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A ridge bootstrap method for analyzing APT effects on the mortgage loan market
2013 (English)In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 30, 844-855 p.Article in journal (Refereed) Published
Abstract [en]

Significantly positive asymmetric price transmission (APT) effects are concluded on the Swedish mortgage loan market. This finding was established based on unique banking data in combination with our newly developed econometric method which is insensitive to the banks' variations in liquidity and capital costs. It is established that there is a higher propensity for the bank to rapidly and systematically increase its fixed mortgage interest rates for customers subsequently to an increase in its borrowing costs, compared with the propensity for the bank to decrease its customers' mortgage rates subsequently to a corresponding borrowing cost decrease.

Place, publisher, year, edition, pages
2013. Vol. 30, 844-855 p.
Keyword [en]
ridge regression, shrinkage parameters, asymmetric price transmission effects, Monte Carlo simulation, block bootstrapping
National Category
Economics Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:hj:diva-22309DOI: 10.1016/j.econmod.2012.09.044OAI: oai:DiVA.org:hj-22309DiVA: diva2:652744
Available from: 2013-10-01 Created: 2013-10-01 Last updated: 2017-06-08Bibliographically approved

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Sjölander, Pär
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CiteExportLink to record
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  • apa
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