Mortgage Interest Rates, Country Risk and Maturity Matching in Colombia
In this paper, we examine the determinants of mortgage loans interest rates in Colombia during the period January 2002 - June 2006. We find that the main macroeconomic determinant is public debt interest rates. At the micro level, we find that credit risk is the main determinant. We demonstrate and analyze the tight relationship between country risk and mortgage debt interest rates. This relationship has been growing over time, as banks have increased their share of long-term liabilities in an effort to reduce the maturity mismatch that characterized their balance sheets prior to the 1998-99 financial crisis. Nevertheless, the reduction in the maturity mismatch has left mortgage rates more exposed to country risk variations.
|Date of creation:||14 Jan 2008|
|Contact details of provider:|| |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Mauricio Cardenas & Alejandro Badel, 2003.
"La crisis de financiamiento hipotecario en Colombia: Causas y consecuencias,"
Research Department Publications
4355, Inter-American Development Bank, Research Department.
- Alejandro Badel & Mauricio Cárdenas, 2003. "La crisis de financiamiento hipotecario en Colombia: causas y consecuencias," IDB Publications (Working Papers) 7642, Inter-American Development Bank.
- James McGibany & Farrokh Nourzad, 2004. "Do lower mortgage rates mean higher housing prices?," Applied Economics, Taylor & Francis Journals, vol. 36(4), pages 305-313.
- Heuson, Andrea & Passmore, Wayne & Sparks, Roger, 2001. "Credit Scoring and Mortgage Securitization: Implications for Mortgage Rates and Credit Availability," The Journal of Real Estate Finance and Economics, Springer, vol. 23(3), pages 337-363, November.
- Guillermo A. Calvo, 2002. "Globalization Hazard and Delayed Reform in Emerging Markets," ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, vol. 0(Spring 20), pages 1-31, January.
- Guillermo A. Calvo, 2008. "Crises in Emerging Markets Economies: A Global Perspective," Central Banking, Analysis, and Economic Policies Book Series,in: Kevin Cowan & Sebastián Edwards & Rodrigo O. Valdés & Norman Loayza (Series Editor) & Klaus Schmidt- (ed.), Current Account and External Financing, edition 1, volume 12, chapter 3, pages 085-115 Central Bank of Chile.
- Guillermo A. Calvo, 2005. "Crises in Emerging Market Economies: A Global Perspective," NBER Working Papers 11305, National Bureau of Economic Research, Inc.
- Guillermo Calvo, 2007. "Crises in Emerging Market Economies: A Global Perspective," Working Papers Central Bank of Chile 441, Central Bank of Chile.
- Frank E. Nothaft & James L. Freund, 2003. "The Evolution of Securitization in Multifamily Mortgage markets and Its Effect on lending Rates," Journal of Real Estate Research, American Real Estate Society, vol. 25(2), pages 91-112.
- Nothaft, Frank E. & Perry, Vanessa G., 2002. "Do mortgage rates vary by neighborhood? Implications for loan pricing and redlining," Journal of Housing Economics, Elsevier, vol. 11(3), pages 244-265, September.
- Mauricio Cárdenas & Alejandro Badel F., 2003. "La crisis de financiamiento hipotecario en Colombia: causas y consecuencias," COYUNTURA ECONÓMICA, FEDESARROLLO, September. Full references (including those not matched with items on IDEAS)