- Aristei, David & Gallo, Manuela, 2014.
"Interest rate pass-through in the Euro area during the financial crisis: A multivariate regime-switching approach,"
Journal of Policy Modeling, Elsevier, vol. 36(2), pages 273-295.
- David ARISTEI & Manuela Gallo, 2012. "Interest Rate Pass-Through in the Euro Area during the Financial Crisis: a Multivariate Regime-Switching Approach," Quaderni del Dipartimento di Economia, Finanza e Statistica 107/2012, Università di Perugia, Dipartimento Economia.
- Hansen, Bruce E., 2000.
"Testing for structural change in conditional models,"
Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
- Bruce E. Hansen, 1998. "Testing for Structural Change in Conditional Models," Boston College Working Papers in Economics 310., Boston College Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap," Statistical Software Components RTZ00089, Boston College Department of Economics.
- Tom Doan, "undated". "REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values," Statistical Software Components RTS00176, Boston College Department of Economics.
- Shiller, Robert J, 1979. "The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure," Journal of Political Economy, University of Chicago Press, vol. 87(6), pages 1190-1219, December.
- Anna Sznajderska, 2012. "On the empirical evidence of asymmetry effects in the interest rate pass-through in Poland," NBP Working Papers 114, Narodowy Bank Polski.
- Andrews, Donald W K & Ploberger, Werner, 1994.
"Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative,"
Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
- Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
- Brüggemann, Ralf & Lütkepohl, Helmut, 2000.
"Lag selection in subset VAR models with an application to a US monetary system,"
SFB 373 Discussion Papers
2000,37, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Ralf Brueggemann & Helmut Leutkepohl, 2000. "Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System," Econometric Society World Congress 2000 Contributed Papers 0821, Econometric Society.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Avouyi-Dovi, S. & Horny, G. & Sevestre, P., 2017.
"The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises,"
Journal of Banking & Finance, Elsevier, vol. 79(C), pages 74-94.
- S. Avouyi-Dovi & G. Horny & P. Sevestre, 2015. "The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises," Working papers 547, Banque de France.
- S. Avouyi-Dovi & G. Horny & Patrick Sevestre, 2017. "The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises," Post-Print hal-01657075, HAL.
- Sanvi Avouyi-Dovi & Guillaume Horny & Patrick Sevestre, 2017. "The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises," Working Papers hal-01511667, HAL.
- repec:dau:papers:123456789/15030 is not listed on IDEAS
- Marotta, Giuseppe, 2009.
"Structural breaks in the lending interest rate pass-through and the euro,"
Economic Modelling, Elsevier, vol. 26(1), pages 191-205, January.
- Giuseppe Marotta, 2008. "Structural breaks in the lending interest rate pass-through and the euro," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08031, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2017.
"Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production,"
Energy Economics, Elsevier, vol. 66(C), pages 536-546.
- Wensheng Kang & Ronald A. Ratti & Joaquin L. Vespignani, 2017. "Oil Price Shocks and Policy Uncertainty: New Evidence on the Effects of US and non-US Oil Production," Globalization Institute Working Papers 295, Federal Reserve Bank of Dallas.
- Kang, Wensheng & Ratti, Ronald. A. & Vespignani, Joaquin, 2017. "Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production," Working Papers 2017-02, University of Tasmania, Tasmanian School of Business and Economics.
- Wensheng Kang & Ronald A. Ratti & Joaquin L. Vespignani, 2017. "Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production," CAMA Working Papers 2017-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Cavaliere, Giuseppe & Taylor, A.M. Robert, 2008.
"Testing for a change in persistence in the presence of non-stationary volatility,"
Journal of Econometrics, Elsevier, vol. 147(1), pages 84-98, November.
- Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing for a change in persistence in the presence of non-stationary volatility," Discussion Papers 06/04, University of Nottingham, Granger Centre for Time Series Econometrics.
- Giuseppe Marotta, 2006.
"Structural breaks in the interest rate pass-through and the euro. A cross-country study in the euro area and the UK,"
Heterogeneity and monetary policy
0612, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica.
- Giuseppe Marotta, 2006. "Structural breaks in the interest rate pass-through and the euro. A cross-country study in the euro area and the UK," Department of Economics 0549, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Andries, Natalia & Billon, Steve, 2016.
"Retail bank interest rate pass-through in the euro area: An empirical survey,"
Economic Systems, Elsevier, vol. 40(1), pages 170-194.
- Natalia Andries & Steve Billon, 2016. "Retail bank interest rate pass-through in the euro area: An empirical survey," Post-Print halshs-01354597, HAL.
- Anamaria Illes & Marco Lombardi & Paul Mizen, 2015.
"Why did bank lending rates diverge from policy rates after the financial crisis?,"
BIS Working Papers
486, Bank for International Settlements.
- Anamaria Illes & Marco Lombardi & Paul Mizen, 2015. "Why Did Bank Lending Rates Diverge from Policy Rates After the Financial Crisis?," Discussion Papers 2015/05, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
- Monika Blaszkiewicz-Schwartzman, 2007. "Explaining Exchange Rate Movements in New Member States of the European Union: Nominal and Real Convergence," Money Macro and Finance (MMF) Research Group Conference 2006 144, Money Macro and Finance Research Group.
- Bertrand Groslambert & Raphaël Chiappini & Olivier Bruno, 2015.
