Eres : Digital Library : Works

Paper eres2009_271:
Cyclicality and Seasonality of Home Loan Interest Rates in Australia

id eres2009_271
authors Karamujic, Harry M.
year 2009
title Cyclicality and Seasonality of Home Loan Interest Rates in Australia
source 16th Annual European Real Estate Society Conference in Stockholm, Sweden
summary The paper seeks to establish whether or not Australian home loan interest rates exhibit the cyclical and seasonal variations and whether seasonality, if present, is stochastic or deterministic. To do so, the paper uses a structural time series modelling approach and product-level home loan interest rates data from one of the biggest banks in Australia, National Australia Bank (NAB). A study of the literature uncovered no empirical research conducted to prove or disprove the existence of cyclicality and seasonality in Australian home loan interest rates. The modelling results with respect to the expected cyclicality of home loan interest rates overall confirm the existence of cyclicality in home loan interest rates. With respect to home loan interest rate seasonality, although most of the variables analysed show the presence of statistically significant seasonal factors, the majority of the statistically significant seasonal factors observed cannot be attributed to any of the three considered seasonal effects."
series ERES:conference
content file.PPT (779,264 bytes)
discussion No discussions. Post discussion ...
session Housing
last changed 2009/09/16 16:22
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