2009 - 2013

In adjustable interest loans the borrower assumes the risk of interest rate rising, which leads to the growth of loan annuities. Given the importance of this risk in both corporate and personal finance, it is a recurrent topic in economic and financial press. In this paper, we show that the duration of a loan with constant annuity and interest rate can be used to assess the sensitivity of payments of an analogous loan with adjustable interest rate. Also, we develop an empirical application on official indexes of the Spanish mortgage market during the period 2009-2013. We find that EURIBOR is the index that causes less volatility in the mortgage annuity. Likewise, we also obtain that the average rate of loans for house purchasing in the euro zone is the index that cause greater volatility in the payments of loans. © 2015 AEDEM. Published by Elsevier España, S.L.U. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/). Correo electrónico: [email protected] 1. Introducción Los préstamos a tipo de interés variable se introdujeron, tal como señalan Meneu, Jordà y Barreira (1997), durante la profunda transformación que sufrió el sistema financiero español a principios de la década de los 80. De hecho, en préstamos para adquisición de vivienda residencial, el interés revisable se ha convertido en un http://dx.doi.org/10.1016/j.iedee.2015.02.001 1135-2523/© 2015 AEDEM. Publicado por Elsevier España, S.L.U. Este es un artículo Open Access bajo la licencia CC BY-NC-ND (http://creativecommons. org/licenses/by-nc-nd/4.0/). Document downloaded from http://www.elsevier.es, day 06/08/2017. This copy is for personal use. Any transmission of this document by any media or format is strictly prohibited.