Asymmetric quantile analysis of the Swedish mortgage price discovery process

Kristofer Månsson (), Ghazi Shukur and Pär Sjölander

Applied Economics, 2013, vol. 45, issue 21, 3088-3101

Abstract: Based on Swedish banking data we discover robust and significantly positive Asymmetric Price Transmission (APT) effects over all analysed regression quantiles of our mortgage interest rates, with even larger positive APT for the higher percentiles. The analysis was enabled through unique access to a Swedish bank's (SEB) own records of their true borrowing costs. Our central contribution is that there is a higher propensity for the bank to rapidly increase its mortgage interest rates for customers following an increase in its borrowing costs, compared with the propensity for the bank to decrease its customers’ mortgage rates subsequent to a corresponding borrowing cost decrease.

Date: 2013
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DOI: 10.1080/00036846.2012.681030

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