"Bank Output Calculation in the Case of France: What Do New Methods Tell About the Financial Intermediation Services in the Aftermath of the Crisis?,"
GREDEG Working Papers
2015-32, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
- Groslambert Bertrand & Raphaël Chiappini & Olivier Bruno, 2016. "Bank output calculation in the case of France: what do new methods tell about the financial intermediation services in the aftermath of the crisis?," Working Papers halshs-01254475, HAL.
- Kabundi, Alain & De Simone, Francisco Nadal, 2020. "Monetary policy and systemic risk-taking in the euro area banking sector," Economic Modelling, Elsevier, vol. 91(C), pages 736-758.
- Aurélien Leroy & Yannick Lucotte, 2016.
"Structural and Cyclical Determinants of Bank Interest-Rate Pass-Through in the Eurozone,"
Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 58(2), pages 196-225, June.
- Aurélien Leroy & Yannick Lucotte, 2015. "Structural and cyclical determinants of bank interest rate pass-through in Eurozone," NBP Working Papers 198, Narodowy Bank Polski.
- Cifarelli, Giulio & Paladino, Giovanna, 2016. "Time-varying mark-up and the ECB monetary policy transmission in a highly non linear framework," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 247-262.
- Rossi, Barbara, 2013.
"Advances in Forecasting under Instability,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324,
Elsevier.
- Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
- Nidhaleddine Ben Cheikh & Christophe Rault, 2016.
"Recent estimates of exchange rate pass-through to import prices in the euro area,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 152(1), pages 69-105, February.
- Nidhaleddine Ben Cheikh & Christophe Rault, 2016. "Recent estimates of exchange rate pass-through to import prices in the euro area," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 152(1), pages 69-105, February.
- Nidhaleddine Ben Cheikh & Christophe Rault, 2014. "Recent Estimates of Exchange Rate Pass-Through to Import Prices in the Euro Area," William Davidson Institute Working Papers Series wp1080, William Davidson Institute at the University of Michigan.
- Nidhaleddine Ben Cheikh & Christophe Rault, 2016. "Recent estimates of exchange rate pass-through to import prices in the euro area," Post-Print hal-03533135, HAL.
- Nidhaleddine BEN CHEIKH & Christophe RAULT, 2015. "Recent Estimates of Exchange Rate Pass-Through to Import Prices in the Euro Area," LEO Working Papers / DR LEO 2234, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Nidhaleddine Ben Cheikh & Christophe Rault, 2015. "Recent Estimates of Exchange Rate Pass-Through to Import Prices in the Euro Area," Working Papers halshs-01252130, HAL.
- Nidhaleddine Ben Cheikh & Christophe Rault, 2015. "Recent Estimates of Exchange Rate Pass-Through to Import Prices in the Euro Area," CESifo Working Paper Series 5341, CESifo.
- Jack Strauss & Mark E. Wohar, 2007. "Domestic‐Foreign Interest Rate Differentials: Near Unit Roots and Symmetric Threshold Models," Southern Economic Journal, John Wiley & Sons, vol. 73(3), pages 814-829, January.
- von Borstel, Julia & Eickmeier, Sandra & Krippner, Leo, 2016.
"The interest rate pass-through in the euro area during the sovereign debt crisis,"
Journal of International Money and Finance, Elsevier, vol. 68(C), pages 386-402.
- von Borstel, Julia & Eickmeier, Sandra & Krippner, Leo, 2015. "The interest rate pass-through in the euro area during the sovereign debt crisis," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113035, Verein für Socialpolitik / German Economic Association.
- Julia von Borstel & Sandra Eickmeier & Leo Krippner, 2015. "The interest rate pass-through in the euro area during the sovereign debt crisis," CAMA Working Papers 2015-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- von Borstel, Julia & Eickmeier, Sandra & Krippner, Leo, 2015. "The interest rate pass-through in the euro area during the sovereign debt crisis," Discussion Papers 10/2015, Deutsche Bundesbank.
- Leo Krippner & Sandra Eickmeier & Julia von Borstel, 2015. "The interest rate pass-through in the euro area during the sovereign debt crisis," Reserve Bank of New Zealand Discussion Paper Series DP2015/03, Reserve Bank of New Zealand.
- Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
- Le Pen, Yannick, 2011. "A pair-wise approach to output convergence between European regions," Economic Modelling, Elsevier, vol. 28(3), pages 955-964, May.
- Petrevski, Goran & Bogoev, Jane, 2012. "Interest rate pass-through in South East Europe: An empirical analysis," Economic Systems, Elsevier, vol. 36(4), pages 571-593.
- Havranek, Tomas & Irsova, Zuzana & Lesanovska, Jitka, 2016.
"Bank efficiency and interest rate pass-through: Evidence from Czech loan products,"
Economic Modelling, Elsevier, vol. 54(C), pages 153-169.
- Tomas Havranek & Zuzana Irsova & Jitka Lesanovska, 2015. "Bank Efficiency and Interest Rate Pass-Through: Evidence from Czech Loan Products," Working Papers 2015/09, Czech National Bank.
- Tomas Havranek & Zuzana Irsova & Jitka Lesanovska, 2015. "Bank Efficiency and Interest Rate Pass-Through: Evidence from Czech Loan Products," Working Papers IES 2015/24, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2015.
More about this item
Keywords
factor models; interest rates; pass-through; markup;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nbp:nbpbik:v:45:y:2014:i:6:p:491-512. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wojciech Burjanek (email available below). General contact details of provider: https://edirc.repec.org/data/nbpgvpl.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.