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A factor-augemented model of markup on mortgage loans in Poland

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Listed author(s):
  • Bystrov, Victor

Abstract

The paper describes the results of estimation of a factor-augmented vector autoregressive model that relates the markup on mortgage loans in national currency, granted to households by monetary financial institutions, and 1-month inter-bank rate that represents the cost of funds for financial institutions. The factors by which the model is augmented, summarize information that can be used by banks to forecast interest rates and evaluate macroeconomic risks. The estimation results indicate that there is a significant relation between the markup and the changes in 1-month WIBOR. This relation can be interpreted as evidence of incomplete transmission of the monetary policy shocks to mortgage rates set by monetary financial institutions. The policy shocks are partially absorbed by changes in the markup.

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File URL: https://mpra.ub.uni-muenchen.de/49683/1/MPRA_paper_49683.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 49683.

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Date of creation: 09 Sep 2013
Handle: RePEc:pra:mprapa:49683
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Keywords: factor models; interest rates; pass-through; markup;

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Find related papers by 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

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