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Interest Rate Pass Through And The Asymmetric Relationship Between The Cash Rate And The Mortgage Rate, Abbas Valadkhani, Sajid Anwar

Faculty of Commerce - Papers (Archive)

There is an ongoing controversy over whether banks’ mortgage rates rise more rapidly than they fall due to their asymmetric responses to changes in the cash rate. This paper examines the dynamic interplay between the cash rate and the standardvariable mortgage rate using monthly data in the post-1989 era. Unlike previous Australian studies, our proposed threshold and asymmetric error-correction models account for both the amount and adjustment asymmetries. We found that the Reserve Bank of Australia’s rate rises have a much larger and more instantaneous impact on the mortgage rate than rate cuts.

Mortgage Default In Southern California: Examining Distressed Borrower's Decision Making And Market Contagion, Michael Wilkerson

CGU Theses & Dissertations

This dissertation focuses on mortgage defaults in Southern California during the housing bubble of the 2000s. The rapid decline in the housing market that precipitated the current recession has been accompanied by an unprecedented number of loan defaults and foreclosures. Recent studies have identified two major theories of default--the "double trigger" hypothesis, where negative equity and an income shock are necessary conditions for default--and "strategic default" where negative equity is a sufficient condition for default. This paper adds to the default literature by adding short sale as another possible outcome of mortgage default.

The primary goal is to analyze the …