Interest rate pass through and asymmetries in adjustable rate mortgages

James Payne

Applied Financial Economics, 2007, vol. 17, issue 17, 1369-1376

Abstract: This study extends the recent work on interest rate pass through from the federal funds rate to mortgage rates. The Enders-Siklos (2001) momentum threshold autoregressive (MTAR) model is used to test for cointegration and asymmetric adjustment in adjustable rate mortgages for newly built and previously owned homes over the federal funds targeting period 1987:2 to 2005:6. Based on the MTAR specification, the respective adjustable rate mortgages and the federal funds rate are cointegrated but with incomplete interest rate pass through. The results also indicate asymmetries in the response of the adjustable rates to changes in the federal funds rate.

Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (19)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100601018872 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:17:y:2007:i:17:p:1369-1376

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100601018872

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().