Co-Integration between Mortgage Markets in the Monetary Union: 1995–2008

This study provides evidence on the level of integration within the European Monetary Union mortgage markets between 1995 and 2008. The relationships between national mortgage markets are analyzed and an assessment is made of the extent to which these co-integrate with one another and with the avera...

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Bibliographic Details
Published in:Finance a úvěr 2010, Vol.60 (1), p.40-57
Main Authors: Sanfiz, José Manuel Maside, Penabad, Ma Celia López, Lopez-Andion, Carmen
Format: Article
Language:English
Subjects:
co-integration
Cointegration analysis
Correlation analysis
European Monetary Union
integration
mortgage market
Mortgage rates
rolling regression
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Summary:This study provides evidence on the level of integration within the European Monetary Union mortgage markets between 1995 and 2008. The relationships between national mortgage markets are analyzed and an assessment is made of the extent to which these co-integrate with one another and with the average. In order to achieve this, mortgage interest rate series are studied using co-integration methodology. The process reveals that there are few relationships of this kind, and those that exist are most prevalent in the period 2000–2005 and, to a lesser extent, at the end of the period analyzed.
ISSN:0015-1920
2464-7683