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Can implied forward mortgage rates predict future mortgage rates - recent New Zealand experience

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dc.contributor.author Tripe, David
dc.contributor.author Xia, Bingru
dc.contributor.author Roberts, Leigh
dc.date.accessioned 2011-12-16T01:37:16Z
dc.date.accessioned 2022-07-05T02:10:40Z
dc.date.available 2011-12-16T01:37:16Z
dc.date.available 2022-07-05T02:10:40Z
dc.date.copyright 2011
dc.date.issued 2011
dc.identifier.uri https://ir.wgtn.ac.nz/handle/123456789/18604
dc.description.abstract Retail mortgage rate data for the last 13 years in New Zealand indicates that implied forward mortgage rates have only limited power to predict later spot mortgage rates. The low correlation of the forward rates and the future spot rates may in part arise from thin futures and forward markets in interest rates in New Zealand for anything longer than short term contracts. While the pattern of mortgage yield curves has varied substantially over those 13 years, the accumulated or future value of a putative deposit of one dollar with a bank offering the same term rates as the mortgage rates shows relatively little variation over this period. In the wake of the uncertainties following the global financial crisis, the relatively stable pattern of these accumulated values probably provides the best means of prediction of New Zealand mortgage yield curves, at least in the short term. The framework used for dealing with data in this paper could be applied to yield curves based on further families of interest rates; to exchange rates; to analyses of run-off data, as in cohort and longevity analysis; and for claims payments run-off in insurance, as well as in many other contexts. en_NZ
dc.format pdf en_NZ
dc.language.iso en_NZ
dc.publisher Te Herenga Waka—Victoria University of Wellington en_NZ
dc.relation.ispartofseries SEF Working Paper Series en_NZ
dc.subject implied forward mortgage rates en_NZ
dc.subject New Zealand en_NZ
dc.subject spot mortgage rates en_NZ
dc.title Can implied forward mortgage rates predict future mortgage rates - recent New Zealand experience en_NZ
dc.type Text en_NZ
vuwschema.contributor.unit School of Economics and Finance en_NZ
vuwschema.subject.anzsrcfor 149999 Economics not elsewhere classified en_NZ
vuwschema.subject.marsden 149999 Economics not elsewhere classified en_NZ
vuwschema.type.vuw Working or Occasional Paper en_NZ
vuwschema.subject.anzsrcforV2 389999 Other economics not elsewhere classified en_NZ
dc.rights.rightsholder www.vuw.ac.nz/sef en_NZ

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