Empirical Economics

, Volume 20, Issue 4, pp 667–680 | Cite as

Expectations and interest rates on mortgage loans

  • Kay Mitusch
  • Dieter Nautz


We examine the role of expectations for interest rates on mortgage loans. Our empirical results, based on cointegration tests, indicate a violation of the expectations hypothesis on the German loan market. In contrast to the capital market, a failure of the expectations hypothesis on the loan market cannot be attributed to the market segmentation hypothesis. Using a simple two-period model, we can show that the deviation from the expectations hypothesis is stronger than on the capital market and such that it confirms the common practice of choosing between loans with variable or fixed interest rates.

JEL Classification System-Numbers

E43 G21 C32 


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Copyright information

© Physica-Verlag 1995

Authors and Affiliations

  • Kay Mitusch
    • 1
  • Dieter Nautz
    • 1
  1. 1.Department of EconomicsFree University of BerlinBerlinGermany

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