BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Autor
Bystrov Victor (University of Lodz, Poland)
Tytuł
A Factor-Augmented Model of Markup on Mortgage Loans in Poland
Źródło
Bank i Kredyt, 2014, nr 6, s. 491-511, aneks, bibliogr. 27 poz.
Bank & Credit
Słowa kluczowe
Modele autoregresji, Estymacja, Kredyt hipoteczny, Stopa procentowa, Premia za ryzyko, Modele ekonometryczne
Autoregression models, Estimation, Mortgage credit, Interest rate, Risk premium, Econometric models
Uwagi
summ.
Abstrakt
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 3-month inter-bank rate that approximates 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 determine risk premium. The estimation results indicate that there is a significant relation between the changes in the markup and the changes in 3-month WIBOR. This relation can be interpreted as evidence of incomplete transmission of shocks from the inter-bank rate to mortgage rates set by banks. The shocks to 3-month WIBOR are partially absorbed by changes in the markup. The relation between the markup and various groups of macroeconomic and financial indicators are studied on the basis of impulse response analysis and structural interpretation of the estimated factors.(original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Andrews D.W. (1993), Testing for parameter instability and structural change with unknown change point, Econometrica, 61(4), 821-856.
  2. Andrews D.W., Ploberger W. (1994), Optimal tests when a nuisance parameter is presented only under the alternative, Econometrica, 62(6), 1383-1414.
  3. Aristei D., Gallo M. (2014), Interest rate pass-through in the euro area during the financial crisis: a multivariate regime-switching approach, Journal of Policy Modeling, 36(2), 273-295.
  4. Bai J., Ng S. (2006), Confidence intervals for diffusion index forecasts and inference for factor- -augmented regressions, Econometrica, 74(4), 1133-1150.
  5. Banerjee A., Bystrov V., Mizen P. (2013), How do anticipated changes to short-term market rates influence banks' retail rates? Evidence from the four major euro area economies, Journal of Money, Banking and Credit, 45(7), 1375-1414.
  6. Becker R., Osborn D.R., Yildirim D. (2012), A threshold cointegration analysis of interest rate pass- -through to UK mortgage rates, Economic Modelling, 29, 2504-2513.
  7. de Bondt G. (2005), Interest rate pass through in the euro area, German Economic Review, 6, 37-78.
  8. Brüggemann R., Lütkepohl H. (2001), Lag selection in subset VAR models with an application to a U.S. monetary system, in: R. Friedmann, L. Küppel, H. Lütkepohl (eds.), Econometric studies. A festschrift in honour of Joachim Frohn, LIT Verlag, Münster.
  9. Cogley T., Sargent T.J. (2005), Drifts and volatilities: monetary policy and outcomes in the post WWII US, Review of Economic Dynamics, 8, 262-302.
  10. Chmielewski T. (2004), Interest rate pass-through in the Polish banking sector and bank-specific financial disturbances, MPRA Paper, 5133, http://mpra.ub.uni-muenchen.de/5133/1/MPRA_paper_5133.pdf.
  11. ECB (2003), Manual on MFI Interest Rate Statistics, Regulation ECB/2001/18, European Central Bank, https://www.ecb.europa.eu/pub/pdf/other/mfiintrestratestatisticsmanualen.pdf.
  12. Elliott G., Rothenberg T.J., Stock J.H. (1996), Efficient tests for an autoregressive unit root, Econometrica, 64(4), 813-836.
  13. Forni M., Reichlin L. (1998), Let's get real: a factor analytical approach to disaggregated business cycle dynamics, Review of Economic Studies, 65(3), 453-473.
  14. Gambacorta L. (2008), How do banks set interest rates?, European Economic Review, 52, 792-819.
  15. Hansen B.E. (2000), Testing for structural change in conditional models, Journal of Econometrics, 97(1), 93-115.
  16. Kok-Sørensen C., Werner T. (2006), Bank interest rate pass through in the euro area, ECB Working Paper, 580, Frankfurt.
  17. Kot A. (2004), Is interest rates pass-through related to banking sector competitiveness?, the Third Macroeconomic Policy Research Workshop on Monetary Transmission in the New and Old Members of the EU, 29-30 October, Budapest.
  18. Kwiatkowski D., Phillips P.C.B., Schmidt P., Shin Y. (1992), Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?, Journal of Econometrics, 54, 159-178.
  19. NBP (2010), MIR User's Manual, Narodowy Bank Polski, http://www.nbp.pl/en/statystyka/oproc/mir_ new/manual_mir.pdf.
  20. Shiller R.J. (1979), The volatility of long-term interest rates and the expectations models of the term structure, Journal of Political Economy, 87(6), 1190-1219.
  21. Staszewska A. (2007), Representing uncertainty about response paths: the use of heuristic optimization methods, Computational Statistics and Data Analysis, 52(1), 121-132.
  22. Staszewska-Bystrova A. (2011), Bootstrap prediction bands for forecast paths from vector autoregressive models, Journal of Forecasting, 30(8), 721-735.
  23. Stock J.H., Watson M.W. (1998a), Diffusion indexes, NBER Working Paper, 6702, Washington.
  24. Stock J.H., Watson M.W. (1998b), Median unbiased estimation of coefficient variance in a time-varying parameter model, Journal of American Statistical Association, 93(441), 349-358.
  25. Stock J.H., Watson M.W. (2005), Implications of dynamic factor models for VAR analysis, NBER Working Paper, 11467, Washington.
  26. Sznajderska A. (2012), On the empirical evidence of asymmetry effects in the interest rate pass-through in Poland, NBP Working Paper, 114, Narodowy Bank Polski, Warsaw.
  27. Winker P. (1999), Sluggish adjustment of interest rates and credit rationing: an application of unit root testing and error correction modelling, Applied Economics, 31(3), 267-277.
Cytowane przez
Pokaż
ISSN
0137-5520
Język
eng
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu