The Impact of Higher Interest Rates on the Mortgage Market

This paper uses event study analysis to estimate the impact of the United States Federal Reserve Bank’s (Fed) quantitative easing (QE) announcements on the mortgage market during the zero lower bound (ZLB) period. A total of 35 QE announcements are identified and their effects are evaluated. The best-fitting integrated generalized autoregressive conditional heteroskedasticity (IGARCH) model with skewed t distribution is used to measure the QE announcement effects on daily changes of the 30-year mortgage rate, the 30-year Treasury rate and the spread between them. Announcements suggesting the start of a new round of QE reduced the mortgage rate tremendously, while the effects of further news diminished. Announcements of an increase in mortgage-backed security purchases decreased the mortgage rate more than the Treasury rate and reduced the credit risk of holding mortgage securities over Treasury securities. The delayed effects of QE announcements on the mortgage rate were less than short-run effects but persistent. We also find that the previous literature overestimates QE effects on interest rates in general.

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The Effects of Quantitative Easing Announcements on the Mortgage Market: An Event Study Approach

10.20944/preprints201811.0243.v1 ◽

2018 ◽

Author(s):

Gang Wang

Keyword(s):

Interest Rates ◽

Event Study ◽

Mortgage Market ◽

Quantitative Easing ◽

Study Approach ◽

Long Run ◽

Mortgage Rate ◽

Mortgage Securities ◽

The Impact ◽

T Distribution

This paper uses event study analysis to estimate the impact of the Fed’s Quantitative Easing (QE) announcements on the mortgage market during zero lower bound period. A total of 35 QE announcements are identified and their effects are evaluated. The best-fitting IGARCH model with skewed t distribution is used to measure the QE announcement effects on daily changes of the 30-year mortgage rate, the 30-year Treasury rate and the spread between them. Announcements suggesting the start of a new round of QE reduced the mortgage rate tremendously, while the effects of further news diminished. Announcements of an increase in mortgage-backed security purchases decreased the mortgage rate more than the Treasury rate and reduced the credit risk of holding mortgage securities over Treasury securities. The long run effects of QE announcements on the mortgage rate were less than short run effects but persistent. We also find that the previous literature overestimate QE effects on interest rates in general.

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The Impact of Higher Interest Rates on the Mortgage Market

The Journal of Structured Finance ◽

10.3905/jsf.2017.2017.1.059 ◽

2017 ◽

Author(s):

Laurie S Goodman ◽

Bing Bai

Keyword(s):

Interest Rates ◽

Mortgage Market ◽

The Impact

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DAMPAK KEBIJAKAN FISKAL TERHADAP KINERJA SEKTOR PERTANIAN DI SULAWESI TENGGARA

Jurnal Sosio Agribisnis ◽

10.33772/jsa.v1i1.1826 ◽

2017 ◽

Vol 1 (1) ◽

Author(s):

La Ode Jabuddin ◽

Ayub M Padangaran ◽

Azhar Bafadal Bafadal

Keyword(s):

Fiscal Policy ◽

Interest Rates ◽

Agricultural Sector ◽

Simultaneous Equations ◽

Poor People ◽

Land Area ◽

Factors Affecting ◽

Historical Simulation ◽

The Impact ◽

Direct Expenditure

This study aims to: (1) Knowing the dynamics of fiscal policy and the performance of the agricultural sector, (2) Analyze the factors that influence fiscal policy and the performance of the agricultural sector, and (3) Analyzing the impact of fiscal policy on the performance of the agricultural sector. The data used in this study were pooled 2005-2013 data in the aggregate. Econometric model the impact of fiscal policy on the performance of the agricultural sector is built in the form of simultaneous equations, consisting of 7 equations with 25 total variables in the model, 7 endogenous variables, 12 exogenous variables, and 6 variables lag. The model is estimated by 2SLS method SYSLIN procedures and historical simulation with SIMNLIN procedure.The results showed that: (1) The development of fiscal policy in Southeast Sulawesi from year to year tends to increase, (2) The performance of the agricultural sector from the aspect of GDP has decreased, from the aspect of labor is still consistent, in terms of investment to grow positively, and assign roles which means to decrease the number of poor people, (3) factors affecting fiscal policy is local revenues, equalization funds, other revenues, as well as the lag fiscal policy, (4) the factors that affect the performance of the agricultural sector from the aspect GDP is labor, direct expenditure and GDP lag; from the aspect of labor is the total labor force, investment, land area, direct expenditure, as well as the lag of labor; from the aspect of investment is influenced by GDP per capita, land area, interest rates and investment lag; as well as from the aspect of poor people, are affected by population, investments, direct expenditure and poverty lag, (5). Fiscal policy impact on the agricultural sector GDP increase, a decrease in the number of poor, declining agricultural laborers, and a decrease in the amount of investment in the agricultural sector.Keywords: Fiscal policy, the performance of the agricultural sector, the simultaneous equations

