表紙画像

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...

詳細記述

保存先:
書誌詳細
主要な著者: Harun, Mukaramah, Othman, Yusuf
フォーマット: 論文
言語:English
出版事項: Universiti Utara Malaysia 2007
主題:
HG Finance
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
タグ: タグ追加
タグなし, このレコードへの初めてのタグを付けませんか!
id my.uum.repo.101
record_format eprints
spelling my.uum.repo.1012016-12-06T07:36:36Z http://repo.uum.edu.my/101/ Relationship between securitisation and residential mortgage market yields in Malaysia: a cointegration approach Harun, Mukaramah Othman, Yusuf HG Finance 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. Universiti Utara Malaysia 2007 Article PeerReviewed application/pdf en http://repo.uum.edu.my/101/1/Mukaramah_Harun.pdf Harun, Mukaramah and Othman, Yusuf (2007) Relationship between securitisation and residential mortgage market yields in Malaysia: a cointegration approach. International Journal of Management Studies (IJMS), 14 (1). pp. 49-65. ISSN 0127-8983 http://ijms.uum.edu.my
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutionali Repository
url_provider http://repo.uum.edu.my/
language English
topic HG Finance
spellingShingle HG Finance
Harun, Mukaramah
Othman, Yusuf
Relationship between securitisation and residential mortgage market yields in Malaysia: a cointegration approach
description 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.
format Article
author Harun, Mukaramah
Othman, Yusuf
author_facet Harun, Mukaramah
Othman, Yusuf
author_sort Harun, Mukaramah
title Relationship between securitisation and residential mortgage market yields in Malaysia: a cointegration approach
title_short Relationship between securitisation and residential mortgage market yields in Malaysia: a cointegration approach
title_full Relationship between securitisation and residential mortgage market yields in Malaysia: a cointegration approach
title_fullStr Relationship between securitisation and residential mortgage market yields in Malaysia: a cointegration approach
title_full_unstemmed Relationship between securitisation and residential mortgage market yields in Malaysia: a cointegration approach
title_sort relationship between securitisation and residential mortgage market yields in malaysia: a cointegration approach
publisher Universiti Utara Malaysia
publishDate 2007
url http://repo.uum.edu.my/101/1/Mukaramah_Harun.pdf
http://repo.uum.edu.my/101/
http://ijms.uum.edu.my
_version_ 1644277692138258432
score 13.251813

類似資料