Mortgage Interest Rate Dispersion in the Euro Area
Mortgage Interest Rate Dispersion in the Euro Area
复制标题
欧元区抵押贷款利率分散
DOI：
10.2139/ssrn.963151
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发表时间：
2007
期刊：
影响因子：
--
通讯作者：
Jung
中科院分区：
文献类型：
--
作者：
Christoffer Kok;Jung
尽管在过去的十年里，欧元区的经济和金融出现了显著的趋同，但各国的抵押贷款利率仍然存在差异。本笔记在欧元体系统一的小额信贷机构利率统计数据的基础上，提出了一些关于欧元区国家抵押贷款利率异质性的风格化事实。我们还试图使用Affinito和farabulini（2006）最近提出的方法，对这些跨国差异背后的原因提供一些见解。我们与Affinito和farabulini（2006）的不同之处在于，我们关注的是一个特定的银行市场：抵押贷款市场。这使我们能够更清楚地确定市场的特定结构特征在解释抵押贷款利率分散方面的作用。更具体地说，我们研究了各种抵押贷款需求和供给决定因素在多大程度上有助于解释所观察到的分散。事实证明，一些异质性可以用这些因素来解释，尤其是那些与供给侧有关的因素。然而，这种差异的很大一部分仍然无法解释，这表明，这种异质性的很大一部分也反映了具体国家的制度差异，这种差异可能是由抵押贷款市场监管和财政框架的差异造成的。为了验证这一点，我们将分析扩展到包括制度因素，并确实发现执法程序，税收补贴和贷款价值比的跨国差异影响抵押贷款利率水平。JEL分类:C23, E4, F36, G21, N24
Despite the remarkable economic and financial convergence over the last ten years in the euro area, mortgage interest rates still differ across countries. This note presents some stylised facts on the heterogeneity of mortgage interest rates across euro area countries on the basis of the Eurosystem’s harmonised MFI interest rate statistics. We also attempt to provide some insights into the reasons behind these cross-country differences using the methodology recently proposed by Affinito and Farabullini (2006). We differ from Affinito and Farabullini (2006) in that we focus on one particular banking market: the market for mortgage loans. This allows us to identify more clearly the role of specific structural features characterising that market in explaining mortgage rate dispersion. More specifically, we investigate the extent to which various mortgage loan demand and supply determinants help explaining the observed dispersion. It turns out that some of the heterogeneity can be explained by these factors, in particular those that relate to the supply side. However, a substantial part of the dispersion remains unexplained suggesting that much of the heterogeneity also reflects country-specific institutional differences that are likely to be caused by differences in the regulatory and fiscal framework of the mortgage markets. In order to test this, we extend our analysis to also include institutional factors and indeed find that crosscountry differences in enforcement procedures, tax subsidies and loan-to-value ratios influence the level of mortgage rates. JEL Classification: C23, E4, F36, G21, N24