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Has the financial crisis led to a change in the transmission of monetary policy?: - A study on the interest rate pass-through to mortgage lending rates and the impact of the financial crisis
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2018 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

Central banks use monetary policy to steer the interest rates in the economy which ultimately affects firms and households. The speed and to which degree monetary policy is passed through to retail rates are important determinants the effectiveness of policy. These depend on several factors such as macroeconomic conditions and factors related to the financial system. This study aims to investigate the interest rate pass-through to mortgage rates and whether the impact of the recent financial crisis has affected this process. To investigate these aspects this study employs an ADL/ECM-framework to study the adjustment of mortgage rates to monetary policy using monthly data from 2001 to 2017. The result shows mortgage rates adjust sluggish but tend to adjust fully or close to in the long run. Findings further suggest the financial crisis might have led to a slower pass-through to the 3-month mortgage rate but not to the 1- and 2-year mortgage rates. No conclusive evidence of a change in the long-run pass-through is found in this study. 

Place, publisher, year, edition, pages
2018.
Keywords [en]
Monetary policy, interest rate pass-through, mortgage rates, transmission mechanism.
National Category
Economics
Identifiers
URN: urn:nbn:se:uu:diva-343462OAI: oai:DiVA.org:uu-343462DiVA, id: diva2:1186179
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Available from: 2018-06-27 Created: 2018-02-27 Last updated: 2018-06-27Bibliographically approved

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