In this paper, I study how mortgage refinancing influences the interest rate pass-through to household budgets via fixed-rate mortgage contracts in Denmark. I develop a model based on a state-dependent process of household actions that endogenously determines household refinancing decisions as a...

Within a cointegrated VAR framework I show that the traditional money-demand relation, determined by a transaction effect and the opportunity cost of holding money, can no longer explain the recent development of monetary aggregates in Denmark. Instead, I argue that the introduction of housing...

In the years leading up to the pandemic, the yield spread between Danish and German sovereign bonds was roughly zero across maturities. In March 2020, the spreads widened and have stayed positive since. This memo investigates the drivers of the 10-year yield spread, which has widened 25 basis...

The portfolio rebalancing of Danish pension companies following the introduction of the ECB's asset purchase programmes is studied using a new and unique data set of their financial transactions and holdings since 2015. Due to a long-standing fixed exchange rate regime, Danish pension companies...

Increases in long-term interest rates such as in 2021 entail a jump in the duration of Danish long-term mortgage bonds via an embedded prepayment option. The jump in duration may lower the demand for duration and thus longterm bonds. This may lead to selfreinforcing effects. Jumps in duration in...

This Memo investigates the bond portfolio reaction of key Danish institutional investors to duration jumps in callable mortgage bonds. It shows that the investors remain net buyers of Danish mortgage bonds during periods of jumps. In particular, they buy more than they do on average, supporting...

The portfolio rebalancing of Danish pension companies following the introduction of the ECB's asset purchase programmes is studied using a new and unique data set of their financial transactions and holdings since 2015. Due to a long-standing fixed exchange rate regime, Danish pension companies...