Comparative Analysis of Australian Residential Mortgage (Home Loan) Interest Rates

Harry M. Karamujic
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Harry M. Karamujic: University of Melbourne, Victoria 3010 Australia, Tel: +61 3 8344 3030; fax: +61 3 8344 5532, email: harryk@unimelb.edu.au

Margin: The Journal of Applied Economic Research, 2011, vol. 5, issue 3, 311-341

Abstract: The contention of this article is to ascertain whether or not the selected Australian home loan interest rates exhibit the expected cyclical and seasonal variations, and whether seasonality, if present, is stochastic or deterministic. The article uses a structural time series modelling approach and product-level home loan interest rates data from two major banks in Australia, National Australia Bank (NAB) and Commonwealth Bank of Australia (CBA).1 The modelling results overall confirm cyclicality of the selected home loan interest rates. Although most of the variables analysed also show the presence of statistically significant seasonal factors, the majority of the statistically significant seasonal factors observed cannot be attributed to any of the three considered seasonal effects.

Keywords: Cyclicality; Seasonality; Structural Time Series Modelling; Home Loan Interest Rates; Home Loan Pricing Strategies; JEL Classification: G - Financial Economics; JEL Classification: G21 - Banks; JEL Classification: Other Depository Institutions; JEL Classification: Micro Finance Institutions; JEL Classification: Mortgages (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:sae:mareco:v:5:y:2011:i:3:p:311-341

DOI: 10.1177/097380101100500302

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