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FAKTOR DETERMINAN PENYALURAN KREDIT BANK PERSERO

Journal of Business Economics ◽

10.35760/eb.2018.v23i1.1812 ◽

2018 ◽

Vol 23 (1) ◽

pp. 60-71

Author(s):

Wigiyanti Masodah

Keyword(s):

Interest Rate ◽

Linear Regression ◽

Interest Rates ◽

Regression Models ◽

Linear Regression Models ◽

Negative Impacts ◽

Main Activity ◽

The Impact ◽

The Given ◽

Multiple Linear Regression Models

Offering credit is the main activity of a Bank. There are some considerations when a bank offers credit, that includes Interest Rates, Inflation, and NPL. This study aims to find out the impact of Variable Interest Rates, Inflation variables and NPL variables on credit disbursed. The object in this study is state-owned banks. The method of analysis in this study uses multiple linear regression models. The results of the study have shown that Interest Rates and NPL gave some negative impacts on the given credit. Meanwhile, Inflation variable does not have a significant effect on credit given. Keywords: Interest Rate, Inflation, NPL, offered Credit.

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Competition and Interest Rates in the Dutch Mortgage Market: An Econometric Analysis Over 2004-2010

SSRN Electronic Journal ◽

10.2139/ssrn.1860106 ◽

2011 ◽

Author(s):

Machiel Mulder ◽

Mark Lengton

Keyword(s):

Interest Rates ◽

Econometric Analysis ◽

Mortgage Market

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Mobile Money Use: The Impact of Macroeconomic Policy and Regulation

Economies ◽

10.3390/economies9020051 ◽

2021 ◽

Vol 9 (2) ◽

pp. 51

Author(s):

Lorna Katusiime

Keyword(s):

Exchange Rate ◽

Interest Rates ◽

Financial Innovation ◽

Macroeconomic Policy ◽

Mobile Money ◽

Distributed Lag ◽

Distributed Lag Model ◽

Long Run ◽

Short Run ◽

The Impact

This paper examines the effects of macroeconomic policy and regulatory environment on mobile money usage. Specifically, we develop an autoregressive distributed lag model to investigate the effect of key macroeconomic variables and mobile money tax on mobile money usage in Uganda. Using monthly data spanning the period March 2009 to September 2020, we find that in the short run, mobile money usage is positively affected by inflation while financial innovation, exchange rate, interest rates and mobile money tax negatively affect mobile money usage in Uganda. In the long run, mobile money usage is positively affected by economic activity, inflation and the COVID-19 pandemic crisis while mobile money customer balances, interest rate, exchange rate, financial innovation and mobile money tax negatively affect mobile money usage.

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Overburdened Gauls: the case of Florus and Sacrovir’s revolt of 21 CE

Journal of Ancient History ◽

10.1515/jah-2019-0029 ◽

2021 ◽

Vol 0 (0) ◽

Author(s):

Jared Kreiner

Keyword(s):

Interest Rates ◽

Large Scale ◽

Cumulative Effect ◽

Short Term ◽

Local Economies ◽

Scale Resistance ◽

Military Campaigns ◽

The Impact

Abstract In 21 CE, a series of localized movements broke out in Gallia Comata due to heavy debts among provincials according to Tacitus. Modern scholars have long argued that the indebtedness occurred because of rising interest rates, resulting from dwindling currency in circulation after decades of free-spending following Augustus’ victory at Actium, and that Gallic communities were subjected to an additional tribute to support the wars of Germanicus (14–16 CE), which continued unabated after the wars and pushed Gauls beyond their means. These claims are misguided, however, in that there is no certain evidence of a special tax to support Germanicus’ wars and that the argument for a dwindling circulation of currency in Gaul falters under closer inspection. Rather, the pressing statal and military needs imposed on communities in Gallia Comata after 9 CE on top of routine exactions could significantly increase burden levels levied on provincial populations, thus contributing to rising debts. Through examining how Roman logistics and conscription operated in this period, it is possible to trace how populations were impacted by such demands and which communities were most heavily affected by them, too. Individually, the impact of each factor is unlikely to have been burdensome enough to have caused large-scale resistance, it is only the cumulative effect that these explanations had on top of routine Roman extraction schemes that could create the conditions for this revolt. This paper argues that in extraordinary circumstances, such as the period after the Varian Disaster for Gallia Comata, the costs of supporting military campaigns places real short-term strains on local economies, which creates the conditions for revolt. The benefit of this approach is that it may explain other episodes of anti-fiscal resistance that broke out during or within a decade of wars in neighboring regions.

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