Relationship between securitisation and residential mortgage market yields in Malaysia: a cointegration approach
This article examines the possible long-run association between residential mortgage securitisation and yield spread for residential mortgage rates in the Malaysian primary markets. The cointegration and error-correction framework was applied to quarterly data from the third quarter of 1988 to the f...
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| 主要な著者: | , |
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| フォーマット: | 論文 |
| 言語: | English |
| 出版事項: |
Universiti Utara Malaysia
2007
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| 主題: | |
| オンライン･アクセス: | http://repo.uum.edu.my/101/1/Mukaramah_Harun.pdf http://repo.uum.edu.my/101/ http://ijms.uum.edu.my |
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| 要約: | This article examines the possible long-run association between residential mortgage securitisation and yield spread for residential mortgage rates in the Malaysian primary markets. The cointegration and error-correction framework was applied to quarterly data from the third quarter of 1988 to the first quarter of 2003. Unit root tests revealed that each variable is non-stationary in levels at the 5 percent level of significance. The cointegration test shows a cointegration between these variables. The estimate of error-correction model
shows a high adjustment speed for yield spread to the deviation in the longrun equilibrium. Meanwhile, securitisation responded very slowly to the deviation. |
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