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The Swedish mortgage structure - A time series analysis of the mortgage rate in eight European countries 1999-2011

Westerstad, Christine LU and Ahlberg, Ida LU (2013) NEKN01 20131
Department of Economics
Abstract
This study investigates the relationship between mortgage rates and other interest rates such as the repo rate and the long-term rate and whether this relationship has changed due to the financial crisis in 2008. This is done through time series estimation for eight European countries (Spain, Finland, France, Germany, Ireland, Italy, Sweden and United Kingdom) over the period 1999-2011 using quarterly data. The analysis focus on Sweden but provides a comparative perspective of the remaining countries. The generalized results reveals that mortgage rates tend to predominantly follow repo rate, which could indicate that the criticism of banks regarding high mortgage margins is unjustified. The most remarkable result however is that the crisis... (More)
This study investigates the relationship between mortgage rates and other interest rates such as the repo rate and the long-term rate and whether this relationship has changed due to the financial crisis in 2008. This is done through time series estimation for eight European countries (Spain, Finland, France, Germany, Ireland, Italy, Sweden and United Kingdom) over the period 1999-2011 using quarterly data. The analysis focus on Sweden but provides a comparative perspective of the remaining countries. The generalized results reveals that mortgage rates tend to predominantly follow repo rate, which could indicate that the criticism of banks regarding high mortgage margins is unjustified. The most remarkable result however is that the crisis seems not to have affect this relationship significantly, where the only structural break was found in Ireland in 2003. Latest numbers show that mortgage rates are undergoing a downward trend as a result of increased competition in the bank sector. In light of this, policy actions should be addressed to increase the competition even further by for instance the state owned bank SBAB. (Less)
Please use this url to cite or link to this publication:
author
Westerstad, Christine LU and Ahlberg, Ida LU
supervisor
organization
course
NEKN01 20131
year
type
H1 - Master's Degree (One Year)
subject
keywords
mortgage rate, monetary policy, mortgage margins, time series
language
English
id
4002710
date added to LUP
2013-09-18 14:35:25
date last changed
2013-09-18 14:35:25
@misc{4002710,
  abstract     = {This study investigates the relationship between mortgage rates and other interest rates such as the repo rate and the long-term rate and whether this relationship has changed due to the financial crisis in 2008. This is done through time series estimation for eight European countries (Spain, Finland, France, Germany, Ireland, Italy, Sweden and United Kingdom) over the period 1999-2011 using quarterly data. The analysis focus on Sweden but provides a comparative perspective of the remaining countries. The generalized results reveals that mortgage rates tend to predominantly follow repo rate, which could indicate that the criticism of banks regarding high mortgage margins is unjustified. The most remarkable result however is that the crisis seems not to have affect this relationship significantly, where the only structural break was found in Ireland in 2003. Latest numbers show that mortgage rates are undergoing a downward trend as a result of increased competition in the bank sector. In light of this, policy actions should be addressed to increase the competition even further by for instance the state owned bank SBAB.},
  author       = {Westerstad, Christine and Ahlberg, Ida},
  keyword      = {mortgage rate,monetary policy,mortgage margins,time series},
  language     = {eng},
  note         = {Student Paper},
  title        = {The Swedish mortgage structure - A time series analysis of the mortgage rate in eight European countries 1999-2011},
  year         = {2013},
}