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Cyclicality and Seasonality of Home Loan Interest Rates in Australia

Author

Listed:
  • Harry M. Karamujic

Abstract

"The paper seeks to establish whether or not Australian home loan interest rates exhibit the cyclical and seasonal variations and whether seasonality, if present, is stochastic or deterministic. To do so, the paper uses a structural time series modelling approach and product-level home loan interest rates data from one of the biggest banks in Australia, National Australia Bank (NAB). A study of the literature uncovered no empirical research conducted to prove or disprove the existence of cyclicality and seasonality in Australian home loan interest rates. The modelling results with respect to the expected cyclicality of home loan interest rates overall confirm the existence of cyclicality in home loan interest rates. With respect to home loan interest rate seasonality, although most of the variables analysed show the presence of statistically significant seasonal factors, the majority of the statistically significant seasonal factors observed cannot be attributed to any of the three considered seasonal effects.""

Suggested Citation

  • Harry M. Karamujic, 2009. "Cyclicality and Seasonality of Home Loan Interest Rates in Australia," ERES eres2009_271, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2009_271
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    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2009-271
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    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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