IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Can implied forward mortgage rates predict future mortgage rates - recent New Zealand experience

Listed author(s):
  • Tripe, David
  • Xia, Bingru
  • Roberts, Leigh
Registered author(s):

    Retail mortgage rate data for the last 13 years in New Zealand indicates that implied forward mortgage rates have only limited power to predict later spot mortgage rates. The low correlation of the forward rates and the future spot rates may in part arise from thin futures and forward markets in interest rates in New Zealand for anything longer than short term contracts. While the pattern of mortgage yield curves has varied substantially over those 13 years, the accumulated or future value of a putative deposit of one dollar with a bank offering the same term rates as the mortgage rates shows relatively little variation over this period. In the wake of the uncertainties following the global financial crisis, the relatively stable pattern of these accumulated values probably provides the best means of prediction of New Zealand mortgage yield curves, at least in the short term. The framework used for dealing with data in this paper could be applied to yield curves based on further families of interest rates; to exchange rates; to analyses of run-off data, as in cohort and longevity analysis; and for claims payments run-off in insurance, as well as in many other contexts.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    Paper provided by Victoria University of Wellington, School of Economics and Finance in its series Working Paper Series with number 1986.

    in new window

    Date of creation: 2011
    Handle: RePEc:vuw:vuwecf:1986
    Contact details of provider: Postal:
    Alice Fong, Administrator, School of Economics and Finance, Victoria Business School, Victoria University of Wellington, PO Box 600 Wellington, New Zealand

    Phone: +64 (4) 463-5353
    Fax: +64 (4) 463-5014
    Web page:

    More information through EDIRC

    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.:

    in new window

    1. Martin D. D. Evans & Richard K. Lyons, 2005. "Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting," American Economic Review, American Economic Association, vol. 95(2), pages 405-414, May.
    2. William Poole, 2005. "Understanding the term structure of interest rates," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 589-596.
    3. Yuong Ha & Michael Reddell, 1998. "What do forward interest and exchange rates tell us?," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 61, June.
    4. Ying Liu, 2001. "Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model," Staff Working Papers 01-23, Bank of Canada.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:vuw:vuwecf:1986. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Library Technology Services)

    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 references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.