Italian mortgage markets and their dynamics

作者：Landini Simone^*; Uberti Mariacristina; Casellina Simone

来源：Mathematics and Computers in Simulation, 2015, 108: 245-259.

DOI：10.1016/j.matcom.2014.04.005

• Mortgage market
• Price fluctuations
• Market interactions
• Adjustable and fixed rate mortgage
• Italian markets

This paper deepens previous studies on the analysis of the fixed (FRMs) and adjustable rate mortgages (ARMs) dynamics and the interconnections between FRMs and ARMs markets. In particular, an econometric analysis on the Italian mortgage markets series from 1997:q1 to 2012:q3 is set up by involving the VAR estimation technique. Very interesting results are achieved to point out how the effects of the European Central Bank control on the Euribor transmit (i) to the behavior of interest rates term structure as well as (ii) to interest rates of contracts involved in different technical forms offered in the Italian mortgage markets.

• 出版日期2015-2