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

Pär Sjölander

Economic Modelling, 2013, vol. 30, issue C, 844-855

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.

Keywords: Ridge regression; Shrinkage parameters; Asymmetric price transmission effects; Monte Carlo simulation; Block bootstrapping (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:30:y:2013:i:c:p:844-855

DOI: 10.1016/j.econmod.2012.09.044

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