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A ridge bootstrap method for analyzing APT effects on the mortgage loan market

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  • Sjölander, Pär

Abstract

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.

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  • Sjölander, Pär, 2013. "A ridge bootstrap method for analyzing APT effects on the mortgage loan market," Economic Modelling, Elsevier, vol. 30(C), pages 844-855.
  • Handle: RePEc:eee:ecmode:v:30:y:2013:i:c:p:844-855
    DOI: 10.1016/j.econmod.2012.09.044
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    More about this item

    Keywords

    Ridge regression; Shrinkage parameters; Asymmetric price transmission effects; Monte Carlo simulation; Block bootstrapping;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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