Models of multiple regression as an instrument of regional mortgage markets’ functioning effectiveness assessment

The article is dedicated to issues related to the formation of the Russian Federation regions economically justified classifications by housing mortgage lending (HML) systems stage of development, for the implementation of mortgage markets selective government adjustment policy. The purpose of the study is to develop the methodology of regions mortgage potential assessment based on the search of additional application solutions in the area of rapid assessment and forecasting of regional mortgage markets state. To achieve the purpose, an additional version of common methodology of Russian Federation regions systematic ranking by HML systems stage of development is represented, and its main steps are structured. Within the third step of new methodology, a multiple regression model of Factor 1 (F1) is developed, which was interpreted in authors early studies as a performance indicator of regional mortgage markets functioning effectiveness. The models development was based on the statistical processings results of 510 observations in 85 Russian Federation regions in a period from 2014 to 2019. The high accuracy of models approximation has been proved, as well as its statistical reliability. The application capabilities of the model are represented, particularly the results of period 2020-2021 forecasting for Samara region and Saint-Petersburg city. The ways of managing the rating of region through targeted distribution of available regional and federal resources received by the models predictors are outlined. The novelty of this study is contained in the results of adaptation of the new assessment methodology, which is based on the obtainment of multiple regression model for Factor 1. The methodology base of the study consists of systematic analysis methods and multivariate statistics, particularly regressive and correlation analysis methods.

When Does Monetary Policy Sway House Prices? A Meta-Analysis

Several central banks have leaned against the wind in the housing market by increasing the policy rate preemptively to prevent a bubble. Yet the empirical literature provides mixed results on the impact of short-term interest rates on house prices: the estimated semi-elasticities range from -12 to positive values. To assign a pattern to these differences, we collect 1,447 estimates from 31 individual studies that cover 45 countries and 69 years. We then relate the estimates to 39 characteristics of the financial system, business cycle, and estimation approach. Our main results are threefold. First, the mean reported estimate is exaggerated by publication bias, because insignificant results are underreported. Second, omission of important variables (liquidity and long-term rates) likewise exaggerates the effects of short-term rates on house prices. Third, the effects are stronger in countries with more developed mortgage markets and generally later in the cycle when the yield curve is flat and house prices enter an upward spiral.

Reform of key interest rates on the money market and some implications for credit markets

Ongoing reform of key interest rates on the money market is one of the most significant events on financial markets in the world. This is due to the fact that most of the LIBOR rates in different currencies will be discontinued at the end of 2021. Cessation of LIBOR after a number of scandals following emerging global financial crisis in 2008 lead to existence of more benchmark rates constructed as risk-free rates based on transactions, from SOFR in the U.S.A. to SARON in Switzerland. Intention of EU regulators is to replace EURIBOR with ESTR in the future so that ESTR becomes benchmark for EU and EFTA. The last analysis of lenders and borrowers' positions indicates that EURIBOR is satisfactory reformed based on the fact that in its determination data about transaction and expert judgment are included. According to the current prevailed thinking in the banking industry EURIBOR could be continually used. True, not necessarily on the derivatives market, but certainly on the credit and mortgage markets which are particularly related to EURIBOR in eurozone.

Refinancing, Monetary Policy, and the Credit Cycle

We assess the complicated reality of monetary policy transmission through mortgage markets by synthesizing the existing literature on the role of refinancing in policy implementation. After briefly reviewing mortgage market institutions in the USA and documenting refinance activity over time, we summarize the links between refinancing and consumption and describe the frictions impeding the refinancing channel. The review draws heavily on research emerging from the experience of the financial crisis of 2008–2009, as it highlights a combination of market, institutional, and policy-making factors that dulled the transmission mechanism. We conclude with a discussion of potential mortgage market innovations and the applicability of lessons learned to the ongoing stresses induced by the COVID-19 pandemic.