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Modelling New Zealand mortgage interest rates?

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Determinants of New Zealand mortgage interest rates are examined, including how changes in the OCR are transmitted through the wholesale cost of funds to mortgage rates. Mortgage rates are modelled as a mark-up over banks' marginal funding cost. The results suggest that banks frequently diverge from a simple marginal cost-pricing model. Marginal cost pricing of mortgages appears to hold only in the long run. Floating mortgage rates and short-term fixed rates are closest to showing a full pass-through of changes in marginal costs.

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  • Enzo Cassino, 2012. "Modelling New Zealand mortgage interest rates?," Reserve Bank of New Zealand Analytical Notes series AN2012/10, Reserve Bank of New Zealand.
    • Handle: RePEc:nzb:nzbans:2012/10
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    File URL: http://www.rbnz.govt.nz/-/media/ReserveBank/Files/Publications/Analytical%20notes/2012/an2012-10.pdf
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    1. Funke, Michael & Kirkby, Robert & Mihaylovski, Petar, 2018. "House prices and macroprudential policy in an estimated DSGE model of New Zealand," Journal of Macroeconomics, Elsevier, vol. 56(C), pages 152-171.
    2. Funke, Michael & Kirkby, Robert & Mihaylovski, Petar, 2018. "House prices and macroprudential policy in an estimated DSGE model of New Zealand," Journal of Macroeconomics, Elsevier, vol. 56(C), pages 152-171.
    3. Bevan Cook & Daan Steenkamp, 2018. "Funding cost pass-through to mortgage rates," Reserve Bank of New Zealand Analytical Notes series AN2018/02, Reserve Bank of New Zealand.

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