Análisis de la integración de los mercados hipotecários mediante técnicas de paneles de datos

  1. López Penabad, Celia
  2. López Andión, María del Carmen
  3. Maside Sanfiz, José Manuel
  4. Iglesias Casal, Ana
Revista:
Revista de economía mundial

ISSN: 1576-0162

Ano de publicación: 2012

Número: 32

Páxinas: 189-213

Tipo: Artigo

DIALNET GOOGLE SCHOLAR lock_openArias Montano editor

Outras publicacións en: Revista de economía mundial

Resumo

En este trabajo se estudia el nivel de integración de los mercados hipotecarios de los estados miembros de la Unión Monetaria entre los años 2003 y 2010, mediante un análisis de cointegración con datos de panel de las series de tipos hipotecarios de cada país en comparación con su media. Se observa que son escasas las relaciones de cointegración, por tanto, en general, no encontramos un nivel de integración significativo en el mercado hipotecario de los países de la Unión Monetaria.

Referencias bibliográficas

  • Aalbers, M. B. (2009): "The Globalization and Europeanization of Mortgage Markets", International Journal of Urban and Regional Research, 33(2), 389-410.
  • Affinito, M., Farabullini, F. (2009): "Does de Law of One Price Hold in Euro-Area Retail Banking? An Empirical Analysis of Interest Rate Differentials across the Monetary Union", International Journal of Central Banking, marzo, 5-37.
  • Badillo Amador, R., Reverte Maya, C. y Rubio Vera, E. (2010): "Contrastación empírica del Efecto Fisher en la Unión Europea mediante técnicas de cointegración con datos de panel", Cuadernos de Economía y Dirección de la Empresa, no 44, septiembre, 101-120.
  • Baele, L., Ferrando, A., Hördahl, P., Krylova, E., Monnet, C. (2004): "Measuring Financial Integration in the Euro Area", Occasional Paper Series, 14, European Central Bank.
  • Bai, J. y Ng, S. (2002): "Determining the Number of Factors in Approximate Factor Models", Econometrica, 70, 191-221.
  • Bai, J. y Ng, S. (2004): "A PANIC Attack on Unit Roots and Cointegration", Econometrica, 72, 1127-77.
  • Banerjee, A., Marcellino, M. y Osbat, C. (2004): "Some Cautions on the Use of Panel Methods for Integrated Series of Macro-economic Data", Econometrics Journal, 72, 322-340.
  • Banerjee, A., Marcellino, M. y Osbat, C. (2005): "Testing for PPP: Should We Use Panel Methods?", Empirical Economics, 30, 77-91.
  • Bondt, G. de (2002): "Retail Bank Interest Pass-Trough: New Evidence at the Euro Area Level", ECB Working Paper, 136, Frankfurt.
  • Cabral, I., Dierick, F., Vesala, J. (2002): "Banking Integration in the Euro Area", Occasional Paper Series, 6, European Central Bank.
  • Cecchini, P., Catinat, M., Jacquemin, A. (1988): The European Challenge: 1992. Aldershot: Wildwood House.
  • Centeno, M., Mello, A.S. (1999): "How Integrated are the Money Market and the Bank Loans Market within the European Union?", Journal of International Money and Finance, 18, 75-106.
  • Choi, I. (2001): "Unit Root Test for Panel Data", Journal of International Money and Finance, 20, 249-272.
  • Commission of the European Communities (2005): Green Paper. Mortgage Credit in the EU, COM (2005) 327, http://europa.eu.int.
  • Commission of the European Communities (2007): White Paper on the Integration of EU Mortgage Credit Markets, COM (2007) 807, http:// europa.eu.int.
  • Dickey, D.A. y Fuller, W.A. (1979): "Distribution of the Estimators for Autoregressive Time Series with a Unit Root", Journal of the American Statistical Association, 74, 427-431.
  • Engle, R.F., Granger, C.W.J. (1987): "Cointegration and Error Correction: Representation, Estimation and Testing", Econometrica, 55, 251-276.
  • European Central Bank (2004): Retail Interest Rate Statistics, Available at http://www.ecb.inst.
  • European Central Bank (2008): Measuring Financial Integration in New UE Member States, Occasional Paper Series, 81. http://www.ecb.europa.eu.
  • European Central Bank (2010): Interbank Market Integration, Loan Rates, and Firm Leverage, Working Paper Series, 1252. http://www.ecb.europa.eu.
  • European Commission (1999): Financial Services Action Plan, 1999. Action Plan, Financial Services Policy Group, Forum Groups of Markets Experts, Documents related to the Financial Services Action Plan. European Com. http://europa.eu.int.
  • European Commission (2005): Green Paper on Financial Services Policy (2005-2010). http://europa.eu.int.
  • European Commission (2006): Report of the Mortgage Funding Expert Group. http://europa.eu.int.
  • European Mortgage Federation (1996): Mortgage Credit in the Single Market. Bruselas.
  • European Mortgage Federation (1998): Tax and Subsidy Related Problems when Taking out a Mortgage Loan across an EU Border. Brussels.
  • Forum Group on Mortgage Credit (2004): The Integration of the EU Mortgage Credit Markets, European Comission, http://www.europa.eu.int.
  • Hadri, K. (2000): "Testing for Stationarity in Heterogeneous Panel Data", Econometric Journal, 3, 148-161.
