 A factor-augmented model of markup on mortgage loans in PolandBank i Kredyt, 2014, vol. 45, issue 6, 491-512 Abstract: The paper describes the results of estimation of a factor-augmented vector autoregressive model that relates the markup on mortgage loans in national currency, granted to households by monetary financial institutions, and 3-month inter-bank rate that approximates the cost of funds for financial institutions. The factors by which the model is augmented, summarize information that can be used by banks to forecast interest rates and determine risk premium. The estimation results indicate that there is a significant relation between the changes in the markup and the changes in 3-month WIBOR. This relation can be interpreted as evidence of incomplete transmission of shocks from the inter-bank rate to mortgage rates set by banks. The shocks to 3-month WIBOR are partially absorbed by changes in the markup. The relation between the markup and various groups of macroeconomic and financial indicators are studied on the basis of impulse response analysis and structural interpretation of the estimated factors. Keywords: factor models; interest rates; pass-through; markup (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpbik:v:45:y:2014:i:6:p:491-512 Access Statistics for this article More articles in Bank i Kredyt from Narodowy Bank Polski Contact information at EDIRC. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.