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The paper describes the results of estimation of a factor-augmented vector autoregressive model that relates the markup on mortgage loans in national currency, granted to households by monetary financial institutions, and 1-month inter-bank rate that represents the cost of funds for financial institutions. The factors by which the model is augmented, summarize information that can be used by banks to forecast interest rates and evaluate macroeconomic risks. The estimation results indicate that there is a significant relation between the markup and the changes in 1-month WIBOR. This relation can be interpreted as evidence of incomplete transmission of the monetary policy shocks to mortgage rates set by monetary financial institutions. The policy shocks are partially absorbed by changes in the markup. |
