Relationship between Securitisation and Residential Mortgage Market Yields in Malaysia: A Cointegration Approach
Keywords:
Securitisation, mortgage backed securities, yield spread, bond market, capital market, residential marketAbstract
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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Published
01-06-2007
How to Cite
Harun, M., & Haji Othman, Y. (2007). Relationship between Securitisation and Residential Mortgage Market Yields in Malaysia: A Cointegration Approach. International Journal of Management Studies, 14(1), 49–65. Retrieved from https://e-journal.uum.edu.my/index.php/ijms/article/view/9820
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