Asymmetric responses of house prices to changes in the mortgage interest rate: evidence from the Australian capital cities

AbstractHousing price in New Zealand has appreciated substantially after the Global Financial Crisis, resulting in an affordability problem for first home buyers. This paper studies whether changes in immigration activity and mortgage interest rate influence housing price. Empirical findings derived using VECM confirm the impact of immigration and mortgage interest rate on housing property price. Both variables explain 11.4 percent of the variation of Housing Index. An increase of 1 percent in mortgage interest rate would reduce the housing index movement by 1.44 percent whilst a 1 percent increase in immigrants would increase the housing index by 0.30 percent. In addition, about 2 percent of the short-run deviations of housing prices are adjusted towards the long-run equilibrium each month.

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Conventional Mortgage Interest Rate and The Effective Federal Funds Rate Pass-Through

Journal of Business Strategies ◽

10.54155/jbs.34.1.57-74 ◽

1970 ◽

Vol 34 (1) ◽

pp. 57-74

Author(s):

M.H. Tuttle ◽

Natalie Hegwood

Keyword(s):

Interest Rate ◽

Federal Funds ◽

Federal Funds Rate ◽

Mortgage Interest ◽

Long Run ◽

Rate Adjustment ◽

Mortgage Interest Rate ◽

Short Run ◽

One To One ◽

Pass Through

This paper examines the response of the conventional thirty-year mortgageinterest rate to changes in the effective federal funds rate. The results indicatecomplete pass-through; in the long run, the conventional mortgage interest rateresponds in a one-to-one manner with the effective federal funds rate. Further,results suggest the conventional mortgage interest rate responds symmetrically tochanges in the effective federal funds rate in the long run. In the short run, large,frequent increases in the effective federal funds rate create larger increases in themortgage interest rate relative to periods where the federal funds rate is rising slowlyor falling. Our results suggest a long-run mortgage interest rate adjustment half-lifeof approximately twenty months in response to an effective federal funds ratechange.

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Policy-Driven Boom and Bust in the Housing Market: Evidence from Mongolia

Asian Development Review ◽

10.1142/s0116110521500050 ◽

2021 ◽

Vol 38 (02) ◽

pp. 279-317

Author(s):

GAN-OCHIR DOOJAV ◽

DAVAASUKH DAMDINJAV

Keyword(s):

Interest Rate ◽

Housing Market ◽

Income Elasticity ◽

Housing Price ◽

Mortgage Market ◽

Mortgage Loans ◽

Mortgage Interest ◽

Housing Boom ◽

Mortgage Interest Rate ◽

Housing Price Dynamics

This paper examines the effects of a mortgage interest rate subsidy on booms and busts in the housing market by analyzing the Housing Mortgage program in Mongolia. We find that the most recent housing boom in Mongolia occurred from the second quarter (Q2) of 2012 to first quarter (Q1) of 2014, and that the subsequent housing bust lasted 4 years. Both house-specific factors and macroeconomic variables had a significant influence on housing price dynamics. Mortgage interest rate semielasticity and real household income elasticity were estimated as −3 and 1.4, respectively. Dynamic analysis of the estimated vector error correction models suggests that the country’s policy intervention in the mortgage market—introducing an interest rate subsidy on mortgage loans for residential properties of up to 80 square meters—drove the recent housing boom in Mongolia.

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