Relationship between Securitisation and Residential Mortgage Market Yields in Malaysia: A Cointegration Approach

Authors

  • Mukaramah Harun Faculty of Economics Universiti Utara Malaysia, Malaysia
  • Yusuf Haji Othman Faculty of Economics Universiti Utara Malaysia, Malaysia

DOI:

https://doi.org/10.32890/ijms2007.14.1.3

Keywords:

Securitisation, mortgage backed securities, yield spread, bond market, capital market, residential market

Abstract

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

Issue

Vol. 14 No. 1 (2007): International Journal of Management Studies (IJMS) Vol. 14, No. 1 June 2007

Section

Articles

Research impact

Harvested 2026-09-08
2 citations, from OpenAlex — the highest of the sources checked

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Identifiers DOI 10.32890/ijms2007.14.1.3 OpenAlex W2143210807

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