The Impact of Global Financial Crisis on Mortgage Pricing and Credit Supply
42 Pages Posted: 15 Dec 2011 Last revised: 5 Jul 2016
Date Written: December 14, 2011
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: Suggested Citation