The impact of securitisation and structural changes of the Australian mortgage markets on bank pricing behaviour

Benjamin Liu and Michael Skully

International Journal of Banking, Accounting and Finance, 2008, vol. 1, issue 2, 149-167

Abstract: This paper investigates the impact of securitisation and structural changes of the Australian mortgage market on bank pricing behaviour. Since the mid-1990s, securitisation has dramatically increased and, thus, intensified competition between banks and mortgage corporations (new entrants). To respond to the competition, banks largely reduced their mortgage interest rates. However, there is no study on what caused their price reductions. We present a simple model to explain the potential factors that may affect bank behaviour. This is the first examination of the issue from both the perspectives of cost effects and market structural changes by testing four major bank data. It finds that lender yield spreads are significantly related to bank market share, existing and new loan concentration indexes and securitisation, respectively. The findings further indicate that declined concentration and increased competition have significantly caused lender spread changes. The findings are consistent with both the securitisation literature (e.g., Gorton and Pennacchi, 1995; Kolari et al., 1998; Ambrose et al., 2004) and price concentration studies (e.g., Berger and Hannan, 1989).

Keywords: securitisation; competition; market structure; bank pricing behaviour; Australia; mortgage markets; mortgage interest rates; price reductions. (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.inderscience.com/link.php?id=20646 (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:ids:injbaf:v:1:y:2008:i:2:p:149-167

Access Statistics for this article

More articles in International Journal of Banking, Accounting and Finance from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().