  • Heinemann, F., Jopp, M. (2002): The Benefits of a Working European Retail Market for Financial Services. European Financial Services Round Table.
  • Heinemann, F., Schüler, M. (2002): Integration Benefits on EU Retail Credit Market. Evidence for Interest Rate Pass-Through, ZEW Discussion Paper, no 02-26. Available at http://www.zew.de.
  • Heinemann, F., Schüler, M. (2003): "Integration Benefits on EU Retail Markets. Evidence from Interest Rate Pass Through", en: Cecchini, P. (ed): The Incomplete European Market for Financial Services, Springer Verlag, Berlin, 105-129.
  • Hypostat (2008): A Review of Europe's Mortgage and Housing Markets, European Mortgage Federation, November 2009.
  • Im, K. S.; Pesaran, M. H. y Shin, Y. (2003): "Testing for Unit Roots in Heterogeneous Panels", Journal of Econometrics, 115, 53-74.
  • Johansen, S. (1991): "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, " Econometrica, 59, 1551-1580.
  • Kao, C. (1999): "Spurious Regression and Residual-Based Test for Cointegration in Panel Data", Journal of Econometrics, 90, 1-44.
  • Kleimeier, S. y Sander, H. (2000): "Regionalisation versus Globalisation in European Financial Market Integration: Evidence from Cointegration Analysis", Journal of Banking and Finance, 24 (6), 1005-1043.
  • Kleimeier, S. y Sander, H. (2002): European Financial Market Integration: Evidence on the Emergence of a Single Eurozone Retail Banking Market.
  • Kleimeier, S. y Sander, H. (2005): Regional Versus Global Integration of Euro-Zone Retail Banking Markets: Understanding the Recent Evidence from Price-Based Integration Measures.
  • Kleimeier, S. y Sander, H. (2007): Integrating Europe's Retail Banking Market: Where do we stand?, Centre for European Policy Studies, Bruselas.
  • Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. y Shin, Y. (1992): "Testing the Null Hypothesis of Stationary against the Alternative of a Unit Root", Journal of Econometrics, 54, 159-178.
  • Levin, A., Lin, C. F., y Chu, C. (2002): "Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties, " Journal of Econometrics, 108, 1-24.
  • London Economics (2002): Quantification of the Macroeconomic Impact of Integration of EU Financial Markets. European Commission. Directorate General-Internal Market.
  • London Economics (2005): The Costs and Benefits of Integration of EU Mortgage Markets. European Commission. Directorate General-Internal Market and Services.
  • Low, S., Sebag-Montefiore, M. y Dübel, A. (2003): Study on the financial integration of European Mortgage Markets, Mercer Oliver Wyman, European Mortgage Federation.
  • Maddala, G. S. y Wu, S. (1999), "A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test", Oxford Bulletin of Economics and Statistics, 61, 631-652.
  • Ng, S. (2006): "Testing Cross-section Correlation in Panel Data Using Spacings", Journal of Business and Economics Statistics, 24, 12-23.
  • Mercer Oliver Wyman (2007): European Mortgage Markets-2006 Adjusted Price Analysis, European Mortgage Federation.
  • Pedroni, P. (1999): "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors", Oxford Bulletin of Economics and Statistics, 61, 653-670.
  • Pedroni, P. (2004): "Panel Cointegration; Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis", Econometric Theory, 20, 597-625.
  • Pesaran, M. H. (2004): "General Diagnostic Tests for Cross Section Dependence in Panels", Cambridge Working Papers in Economics, 0435, Faculty of Economics, University of Cambridge.
  • Pesaran, M. H. (2007): "A Simple Panel Unit Root Test In The Presence Of Cross-Section Dependence", Journal of Applied Econometrics, 22, 265-312.
  • Phillips, P.C.B. y Perron, P. (1988): "Testing for a Unit Root in Time Series Regression", Biometrika, 75, 335-346.
  • Sander, H. y Kleimeier, S. (2001): Towards a Single Retail Banking Market? New Evidence from Euroland, available at SSRN: http://ssrn.com/ abstract=274609.
  • Sander, H., y Kleimeier, S. (2004): "Convergence in Eurozone Retail Banking? What interest Rate Pass-Through Tells Us About Monetary Policy Transmission, Competition and Integration", Journal of International Money and Finance, 23, 461-492.
  • Schüler, M., Heinemann, F. (2002): How Integrated are European Retail Financial Markets? A Cointegration Analysis, DB Research Notes Working Paper Series, 3.
  • Stock, J.H. y Watson, M.W. (1988): "Testing for Common Trends", Journal of the American Statistical Association, 83, 1097-1107.
  • Wagenvoort, R., Ebner, A. y Morgese Borys, M. (2011): "A factor analysis approach to measuring European loan and bond market integration", Journal of Banking & Finance, 35(4), 1011-1025.
  • Westerlund, J.; Edgerton, D. L. (2008): "A Simple Test for Cointegration in Dependent Panels with Structural Breaks", Oxford Bulletin of Economics and Statistics, 70, 665-704
Fonte de datos: Dialnet