The Impact of Global Financial Crisis on Mortgage Pricing and Credit Supply

42 Pages Posted: 15 Dec 2011 Last revised: 5 Jul 2016

See all articles by Weifang (Angela) Lou

Weifang (Angela) Lou

La Trobe University; Financial Research Network (FIRN)

Xiangkang Yin

Deakin University; Financial Research Network (FIRN)

Date Written: December 14, 2011

Abstract

This paper uses high frequent product-level data to study the pricing and sales of home mortgages in Australia, focusing on the impact of the Global Financial Crisis (GFC). The study finds responses to a monetary shock vary substantially across financial institutions and big banks lead in price setting. The GFC significantly changed the pricing behavior, showing substitution between short-term interest rate adjustment and long-term error amendment throughout the GFC. The effects of the GFC on a bank’s pricing strategy and mortgage business expansion are closely related to its size, asset base and deposit sources and these effects are more prominent for big banks.

Keywords: Banking, Credit, Global Financial Crisis, Liquidity, Mortgage Pricing

JEL Classification: G21, G28, L11

Suggested Citation

Lou, Weifang (Angela) and Yin, Xiangkang, The Impact of Global Financial Crisis on Mortgage Pricing and Credit Supply (December 14, 2011). 2012 Financial Markets & Corporate Governance Conference. Available at SSRN: https://ssrn.com/abstract=1972167 or http://dx.doi.org/10.2139/ssrn.1972167

Weifang (Angela) Lou (Contact Author)

La Trobe University ( email )

Department of Finance
La Trobe University, Bundoora Campus
Melbourne, VIC 3086
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Xiangkang Yin

Deakin University ( email )

Melbourne, Victoria
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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