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LIBOR and interest rate spread: sensitivities of the Australian housing market
Pacific Rim Property Research Journal Pub Date : 2019-01-02 , DOI: 10.1080/14445921.2019.1610594
Martin Hinch 1 , Michael McCord 1 , Stanley McGreal 1
Affiliation  

ABSTRACT This paper analyses the margin between the Cash Rate Target and LIBOR, and its relationship with house price variation in Australia. The research spans 24 years utilising monthly data to analyse the relationship between Australian house price and LIBOR/CRT spreads. Data are drawn from several sources before the time series is sub-divided into splines forming different stages of the housing market cycle. Models are developed based upon differencing the data and employing ADF tests for stationarity and examination via an Autoregressive Distributed Lag approach and Error Correction Model based data series. Results show there are various macroeconomic, financial and lending short-run dynamics which impact on house prices. Cointegration is also evident, which shows the LIBOR rate to comprise both a shot-run and long-run relationship with house prices. The margin between the CRT and LIBOR is less significant and is only observed in the short-run. The various approaches clearly exhibit the dynamism inherent between the wider macroeconomic and financial environment, which serves to highlight that different drivers affect the housing market at differing magnitudes and at different times. Nonetheless, both the short-run and long-run findings show GDP and LIBOR to be proponents for understanding the sensitivity of house prices in Australia.

中文翻译:

LIBOR和利率差:澳大利亚住房市场的敏感性

摘要本文分析了“现金利率目标”和“伦敦银行同业拆借利率”之间的差额,以及其与澳大利亚房价变动的关系。该研究跨越24年,利用月度数据来分析澳大利亚房价与LIBOR / CRT价差之间的关系。在将时间序列细分为形成住房市场周期不同阶段的样条之前,需要从多个来源获取数据。基于数据差异并通过自动回归分布式滞后方法和基于纠错模型的数据序列,使用ADF测试进行平稳性和检查,从而开发模型。结果表明,各种宏观经济,金融和贷款的短期动态都会影响房价。协整也很明显,这表明伦敦银行同业拆借利率包括与房价的长期和长期关系。CRT和LIBOR之间的边际不太重要,仅在短期内可以观察到。各种方法清楚地展示了更广泛的宏观经济和金融环境之间固有的活力,这突显出不同的驱动因素在不同的幅度和时间影响房地产市场。尽管如此,短期和长期调查结果都表明GDP和LIBOR是理解澳大利亚房价敏感性的支持者。这凸显出不同的驱动因素在不同的规模和时间影响房地产市场。尽管如此,短期和长期调查结果都表明GDP和LIBOR是理解澳大利亚房价敏感性的支持者。这凸显出不同的驱动因素在不同的规模和时间影响房地产市场。尽管如此,短期和长期调查结果都表明GDP和LIBOR是理解澳大利亚房价敏感性的支持者。
更新日期:2019-01-02
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