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The efficiency of the Scandinavian banking sector - a wavelet quantile regression analysis
Jönköping University, Sweden.
Linnaeus University, School of Business and Economics, Department of Economics and Statistics. Jönköping University, Sweden. (Statistics)ORCID iD: 0000-0002-3416-5896
Jönköping University, Sweden ; Gothenburg University, Sweden.
Jönköping University, Sweden.
2015 (English)In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 47, no 50, 5378-5389 p.Article in journal (Refereed) Published
Abstract [en]

In this article, the Scandinavian housing financing market is analysed in order to determine whether the interest rate price-discovery processes of Denmark, Norway and Sweden are efficient. Based on wavelet quantile regression analysis, we find systematic positive asymmetric price transmission (APT) inefficiencies. We conclude that there is a very high propensity for mortgage lenders to directly increase its customers’ mortgage interest rates subsequently to an increase in its borrowing costs. However, after a corresponding borrowing cost decrease, the same mortgage lenders are very slow to decrease its customers’ mortgage rates. These positive coefficients for so-called APT effects are found in all Scandinavian countries, even if the coefficients for Norway were not statistically significant. Wavelet quantile regression analysis, with a focus on the relevant higher percentiles, is easily motivated since the mortgage rates are adjusted very infrequently. Moreover, wavelet decomposition allows a robust analysis at different time frequency scales, while simultaneously controlling for nonstationary trends, autocorrelation and structural breaks. Except for the still positive but yet insignificant and inconclusive coefficients for Norway, the result is very clear-cut. Regardless of which wavelet scaling decomposition or quantile coefficient that is studied – positive APT effects are clearly identified and confirmed on the Scandinavian mortgage market.

Place, publisher, year, edition, pages
Taylor & Francis, 2015. Vol. 47, no 50, 5378-5389 p.
National Category
Economics
Research subject
Economy, Economics
Identifiers
URN: urn:nbn:se:lnu:diva-42906DOI: 10.1080/00036846.2015.1047092ISI: 000359823400003OAI: oai:DiVA.org:lnu-42906DiVA: diva2:808502
Available from: 2015-04-28 Created: 2015-04-28 Last updated: 2016-12-14Bibliographically approved

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Shukur, Ghazi
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf