A Factor-Augmented Model of Markup on Mortgage Loans in Poland | Zendy

Victor Bystrov | Zendy

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A Factor-Augmented Model of Markup on Mortgage Loans in Poland

Author(s) -

Victor Bystrov

Publication year - 2013

Publication title -

ssrn electronic journal

Language(s) - English

Resource type - Journals

ISSN - 1556-5068

DOI - 10.2139/ssrn.2329348

Subject(s) - markup language , factor (programming language) , secondary mortgage market , business , mortgage underwriting , shared appreciation mortgage , financial system , computer science , mortgage insurance , actuarial science , world wide web , xml , programming language , casualty insurance , insurance policy

The paper describes the results of estimation of a factor-augmented vector autoregressive model that relates the markup on mortgage loans in national currency, granted to households by monetary financial institutions, and 1-month inter-bank rate that represents the cost of funds for financial institutions. The factors by which the model is augmented, summarize information that can be used by banks to forecast interest rates and evaluate macroeconomic risks. The estimation results indicate that there is a significant relation between the markup and the changes in 1-month WIBOR. This relation can be interpreted as evidence of incomplete transmission of the monetary policy shocks to mortgage rates set by monetary financial institutions. The policy shocks are partially absorbed by changes in the markup.

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